UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
(Mark One)
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 FOR THE QUARTERLY PERIOD ENDED September 30, 2022March 31, 2023
OR
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
FOR THE TRANSITION PERIOD FROM ______ TO ______
Commission File Number: 001-14788
Mortgage_Trust_Lock_Up_Standard_GIF.gif
Blackstone Mortgage Trust, Inc.
(Exact name of Registrant as specified in its charter)
Maryland94-6181186
(State or other jurisdiction of
incorporation or organization)
(I.R.S. Employer
Identification No.)
345 Park Avenue, 24th Floor
New York, New York 10154
(Address of principal executive offices)(Zip Code)
(212) 655-0220
(Registrant’s telephone number, including area code)
N/A
(Former name, former address and former fiscal year, if changed since last report)
Securities registered pursuant to Section 12(b) of the Act:
Title of each class
Trading
symbol(s)
Name of each exchange
on which registered
Class A common stock,par value $0.01 per shareBXMTNew York Stock Exchange
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒ No ☐
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☒ No ☐
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer ☒ Accelerated filer ☐
Non-accelerated filer ☐ Smaller reporting company ☐
 Emerging growth company ☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No ☒
The number of the registrant’s shares of class A common stock, par value $0.01 per share, outstanding as of OctoberApril 19, 20222023 was 170,899,090.172,286,354.



TABLE OF CONTENTS
  Page
PART I.
ITEM 1.
Consolidated Financial Statements (Unaudited):
ITEM 2.
ITEM 3.
ITEM 4.
PART II.
ITEM 1.
ITEM 1A.
ITEM 2.
ITEM 3.
ITEM 4.
ITEM 5.
ITEM 6.




TABLE OF CONTENTS
Website Disclosure
We use our website (www.blackstonemortgagetrust.com) as a channel of distribution of company information. The information we post through this channel may be deemed material. Accordingly, investors should monitor this channel, in addition to following our press releases, Securities and Exchange Commission, or SEC, filings and public conference calls, and webcasts. In addition, you may automatically receive email alerts and other information about Blackstone Mortgage Trust when you enroll your email address by visiting the “Contact Us & E-mail Alerts” section of our website at http://ir.blackstonemortgagetrust.com. The contents of our website and any alerts are not, however, a part of this report.




































PART I. FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS
Blackstone Mortgage Trust, Inc.
Consolidated Balance Sheets (Unaudited)
(in thousands, except share data)
September 30, 2022December 31, 2021 March 31, 2023December 31, 2022
AssetsAssetsAssets
Cash and cash equivalentsCash and cash equivalents$271,899 $551,154 Cash and cash equivalents$515,808 $291,340 
Loans receivableLoans receivable24,423,13322,003,017Loans receivable24,896,36425,017,880
Current expected credit loss reserveCurrent expected credit loss reserve(144,431)(124,679)Current expected credit loss reserve(336,591)(326,137)
Loans receivable, netLoans receivable, net24,278,70221,878,338Loans receivable, net24,559,77324,691,743
Other assetsOther assets248,028273,797Other assets310,086370,902
Total AssetsTotal Assets$24,798,629 $22,703,289 Total Assets$25,385,667 $25,353,985 
Liabilities and EquityLiabilities and EquityLiabilities and Equity
Secured debt, netSecured debt, net$13,188,692 $12,280,042 Secured debt, net$14,029,486 $13,528,164 
Securitized debt obligations, netSecuritized debt obligations, net2,844,0322,838,062Securitized debt obligations, net2,664,2082,664,010
Asset-specific debt, netAsset-specific debt, net949,891393,824Asset-specific debt, net817,444942,503
Loan participations sold, netLoan participations sold, net207,225Loan participations sold, net229,003224,232
Term loans, netTerm loans, net1,807,0171,327,406Term loans, net2,111,2322,114,549
Senior secured notes, netSenior secured notes, net394,864394,010Senior secured notes, net395,461395,166
Convertible notes, netConvertible notes, net513,626619,876Convertible notes, net294,888514,257
Other liabilitiesOther liabilities209,375231,358Other liabilities283,246426,904
Total LiabilitiesTotal Liabilities20,114,72218,084,578Total Liabilities20,824,96820,809,785
Commitments and contingenciesCommitments and contingenciesCommitments and contingencies
EquityEquityEquity
Class A common stock, $0.01 par value, 400,000,000 shares authorized, 170,896,268 and 168,179,798 shares issued and outstanding as of September 30, 2022 and December 31, 2021, respectively1,7091,682
Class A common stock, $0.01 par value, 400,000,000 shares authorized, 172,284,118 and 171,695,985 shares issued and outstanding as of March 31, 2023 and December 31, 2022, respectivelyClass A common stock, $0.01 par value, 400,000,000 shares authorized, 172,284,118 and 171,695,985 shares issued and outstanding as of March 31, 2023 and December 31, 2022, respectively1,7231,717
Additional paid-in capitalAdditional paid-in capital5,467,3725,373,029Additional paid-in capital5,483,7405,475,804
Accumulated other comprehensive incomeAccumulated other comprehensive income3,8308,308Accumulated other comprehensive income7,82810,022
Accumulated deficitAccumulated deficit(814,505)(794,832)Accumulated deficit(958,064)(968,749)
Total Blackstone Mortgage Trust, Inc. stockholders’ equityTotal Blackstone Mortgage Trust, Inc. stockholders’ equity4,658,4064,588,187Total Blackstone Mortgage Trust, Inc. stockholders’ equity4,535,2274,518,794
Non-controlling interestsNon-controlling interests25,50130,524Non-controlling interests25,47225,406
Total EquityTotal Equity4,683,9074,618,711Total Equity4,560,6994,544,200
Total Liabilities and EquityTotal Liabilities and Equity$24,798,629 $22,703,289 Total Liabilities and Equity$25,385,667 $25,353,985 
Note: The consolidated balance sheets as of September 30, 2022March 31, 2023 and December 31, 20212022 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 both September 30, 2022March 31, 2023 and December 31, 2021,2022, assets of the consolidated VIEs totaled $3.5$3.2 billion, and liabilities of the consolidated VIEs totaled $2.8$2.7 billion. Refer to Note 18 for additional discussion of the VIEs.
See accompanying notes to consolidated financial statements.


3


Blackstone Mortgage Trust, Inc.
Consolidated Statements of Operations (Unaudited)
(in thousands, except share and per share data)
Three Months Ended
September 30,
Nine Months Ended
September 30,
Three Months Ended
March 31,
2022202120222021 20232022
Income from loans and other investmentsIncome from loans and other investmentsIncome from loans and other investments
Interest and related incomeInterest and related income$358,557 $200,114 $876,676 $583,941 Interest and related income$491,384 $234,432 
Less: Interest and related expensesLess: Interest and related expenses202,37582,690439,708243,413Less: Interest and related expenses317,197100,714
Income from loans and other investments, netIncome from loans and other investments, net156,182117,424436,968340,528Income from loans and other investments, net174,187133,718
Other expensesOther expensesOther expenses
Management and incentive feesManagement and incentive fees25,91119,34276,46260,094Management and incentive fees31,05023,486
General and administrative expensesGeneral and administrative expenses12,93210,84137,70132,108General and administrative expenses12,86512,360
Total other expensesTotal other expenses38,84330,183114,16392,202Total other expenses43,91535,846
(Increase) decrease in current expected credit loss reserve(Increase) decrease in current expected credit loss reserve(12,248)(2,767)(22,694)49,432(Increase) decrease in current expected credit loss reserve(9,823)2,537
Income before income taxesIncome before income taxes105,09184,474300,111297,758Income before income taxes120,449100,409
Income tax provisionIncome tax provision1,172702,064346Income tax provision1,893146
Net incomeNet income103,91984,404298,047297,412Net income118,556100,263
Net income attributable to non-controlling interestsNet income attributable to non-controlling interests(673)(647)(1,864)(2,158)Net income attributable to non-controlling interests(799)(576)
Net income attributable to Blackstone Mortgage Trust, Inc.Net income attributable to Blackstone Mortgage Trust, Inc.$103,246 $83,757 $296,183 $295,254 Net income attributable to Blackstone Mortgage Trust, Inc.$117,757 $99,687 
Net income per share of common stockNet income per share of common stockNet income per share of common stock
BasicBasic$0.60 $0.56 $1.74 $2.00 Basic$0.68 $0.59 
DilutedDiluted$0.59 $0.56 $1.71 $2.00 Diluted$0.67 $0.58 
Weighted-average shares of common stock outstandingWeighted-average shares of common stock outstandingWeighted-average shares of common stock outstanding
BasicBasic170,971,874149,214,819170,303,470147,971,737Basic172,598,349169,254,059
DilutedDiluted185,316,078149,214,819182,011,842147,971,737Diluted180,869,409175,602,905
See accompanying notes to consolidated financial statements.
4


Blackstone Mortgage Trust, Inc.
Consolidated Statements of Comprehensive Income (Unaudited)
(in thousands)
Three Months Ended
September 30,
Nine Months Ended
September 30,
Three Months Ended
March 31,
2022202120222021 20232022
Net incomeNet income$103,919 $84,404 $298,047 $297,412 Net income$118,556 $100,263 
Other comprehensive loss
Unrealized loss on foreign currency translation(158,097)(46,952)(333,526)(66,356)
Realized and unrealized gain on derivative financial instruments154,84946,083329,04865,059
Other comprehensive loss(3,248)(869)(4,478)(1,297)
Other comprehensive incomeOther comprehensive income
Unrealized gain (loss) on foreign currency translationUnrealized gain (loss) on foreign currency translation21,858(45,222)
Realized and unrealized (loss) gain on derivative financial instrumentsRealized and unrealized (loss) gain on derivative financial instruments(24,052)45,514
Other comprehensive (loss) incomeOther comprehensive (loss) income(2,194)292
Comprehensive incomeComprehensive income100,67183,535 293,569296,115 Comprehensive income116,362100,555 
Comprehensive income attributable to non-controlling interestsComprehensive income attributable to non-controlling interests(673)(647)(1,864)(2,158)Comprehensive income attributable to non-controlling interests(799)(576)
Comprehensive income attributable to Blackstone Mortgage Trust, Inc.Comprehensive income attributable to Blackstone Mortgage Trust, Inc.$99,998 $82,888 $291,705 $293,957 Comprehensive income attributable to Blackstone Mortgage Trust, Inc.$115,563 $99,979 
See accompanying notes to consolidated financial statements.
5


Blackstone Mortgage Trust, Inc.
Consolidated Statements of Changes in Equity (Unaudited)
(in thousands)
 
Blackstone Mortgage Trust, Inc.
  
 Class A
Common
 Stock
Additional Paid-
In Capital
Accumulated Other
 Comprehensive Income (Loss)
Accumulated
 Deficit
Stockholders’
 Equity
Non-Controlling
 Interests
Total
Equity
Balance at December 31, 2021$1,682 $5,373,029 $8,308 $(794,832)$4,588,187 $30,524 $4,618,711 
Adoption of ASU 2020-06, See Note 2(2,431)1,954(477)(477)
Shares of class A common stock issued, net2152,138 52,15952,159
Restricted class A common stock earned8,4728,4728,472
Dividends reinvested246— 246246
Deferred directors’ compensation173173173
Net income99,68799,687576 100,263
Other comprehensive income292292292
Dividends declared on common stock and deferred stock units, $0.62 per share(105,801)(105,801)(105,801)
Contributions from non-controlling interests— 5,0405,040
Distributions to non-controlling interests— (9,241)(9,241)
Balance at March 31, 2022$1,703 $5,431,627 $8,600 $(798,992)$4,642,938 $26,899 $4,669,837 
Restricted class A common stock earned8,2458,2458,245
Dividends reinvested319319319
Deferred directors’ compensation173173173
Net income93,25093,25061593,865
Other comprehensive loss(1,522)(1,522)(1,522)
Dividends declared on common stock and deferred stock units, $0.62 per share(105,812)(105,812)(105,812)
Distributions to non-controlling interests(2,118)(2,118)
Balance at June 30, 2022$1,703 $5,440,364 $7,078 $(811,554)$4,637,591 $25,396 $4,662,987 
Shares of class A common stock issued, net18,490 18,496 18,496 
Restricted class A common stock earned— 8,046 — — 8,046 — 8,046 
Dividends reinvested— 299 — — 299 — 299 
Deferred directors’ compensation— 173 — — 173 — 173 
Net income— — — 103,246 103,246 673 103,919 
Other comprehensive loss— — (3,248)— (3,248)— (3,248)
Dividends declared on common stock and deferred stock units, $0.62 per share— — — (106,197)(106,197)— (106,197)
Distributions to non-controlling interests— — — — — (568)(568)
Balance at September 30, 2022$1,709 $5,467,372 $3,830 $(814,505)$4,658,406 $25,501 $4,683,907 

See accompanying notes to consolidated financial statements.

6


Blackstone Mortgage Trust, Inc.
Consolidated Statements of Changes in Equity (Unaudited)
(in thousands)     
Blackstone Mortgage Trust, Inc.
  
Blackstone Mortgage Trust, Inc.
  
Class A
Common
 Stock
Additional Paid-
In Capital
Accumulated Other
 Comprehensive Income (Loss)
Accumulated
 Deficit
Stockholders’
 Equity
Non-Controlling
 Interests
Total
Equity
Class A
Common
 Stock
Additional Paid-
In Capital
Accumulated Other
 Comprehensive Income (Loss)
Accumulated
 Deficit
Stockholders’
 Equity
Non-Controlling
 Interests
Total
Equity
Balance at December 31, 2020$1,468 $4,702,713 $11,170 $(829,284)$3,886,067 $18,164 $3,904,231 
Balance at December 31, 2021Balance at December 31, 2021$1,682 $5,373,029 $8,308 $(794,832)$4,588,187 $30,524 $4,618,711 
Adoption of ASU 2020-06, See
Note 2
Adoption of ASU 2020-06, See
Note 2
(2,431)1,954(477)(477)
Shares of class A common stock issued, netShares of class A common stock issued, net2— 22Shares of class A common stock issued, net1652,13852,15452,154
Restricted class A common stock earnedRestricted class A common stock earned7,9587,9587,958Restricted class A common stock earned58,4728,4778,477
Dividends reinvestedDividends reinvested204— 204204Dividends reinvested246— 246246
Deferred directors’ compensationDeferred directors’ compensation125125125Deferred directors’ compensation173173173
Net incomeNet income79,90279,902638 80,540Net income99,68799,687576 100,263
Other comprehensive incomeOther comprehensive income114114114Other comprehensive income292292292
Dividends declared on common stock and deferred stock units, $0.62 per shareDividends declared on common stock and deferred stock units, $0.62 per share(91,349)(91,349)(91,349)Dividends declared on common stock and deferred stock units, $0.62 per share(105,801)(105,801)(105,801)
Contributions from non-controlling interestsContributions from non-controlling interests— 13,44813,448Contributions from non-controlling interests— 5,0405,040
Distributions to non-controlling interestsDistributions to non-controlling interests— (11,180)(11,180)Distributions to non-controlling interests— (9,241)(9,241)
Balance at March 31, 2021$1,470 $4,711,000 $11,284 $(840,731)$3,883,023 $21,070 $3,904,093 
Balance at March 31, 2022Balance at March 31, 2022$1,703 $5,431,627 $8,600 $(798,992)$4,642,938 $26,899 $4,669,837 
Balance at December 31, 2022Balance at December 31, 2022$1,717 $5,475,804 $10,022 $(968,749)$4,518,794 $25,406 $4,544,200 
Restricted class A common stock earnedRestricted class A common stock earned7,8957,8957,895Restricted class A common stock earned67,4867,4927,492
Dividends reinvestedDividends reinvested211211211Dividends reinvested287— 287287
Deferred directors’ compensationDeferred directors’ compensation125125125Deferred directors’ compensation163163163
Net incomeNet income131,595131,595873132,468Net income117,757117,757799 118,556
Other comprehensive loss(541)(541)(541)
Other comprehensive incomeOther comprehensive income(2,194)(2,194)(2,194)
Dividends declared on common stock and deferred stock units, $0.62 per shareDividends declared on common stock and deferred stock units, $0.62 per share(91,347)(91,347)(91,347)Dividends declared on common stock and deferred stock units, $0.62 per share(107,072)(107,072)(107,072)
Contributions from non-controlling interests14,74514,745
Distributions to non-controlling interestsDistributions to non-controlling interests(10,694)(10,694)Distributions to non-controlling interests— (733)(733)
Balance at June 30, 2021$1,470 $4,719,231 $10,743 $(800,483)$3,930,961 $25,994 $3,956,955 
Shares of class A common stock issued, net100 311,855 — — 311,955 — 311,955 
Restricted class A common stock earned— 7,907 — — 7,907 — 7,907 
Dividends reinvested— 218 — — 218 — 218 
Deferred directors’ compensation— 173 — — 173 — 173 
Net income— — — 83,757 83,757 647 84,404 
Other comprehensive loss— — (869)— (869)— (869)
Dividends declared on common stock and deferred stock units, $0.62 per share— — — (97,552)(97,552)— (97,552)
Contributions from non-controlling interests— — — — — 19,068 19,068 
Distributions to non-controlling interests— — — — — (11,707)(11,707)
Balance at September 30, 2021$1,570 $5,039,384 $9,874 $(814,278)$4,236,550 $34,002 $4,270,552 
Balance at March 31, 2023Balance at March 31, 2023$1,723 $5,483,740 $7,828 $(958,064)$4,535,227 $25,472 $4,560,699 

See accompanying notes to consolidated financial statements.
76


Blackstone Mortgage Trust, Inc.
Consolidated Statements of Cash Flows (Unaudited)
(in thousands)
Nine Months Ended September 30,Three Months Ended March 31,
20222021 20232022
Cash flows from operating activitiesCash flows from operating activitiesCash flows from operating activities
Net incomeNet income$298,047 $297,412 Net income$118,556 $100,263 
Adjustments to reconcile net income to net cash provided by operating activitiesAdjustments to reconcile net income to net cash provided by operating activitiesAdjustments to reconcile net income to net cash provided by operating activities
Non-cash compensation expenseNon-cash compensation expense25,28624,184Non-cash compensation expense7,6558,650
Amortization of deferred fees on loans and debt securitiesAmortization of deferred fees on loans and debt securities(59,285)(43,299)Amortization of deferred fees on loans and debt securities(21,755)(18,573)
Amortization of deferred financing costs and premiums/discounts on debt obligationsAmortization of deferred financing costs and premiums/discounts on debt obligations35,45529,698Amortization of deferred financing costs and premiums/discounts on debt obligations14,81110,530
Increase (decrease) in current expected credit loss reserveIncrease (decrease) in current expected credit loss reserve22,694(49,432)Increase (decrease) in current expected credit loss reserve9,823(2,537)
Unrealized gain on assets denominated in foreign currencies, netUnrealized gain on assets denominated in foreign currencies, net(31)(7,088)Unrealized gain on assets denominated in foreign currencies, net(21)
Unrealized gain on derivative financial instruments, net(3,227)(3,298)
Realized (gain) loss on derivative financial instruments, net(8,418)5,483
Unrealized loss on derivative financial instruments, netUnrealized loss on derivative financial instruments, net541684
Realized gain on derivative financial instruments, netRealized gain on derivative financial instruments, net(8,948)(2,437)
Changes in assets and liabilities, netChanges in assets and liabilities, netChanges in assets and liabilities, net
Other assetsOther assets(72,769)(12,106)Other assets10,422(10,319)
Other liabilitiesOther liabilities28,85813,468Other liabilities(20,932)3,858
Net cash provided by operating activitiesNet cash provided by operating activities266,610255,022Net cash provided by operating activities110,17390,098
Cash flows from investing activitiesCash flows from investing activitiesCash flows from investing activities
Principal fundings of loans receivablePrincipal fundings of loans receivable(6,210,880)(7,449,491)Principal fundings of loans receivable(369,812)(2,924,418)
Principal collections and sales proceeds from loans receivable and debt securitiesPrincipal collections and sales proceeds from loans receivable and debt securities2,670,9023,423,460Principal collections and sales proceeds from loans receivable and debt securities562,0721,179,632
Origination and exit fees received on loans receivableOrigination and exit fees received on loans receivable67,95079,971Origination and exit fees received on loans receivable2,85029,775
Receipts under derivative financial instrumentsReceipts under derivative financial instruments279,34344,428Receipts under derivative financial instruments5,37028,981
Payments under derivative financial instrumentsPayments under derivative financial instruments(7,385)(75,458)Payments under derivative financial instruments(136,689)(2,720)
Collateral deposited under derivative agreementsCollateral deposited under derivative agreements(56,330)(94,060)Collateral deposited under derivative agreements(79,970)
Return of collateral deposited under derivative agreementsReturn of collateral deposited under derivative agreements56,330145,110Return of collateral deposited under derivative agreements172,710
Net cash used in investing activities(3,200,070)(3,926,040)
Net cash provided by (used in) investing activitiesNet cash provided by (used in) investing activities156,531(1,688,750)
continued…
See accompanying notes to consolidated financial statements.














87


Blackstone Mortgage Trust, Inc.
Consolidated Statements of Cash Flows (Unaudited)
(in thousands)
Nine Months Ended September 30, Three Months Ended March 31,
20222021 20232022
Cash flows from financing activitiesCash flows from financing activitiesCash flows from financing activities
Borrowings under secured debtBorrowings under secured debt$4,857,829 $7,701,481 Borrowings under secured debt$947,245 $2,093,695 
Repayments under secured debtRepayments under secured debt(3,090,429)(4,239,614)Repayments under secured debt(521,407)(1,205,929)
Proceeds from issuance of securitized debt obligations803,750
Repayment of securitized debt obligationsRepayment of securitized debt obligations(888,763)Repayment of securitized debt obligations(1,807)
Borrowings under asset-specific debtBorrowings under asset-specific debt654,578106,443Borrowings under asset-specific debt78,496147,726
Repayments under asset-specific debtRepayments under asset-specific debt(78,659)(178,073)Repayments under asset-specific debt(206,300)(78,659)
Proceeds from sale of loan participationsProceeds from sale of loan participations245,278Proceeds from sale of loan participations245,278
Net proceeds from issuance of term loans492,500298,500
Repayments of term loansRepayments of term loans(11,554)(10,060)Repayments of term loans(5,499)(3,435)
Net proceeds from issuance of convertible notesNet proceeds from issuance of convertible notes294,000Net proceeds from issuance of convertible notes294,000
Repayment of convertible notesRepayment of convertible notes(402,500)Repayment of convertible notes(220,000)(64,650)
Payment of deferred financing costsPayment of deferred financing costs(37,747)(29,339)Payment of deferred financing costs(7,265)(11,616)
Contributions from non-controlling interestsContributions from non-controlling interests5,04047,261Contributions from non-controlling interests5,040
Distributions to non-controlling interestsDistributions to non-controlling interests(11,927)(33,581)Distributions to non-controlling interests(733)(9,241)
Net proceeds from issuance of class A common stockNet proceeds from issuance of class A common stock70,651311,955Net proceeds from issuance of class A common stock52,155
Dividends paid on class A common stockDividends paid on class A common stock(315,430)(273,311)Dividends paid on class A common stock(106,455)(104,271)
Net cash provided by financing activities2,671,6303,616,649
Net decrease in cash, cash equivalents, and restricted cash(261,830)(54,369)
Cash, cash equivalents, and restricted cash at beginning of period551,154289,970
Effects of currency translation on cash, cash equivalents, and restricted cash(17,425)579
Cash, cash equivalents, and restricted cash at end of period$271,899 $236,180 
Net cash (used in) provided by financing activitiesNet cash (used in) provided by financing activities(43,725)1,360,093
Net increase (decrease) in cash and cash equivalentsNet increase (decrease) in cash and cash equivalents222,979(238,559)
Cash and cash equivalents at beginning of periodCash and cash equivalents at beginning of period291,340551,154
Effects of currency translation on cash and cash equivalentsEffects of currency translation on cash and cash equivalents1,489(3,170)
Cash and cash equivalents at end of periodCash and cash equivalents at end of period$515,808 $309,425 
Supplemental disclosure of cash flows informationSupplemental disclosure of cash flows informationSupplemental disclosure of cash flows information
Payments of interestPayments of interest$(374,646)$(207,293)Payments of interest$(318,185)$(81,984)
(Payments) receipts of income taxes$(730)$107 
Payments of income taxesPayments of income taxes$(900)$(161)
Supplemental disclosure of non-cash investing and financing activitiesSupplemental disclosure of non-cash investing and financing activitiesSupplemental disclosure of non-cash investing and financing activities
Dividends declared, not paidDividends declared, not paid$(105,956)$(97,552)Dividends declared, not paid$(106,816)$(105,576)
Loan principal payments held by servicer, netLoan principal payments held by servicer, net$1,902 $299 Loan principal payments held by servicer, net$19,756 $4,635 
See accompanying notes to consolidated financial statements








9
8


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (Unaudited)

1. ORGANIZATION
References herein to “Blackstone Mortgage Trust,” “Company,” “we,” “us” or “our” refer to Blackstone Mortgage Trust, Inc., a Maryland corporation, and its subsidiaries unless the context specifically requires otherwise.
Blackstone Mortgage Trust is a real estate finance company that originates senior loans collateralized by commercial real estate in North America, Europe, and Australia. Our portfolio is composed primarily of loans secured by high-quality, institutional assets in major markets, sponsored by experienced, well-capitalized real estate investment owners and operators. These senior loans are capitalized by accessing a variety of financing options, including borrowing under our credit facilities, issuing CLOs or single-asset securitizations, and 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 Blackstone Inc., or Blackstone, and are a real estate investment trust, or REIT, traded on the New York Stock Exchange, or NYSE, under the symbol “BXMT.” Our principal executive offices are located at 345 Park Avenue, 24th Floor, New York, New York 10154.
We conduct our operations as a REIT for U.S. federal income tax purposes. We generally will not be subject to U.S. federal income taxes on our taxable income to the extent that we annually distribute all of our net taxable income to stockholders and maintain our qualification as a REIT. We also operate our business in a manner that permits us to maintain an exclusion from registration under the Investment Company Act of 1940, as amended. We are organized as a holding company and conduct our business primarily through our various subsidiaries.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The accompanying unaudited consolidated financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America, or GAAP, for interim financial information and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. The consolidated financial statements, including the notes thereto, are unaudited and exclude some of the disclosures required in audited financial statements. We believe we have made all necessary adjustments, consisting of only normal recurring items, so that the consolidated financial statements are presented fairly and that estimates made in preparing our consolidated financial statements are reasonable and prudent. The operating results presented for interim periods are not necessarily indicative of the results that may be expected for any other interim period or for the entire year. The accompanying unaudited consolidated interim financial statements should be read in conjunction with the audited consolidated financial statements included in our Annual Report on Form 10-K for the fiscal year ended December 31, 20212022 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 changes in equity related to restricted class A common stock and in the loans receivable disclosures related to risk ratings, property type, and geography 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 an interest with the characteristics of a controlling financial interest and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The entity that consolidates a VIE is known as its primary beneficiary and is generally the entity with (i) the power to direct the activities that most significantly affect the VIE’s economic performance and (ii) the right to receive benefits from the VIE or the obligation to absorb losses of the VIE that could be significant to the VIE.
In 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 were not the primary beneficiary of the VIE because we did not have the power to direct the activities that most significantly affected the VIE’s economic performance and, therefore, did not consolidate the 2018 Single Asset Securitization on our balance sheet. We classified the subordinate position we owned as a held-to-maturity debt security that is included in other assets on our consolidated
10


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
balance sheets. During the nine months ended September 30, 2022, the 2018 Single Asset Securitization was liquidated upon full repayment of its collateral and all senior securities outstanding. Refer to Note 18 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
9


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
sheets represent the equity interests in our Multifamily Joint Venture that are owned by Walker & Dunlop. A portion of our Multifamily Joint Venture’s consolidated equity and results of operations are allocated to these non-controlling interests based on Walker & Dunlop’s pro rata ownership of our Multifamily Joint Venture.
Use of Estimates
The preparation of consolidated financial statements in conformity with GAAP requires us to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results may ultimately differ materially from those estimates.
Revenue Recognition
Interest income from our loans receivable portfolio 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 our opinion, 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.

Restricted cash represents cash collateral held within our 2021 FL4 collateralized loan obligation. See Note 6 for further discussion As of the 2021 FL4 collateralized loan obligation.
The following table provides a reconciliation of cash, cash equivalents,both March 31, 2023 and December 31, 2022, we had no restricted cash on our consolidated balance sheets to the total amount shown on our consolidated statements of cash flows ($ in thousands):

September 30, 2022September 30, 2021
Cash and cash equivalents$271,899 $211,180 
2021 FL4 CLO restricted cash— 25,000 
Total cash, cash equivalents, and restricted cash shown in our consolidated statements of cash flows$271,899 $236,180 
sheets.
Through our subsidiaries, we have oversight of certain servicing accounts held with third-party servicers, or Servicing Accounts, which relate to borrower escrows and other cash balances aggregating $498.8$446.7 million and $531.2$459.6 million as of September 30, 2022March 31, 2023 and December 31, 2021,2022, 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
11


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
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. 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
10


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
Board, or FASB, Staff Q&A Topic 326, No. 1. The WARM method requires us to reference historic loan loss data across a comparable data set and apply such loss rate to each of our loans over their expected remaining term, taking into consideration expected economic conditions over the relevant timeframe. We apply the WARM method for the majority of our loan portfolio, which 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, with market loan loss data licensed from Trepp LLC. This database includes commercial mortgage-backed securities, or CMBS, issued since January 1, 1999 through August 31, 2022.February 28, 2023. 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.
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.
12


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
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. Actual losses, if any, could ultimately differ materially from these estimates. We only expect to realize the impairment losses if and when such amounts are deemed nonrecoverable upon a realization event. This is generally at the time a loan is repaid, or in the case of foreclosure, when the underlying asset is sold, but non-recoverability may also be concluded if, in our determination, it is nearly certain that all amounts due will not be collected.
Contractual Term and Unfunded Loan Commitments
Expected credit losses are estimated over the contractual term of each loan, adjusted for expected prepayments. As part of our quarterly review of our loan portfolio, we assess the expected repayment date of each loan, which is used to determine the contractual term for purposes of computing our CECL reserve.
Additionally, the expected credit losses over the contractual period of our loans are subject to the obligation to extend credit through our unfunded loan commitments. The CECL reserve for unfunded loan commitments is adjusted quarterly, as we consider the expected timing of future funding obligations over the estimated life of the loan. The considerations in
11


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
estimating our CECL reserve for unfunded loan commitments are similar to those used for the related outstanding loan receivables.loans receivable.
Credit Quality Indicator
Our risk rating is our primary credit quality indicator in assessing our current expected credit loss reserve. We perform a quarterly risk review of our portfolio of loans, and assign each loan a risk rating based on a variety of factors, including, without limitation, 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, expectations of inflation and/or recession, and other macroeconomic factors impacting the likelihood and magnitude of potential credit losses for our loans during their anticipated term. In addition to the CMBS data we have licensed from Trepp LLC, we have also licensed certain macroeconomic financial forecasts to inform our view of the potential future impact that broader economic conditions may have on our loan portfolio’s performance. We may also incorporate information from other
13


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
sources, including information and opinions available to our Manager, to further inform these estimations. This process requires significant judgments about future events that, while based on the information available to us as of the balance sheet date, are ultimately indeterminate and the actual economic condition impacting our portfolio could vary significantly from the estimates we made as of September 30, 2022.

March 31, 2023.
Derivative Financial Instruments
We classify all derivative financial instruments as either other assets or other liabilities on our consolidated balance sheets at fair value.
On the date we enter into a derivative contract, we designate each contract as (i) a hedge of a net investment in a foreign operation, or net investment hedge, (ii) a hedge of a forecasted transaction or of the variability of cash flows to be received or paid related to a recognized asset or liability, or cash flow hedge, (iii) a hedge of a recognized asset or liability, or fair value hedge, or (iv) a derivative instrument not to be designated as a hedging derivative, or non-designated hedge. For all derivatives other than those designated as non-designated hedges, we formally document our hedge relationships and designation at the contract’s inception. This documentation includes the identification of the hedging instruments and the hedged items, its risk management objectives, strategy for undertaking the hedge transaction and our evaluation of the effectiveness of its hedged transaction.
On a quarterly basis, we also formally assess whether the derivative we designated in each hedging relationship is expected to be, and has been, highly effective in offsetting changes in the value or cash flows of the hedged items. If it is determined that a derivative is not highly effective at hedging the designated exposure, hedge accounting is discontinued and the changes in fair value of the instrument are included in net income prospectively. Our net investment hedges are assessed using a method based on changes in spot exchange rates. Gains and losses, representing hedge components excluded from the assessment of effectiveness, are recognized in interest income on our consolidated statements of operations over the contractual term of our net investment hedges on a systematic and rational basis, as documented at hedge inception in accordance with our accounting policy election. All other changes in the fair value of our derivative instruments that qualify as hedges are reported as a component of accumulated other comprehensive income (loss) on our consolidated financial statements. Deferred gains and losses are reclassified out of accumulated other comprehensive income (loss) and into net income in the same period or periods during which the hedged transaction affects earnings, and are presented in the
12


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
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 and Asset-Specific Debt
We record investments financed with secured debt or asset-specific debt as separate assets and the related borrowings under any secured debt or asset-specific debt are recorded as separate liabilities on our consolidated balance sheets. Interest income earned on the investments and interest expense incurred on the secured debt or asset-specific debt are reported separately on our consolidated statements of operations.
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 excludes the non-consolidated senior interest in the loan that we sold.
14


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
Term Loans
We record our term loans as liabilities on our consolidated balance sheets. Where applicable, any issue discount or transaction expenses are deferred and amortized through the maturity date of the term loans as additional non-cash interest expense.
Senior Secured Notes
We record our senior secured notes as liabilities on our consolidated balance sheets. Where applicable, any issue discount or transaction expenses are deferred and amortized through the maturity date of the senior secured notes as additional non-cash interest expense.
Convertible Notes
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 simplified the accounting for convertible debt by eliminating the beneficial conversion and cash conversion accounting models. ASU 2020-06 also updated the earnings per share calculation and required entities to assume share settlement when the convertible debt can be settled in cash or shares. ASU 2020-06 was effective for fiscal years beginning after December 15, 2021, and we adopted ASU 2020-06 on January 1, 2022 using the modified retrospective method of transition.
Subsequent to adoption of ASU 2020-06, convertible debtnote proceeds, unless issued with a substantial premium or an embedded conversion feature, will no longer be allocated between debt and equity components. This reduces the issue discount and results in less non-cash interest expense in our consolidated financial statements.are classified as debt. Additionally, subsequent to adoption of ASU 2020-06, shares issuable under our convertible notes are included in diluted earnings per share in our consolidated financial statements, if the effect is dilutive, using the if-converted method, regardless of settlement intent. Where applicable, any issue discount or transaction expenses are deferred and amortized through the maturity date of the convertible notes as additional non-cash interest expense.
Deferred Financing Costs
The deferred financing costs that are included as a reduction in the net book value of the related liability on our consolidated balance sheets include issuance and other costs related to our debt obligations. These costs are amortized as interest expense using the effective interest method over the life of the related obligations.
Underwriting Commissions and Offering Costs
Underwriting commissions and offering costs incurred in connection with common stock offerings are reflected as a reduction of additional paid-in capital. Costs incurred that are not directly associated with the completion of a common stock offering are expensed when incurred.
Fair Value of Financial Instruments
The “Fair Value Measurements and Disclosures” Topic 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.
13


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
Specifically, this guidance defines fair value based on exit price, or the price that would be received upon the sale of an asset or the transfer of a liability in an orderly transaction between market participants at the measurement date.
ASC 820 also establishes a fair value hierarchy that prioritizes and ranks the level of market price observability used in measuring financial instruments. Market price observability is affected by a number of factors, including the type of financial instrument, the characteristics specific to the financial instrument, and the state of the marketplace, including the existence and transparency of transactions between market participants. Financial instruments with readily available quoted prices in active markets generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.
Financial instruments measured and reported at fair value are classified and disclosed based on the observability of inputs used in the determination, as follows:
Level 1: Generally includes only unadjusted quoted prices that are available in active markets for identical financial instruments as of the reporting date.
15


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
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.
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 17. We generally value our assets recorded at fair value by either (i) discounting expected cash flows based on assumptions regarding the collection of principal and interest and estimated market rates, or (ii) obtaining assessments from third-parties. For collateral-dependent loans that are identified as impaired, we measure impairment by comparing our estimation of the fair value of the underlying collateral, less costs to sell, to the book value of the respective loan. These valuations require significant judgments, which include assumptions regarding capitalization rates, discount rates, leasing, creditworthiness of major tenants, occupancy rates, availability and cost of financing, exit plan, loan sponsorship, actions of other lenders, and other factors.
As of September 30, 2022,March 31, 2023, we had a $54.9an aggregate $197.3 million asset-specific CECL reserve specifically related to onesix of our loans receivable with an aggregate outstanding principal balance of $286.3$998.1 million, net of cost-recovery proceeds. The CECL reserve was recorded based on our estimation of the fair value of the loan’sloans' aggregate underlying collateral as of September 30, 2022. This loanMarch 31, 2023. These loans receivable isare therefore measured at fair value on a nonrecurring basis using significant unobservable inputs, and isare classified as a Level 3 assetassets in the fair value hierarchy. We estimated the fair value of this loanthese loans receivable by reviewingconsidering a variety of inputs including property performance, market data, and comparable sales, on a per-key basis, and theas applicable. The significant unobservable inputs used include the exit capitalization rate assumption of 4.50% used to forecast the future sale price of the underlying real estate collateral, which ranged from 5.25% to 7.50%, and the unlevered discount rate, ofwhich ranged from 7.50% to 9.75%.
We are also required by GAAP to disclose fair value information about financial instruments, which are not otherwise reported at fair value in our consolidated balance sheet, to the extent it is practicable to estimate a fair value for those instruments. These disclosure requirements exclude certain financial instruments and all non-financial instruments.
The following methods and assumptions are used to estimate the fair value of each class of financial instruments, for which it is practicable to estimate that value:

Cash and cash equivalents: The carrying amount of cash and cash equivalents approximates fair value.

Loans receivable, net: The fair values of these loans were estimated using a discounted cash flow methodology, taking into consideration various factors including capitalization rates, discount rates, leasing, credit worthiness of major tenants, occupancy rates, availability and cost of financing, exit plan, loan sponsorship, actions of other lenders, and other factors.

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.
14


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
Derivative financial instruments: The fair value of our foreign currency and interest rate contracts was estimated using advice from a third-party derivative specialist, based on contractual cash flows and observable inputs comprising foreign currency rates and credit spreads.

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

Securitized debt obligations, net: The fair value of these instruments was estimated by utilizing third-party pricing service providers. In determining the value of a particular investment, pricing service providers may use broker-dealer quotations, reported trades, or valuation estimates from their internal pricing models to determine the reported price.

16


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
Asset-specific debt, net: The fair value of these instruments was estimated based on the rate at which a similar agreement would currently be priced.

Loan participations sold, net: The fair value of these instruments was estimated based on the value of the related loan receivable asset.

Term loans, net: The fair value of these instruments was estimated by utilizing third-party pricing service providers. In determining the value of a particular investment, pricing service providers may use broker-dealer quotations, reported trades, or valuation estimates from their internal pricing models to determine the reported price.

Senior secured notes, net: The fair value of these instruments was estimated by utilizing third-party pricing service providers. In determining the value of a particular investment, pricing service providers may use broker-dealer quotations, reported trades, or valuation estimates from their internal pricing models to determine the reported price.

Convertible notes, net: Each series of the convertible notes is actively traded and their fair values were obtained using quoted market prices.
Income Taxes
Our financial results generally do not reflect provisions for current or deferred income taxes on our REIT taxable income. We believe that we operate in a manner that will continue to allow us to be taxed as a REIT and, as a result, we generally do not expect to pay substantial corporate level taxes other than those payable by our taxable REIT subsidiaries. If we were to fail to meet these requirements, we may be subject to federal, state, and local income tax on current and past income, and penalties. Refer to Note 15 for additional information.
Stock-Based Compensation
Our stock-based compensation consists of awards issued to our Manager, certain individuals employed by an affiliate of our Manager, and certain members of our board of directors that vest over the life of the awards, as well as deferred stock units issued to certain members of our board of directors. Stock-based compensation expense is recognized for these awards in net income on a variable basis over the applicable vesting period of the awards, based on the value of our class A common stock. Refer to Note 16 for additional information.
Earnings per Share
Basic earnings per share, or Basic EPS, is computed in accordance with the two-class method and is based on (i) the net earnings allocable to our class A common stock, including restricted class A common stock and deferred stock units, divided by (ii) the weighted-average number of shares of our class A common stock, including restricted class A common stock and deferred stock units outstanding during the period. Our restricted class A common stock is considered a participating security, as defined by GAAP, and has been included in our Basic EPS under the two-class method as these restricted shares have the same rights as our other shares of class A common stock, including participating in any gains or losses.
Diluted earnings per share, or Diluted EPS, is determined using the if-converted method, and is based on (i) the net earnings, adjusted for interest expense incurred on our convertible notes during the relevant period, net of incentive fees,
15


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
allocable to our class A common stock, including restricted class A common stock and deferred stock units, divided by (ii) the weighted-average number of shares of our class A common stock, including restricted class A common stock, deferred stock units, and shares of class A common stock issuable under our convertible notes. Refer to Note 13 for additional discussion of earnings per share.
Foreign Currency
In the normal course of business, we enter into transactions not denominated in United States, or U.S., dollars. Foreign exchange gains and losses arising on such transactions are recorded as a gain or loss in our consolidated statements of operations. In addition, we consolidate entities that have a non-U.S. dollar functional currency. Non-U.S. dollar denominated assets and liabilities are translated to U.S. dollars at the exchange rate prevailing at the reporting date and income, expenses, gains, and losses are translated at the average exchange rate over the applicable period. Cumulative
17


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
translation adjustments arising from the translation of non-U.S. dollar denominated subsidiaries are recorded in other comprehensive income (loss).
Recent Accounting Pronouncements
In March 2022, the FASB issued ASU 2022-02 “Financial Instruments-Credit Losses (Topic 326): Troubled Debt Restructurings and Vintage Disclosures,” or ASU 2022-02. ASU 2022-02 eliminates the accounting guidance for troubled debt restructurings and requires disclosure of current-period gross write-offs by year of loan origination. Additionally, ASU 2022-02 updates the accounting for credit losses under ASC 326 and adds enhanced disclosures with respect to loan refinancings and restructurings in the form of principal forgiveness, interest rate concessions, other-than-insignificant payment delays, or term extensions when the borrower is experiencing financial difficulties. ASU 2022-02 is effective for fiscal years beginning after December 15, 2022 and early adoption is permitted. The amendments should be applied prospectively, however for the recognition and measurement of troubled debt restructurings, the entity has the option to apply a modified retrospective transition method, resulting in a cumulative-effect adjustment to retained earnings in the period of adoption. We are currently evaluating the impactThe adoption of ASU 2022-02 willon January 1, 2023 did not have a material impact on our consolidated financial statements.
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. In December 2022, the FASB issued ASU 2022-06 "Reference Rate Reform (Topic 848): Deferral of the Sunset Date of Topic 848", or ASU 2022-06. ASU 2022-06 deferred the sunset date of ASU 2020-04 to December 31, 2024. The guidance in ASU 2020-04 is optional and may be elected over time, through December 31, 2022,2024, 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 continueplan to evaluateapply the impact of ASU 2020-04contract modification expedients for our applicable loan and may apply other elections, as applicable, asdebt modifications that relate to the market transition from IBORs to alternative reference rates continues to develop.IBORs. Therefore, our loan and debt modifications that are in accordance with ASU 2020-04 do not require a remeasurement at the modification date nor a reassessment of a previous accounting determination. The application of the ASU 2020-04 expedients have not had a material impact on our consolidated financial statements.
In August 2020, the FASB issued ASU 2020-06, described above under “Convertible Notes.” We adopted ASU 2020-06 on January 1, 2022, using the modified retrospective method of transition, which resulted in an aggregate decrease to our additional paid-in capital of $2.4 million, an aggregate decrease to our accumulated deficit of $2.0 million, and an aggregate increase to our convertible notes, net, of $476,000, as of January 1, 2022. In addition, the adoption of ASU 2020-06 decreased our diluted earnings per share by $0.03 for the nine months ended September 30, 2022.

Reference Rate Reform
LIBOR and certain other floating rate benchmark indices to which our floating rate loans and other loan agreements are tied, including, without limitation, the Euro Interbank Offered Rate, or EURIBOR, the Stockholm Interbank Offered Rate, or STIBOR, the Australian Bank Bill Swap Reference Rate, or BBSY, the Canadian Dollar Offered Rate, or CDOR, the Swiss Average Rate Overnight, or SARON, and the Copenhagen Interbank Offering Rate, or CIBOR, or collectively, IBORs, arehave been the subject of recent national, international and regulatory guidance and proposals for reform. As of December 31, 2021, the ICE Benchmark Association, or IBA, ceased publication of allmost non-USD LIBOR and the one-week and two-month USD LIBOR and, as and settings. IBA also
16


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
previously announced intendsits intention to cease publication of remaining U.S. dollar LIBOR settings immediately after June 30, 2023.2023; however, in November 2022 the U.K. Financial Conduct Authority, which regulates IBA, announced a public consultation regarding whether it should compel IBA to continue publishing “synthetic” USD LIBOR settings from June 2023 to the end of September 2024. Further, on March 15, 2022, the Consolidated Appropriations Act of 2022, which includes the Adjustable Interest Rate (LIBOR) Act, or LIBOR Act, was signed into law in the U.S. This legislation establishes a uniform benchmark replacement process for financial contracts maturing after June 30, 2023 that do not contain clearly defined or practicable fallback provisions. Under the LIBOR Act, such contracts will automatically transition as a matter of law to a Secured Overnight Financing Rate, or SOFR, based replacement rate identified by the Board of Governors of the Federal Reserve System, or Federal Reserve. The legislation also creates a safe harbor that shields lenders from litigation if they choose to utilize a replacement rate recommended by the Board of Governors ofFederal Reserve. In December 2022, the Federal Reserve.

Reserve adopted a final rule to implement the LIBOR Act.
The U.S. Federal Reserve, in conjunction with the Alternative Reference Rates Committee, or ARRC, a steering committee composed of large U.S. financial institutions, has identified the Secured Overnight Financing Rate, or SOFR, a new index calculated using short-term repurchase agreements backed by U.S. Treasury securities, as its preferred alternative rate for USD LIBOR. According to the ARRC, data from the cash and derivatives markets show continued momentum in the transition from LIBOR to SOFR, and SOFR is currently predominant across cash and derivatives markets. As of September 30, 2022,March 31, 2023, one-month term SOFR is utilized as the floating benchmark rate on 49118 of our loans, the financing provided on the 2020 FL3 and 2020 FL2 CLOs, one of our asset-specific financings, certain borrowings under
18


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
nine 14 of our credit facilities, and our B-4 Term Loan. As of September 30, 2022, theMarch 31, 2023, one-month term SOFR was 3.04%4.80% and one-month USD LIBOR was 3.14%4.86%. Additionally, market participants have transitionedcontinued to transition from GBP LIBOR to the Sterling Overnight Index Average, or SONIA, in line with guidance from the U.K. regulators. As of September 30, 2022,March 31, 2023, daily compounded SONIA is utilized as the floating benchmark rate for all of our floating rate British Pound Sterling loans and related financings.

As of March 31, 2023, 80% of our aggregate loan principal balance has either transitioned to the applicable replacement benchmark rate, or its existing benchmark rate is not expected to be replaced, and we expect to transition the remaining 20% in 2023.
At this time, it is not possible to predict how markets will respond in the future to SOFR, SONIA, or other alternative reference rates as the transition away from USD LIBOR and GBP LIBOR proceeds. Despite the LIBOR transition in other markets, benchmark rate methodologies in Europe, Australia, Canada, Switzerland and Denmark have been reformed and rates such as EURIBOR, STIBOR, BBSY, CDOR, SARON and CIBOR may persist as International Organization of Securities Commissions, or IOSCO, compliant reference rates moving forward. However, multi-rate environments may persist in these markets as regulators and working groups have suggested market participants adopt alternative reference rates.
17


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):

September 30, 2022December 31, 2021 March 31, 2023December 31, 2022
Number of loansNumber of loans205 188 Number of loans199 203 
Principal balancePrincipal balance$24,576,601 $22,156,437 Principal balance$25,020,489 $25,160,343 
Net book valueNet book value$24,278,702 $21,878,338 Net book value$24,559,773 $24,691,743 
Unfunded loan commitments(1)
Unfunded loan commitments(1)
$4,126,886 $4,180,128 
Unfunded loan commitments(1)
$3,382,489 $3,806,153 
Weighted-average cash coupon(2)
Weighted-average cash coupon(2)
+ 3.30 %+ 3.19 %
Weighted-average cash coupon(2)
+ 3.46 %+ 3.44 %
Weighted-average all-in yield(2)
Weighted-average all-in yield(2)
+ 3.67 %+ 3.52 %
Weighted-average all-in yield(2)
+ 3.85 %+ 3.84 %
Weighted-average maximum maturity (years)(3)
Weighted-average maximum maturity (years)(3)
3.33.4
Weighted-average maximum maturity (years)(3)
2.93.1
(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 SOFR, USD LIBOR, SOFR, SONIA, GBP LIBOR, EURIBOR, and other indices, as applicable to each loan. As of September 30,March 31, 2023 and December 31, 2022, substantially all of our loans by principal balance earned a floating rate of interest, primarily indexed to SOFR and USD LIBOR. As of December 31, 2021, 99.5% of our loans by principal balance earned a floating rate of interest, primarily indexed to USD LIBOR. The other 0.5% of our loans earned a fixed rate of interest. 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 one loanloans 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 September 30, 2022, 61%March 31, 2023, 36% of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and 39%64% were open to repayment by the borrower without penalty. As of December 31, 2021, 56%2022, 50% of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and 44%50% were open to repayment by the borrower without penalty.

19


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
The following table details the index rate floors for our loans receivable portfolio as of September 30, 2022March 31, 2023 ($ in thousands):

Loans Receivable Principal Balance Loans Receivable Principal Balance
Index Rate FloorsIndex Rate FloorsUSD
Non-USD(1)
TotalIndex Rate FloorsUSD
Non-USD(1)
Total
Fixed RateFixed Rate$37,500 $— $37,500 Fixed Rate$39,588 $— $39,588 
0.00% or no floor(2)
0.00% or no floor(2)
3,759,1117,072,36410,831,475
0.00% or no floor(2)
4,592,7577,031,51211,624,269
0.01% to 1.00% floor0.01% to 1.00% floor9,425,418661,89910,087,3170.01% to 1.00% floor8,987,071868,0329,855,103
1.01% to 1.50% floor1.01% to 1.50% floor2,458,65555,0402,513,6951.01% to 1.50% floor2,044,620156,2832,200,903
1.51% to 2.00% floor1.51% to 2.00% floor692,036692,0361.51% to 2.00% floor499,515313,008812,523
2.01% or more floor2.01% or more floor366,12948,449414,5782.01% or more floor438,53249,571488,103
Total(3)(2)
Total(3)(2)
$16,738,849 $7,837,752 $24,576,601 
Total(3)(2)
$16,602,083 $8,418,406 $25,020,489 
(1)Includes Euro, British Pound Sterling, Swedish Krona, Australian Dollar, Canadian Dollar, Swiss Franc, and Danish Krone currencies.
(2)Includes a $286.3 million loan accounted for under the cost-recovery method.
(3)As of September 30, 2022,March 31, 2023, the weighted-average index rate floor of our loan portfolio was 0.34%. Excluding 0.0% index rate floors and loans with no floor, the weighted-average index rate floor was 0.60%0.61%.





18


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
Activity relating to our loans receivable portfolio was as follows ($ in thousands):
Principal
Balance
Deferred Fees /
Other Items(1)
Net Book
Value
Principal
Balance
Deferred Fees /
Other Items(1)
Net Book
Value
Loans Receivable, as of December 31, 2021$22,156,437 $(153,420)$22,003,017 
Loans Receivable, as of December 31, 2022Loans Receivable, as of December 31, 2022$25,160,343 $(142,463)$25,017,880 
Loan fundingsLoan fundings6,210,8806,210,880Loan fundings369,812369,812
Loan repayments and salesLoan repayments and sales(2,520,175)(2,520,175)Loan repayments and sales(592,361)(592,361)
Unrealized (loss) gain on foreign currency translation(1,270,541)9,733(1,260,808)
Unrealized gain (loss) on foreign currency translationUnrealized gain (loss) on foreign currency translation82,695(567)82,128
Deferred fees and other itemsDeferred fees and other items(67,950)(67,950)Deferred fees and other items(2,850)(2,850)
Amortization of fees and other itemsAmortization of fees and other items58,16958,169Amortization of fees and other items21,75521,755
Loans Receivable, as of September 30, 2022$24,576,601 $(153,468)$24,423,133 
Loans Receivable, as of March 31, 2023Loans Receivable, as of March 31, 2023$25,020,489 $(124,125)$24,896,364 
CECL reserveCECL reserve(144,431)CECL reserve(336,591)
Loans Receivable, net, as of September 30, 2022$24,278,702 
Loans Receivable, net, as of March 31, 2023Loans Receivable, net, as of March 31, 2023$24,559,773 
(1)Other items primarily consist of purchase and sale discounts or premiums, exit fees, and deferred origination expenses.
2019


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):
September 30, 2022
March 31, 2023March 31, 2023
Property TypeProperty Type
Number of
 Loans
Net
Book Value
Total Loan
 Exposure(1)
Percentage of
 Portfolio
Property Type
Number of
 Loans
Net
Book Value
Total Loan
 Exposure(1)
Net Loan
 Exposure(2)
Net Loan Exposure Percentage of
 Portfolio
OfficeOffice67$9,609,121 $10,697,145 41%Office58$9,044,537 $9,993,785 $8,160,735 34%
MultifamilyMultifamily816,210,7306,313,31924Multifamily806,309,8986,437,2766,276,45827
HospitalityHospitality304,840,0224,871,38419Hospitality294,781,0634,807,0074,462,40619
IndustrialIndustrial101,659,1621,752,4187Industrial122,182,2812,277,6672,190,9009
RetailRetail91,093,7581,134,3374Retail8958,1581,003,736948,2434
Life Sciences / StudioLife Sciences / Studio4373,001620,980374,1992
OtherOther81,010,3401,367,4035Other81,247,4261,602,2181,218,6165
Total loans receivableTotal loans receivable205$24,423,133 $26,136,006 100%Total loans receivable199$24,896,364 $26,742,669 $23,631,557 100%
CECL reserveCECL reserve(144,431)CECL reserve(336,591)
Loans receivable, netLoans receivable, net$24,278,702 Loans receivable, net$24,559,773 
Geographic LocationGeographic Location
Number of
 Loans
Net
Book Value
Total Loan
 Exposure(1)
Percentage of
 Portfolio
Geographic Location
Number of
 Loans
Net
Book Value
Total Loan
 Exposure(1)
Net Loan
 Exposure(2)
Net Loan Exposure Percentage of
 Portfolio
United StatesUnited States    United States    
SunbeltSunbelt76$6,439,282 $6,688,040 26%Sunbelt75$6,292,774 $6,570,466 $6,184,786 26%
NortheastNortheast385,365,3715,694,07522Northeast355,437,9955,760,8054,588,70320
WestWest343,516,5624,484,04417West323,483,5594,566,9033,451,54315
MidwestMidwest101,005,3151,110,1614Midwest10987,8851,091,506983,4304
NorthwestNorthwest6317,617321,9371Northwest6330,761334,584332,6321
SubtotalSubtotal16416,644,14718,298,25770Subtotal15816,532,97418,324,26415,541,09466
InternationalInternationalInternational
United KingdomUnited Kingdom223,122,2273,153,44912United Kingdom233,506,5653,535,3063,261,32914
AustraliaAustralia61,362,1111,373,9335Australia51,388,4841,399,1711,392,8516
IrelandIreland31,205,7171,212,1821,210,6385
SpainSpain41,147,0641,151,5215Spain31,129,5741,133,1201,095,2005
Ireland31,117,5261,122,9904
SwedenSweden1444,948448,2642Sweden1474,690477,768477,4652
CanadaCanada148,39648,449Canada149,57149,57149,535
Other EuropeOther Europe4536,714539,1432Other Europe5608,789611,287603,4452
SubtotalSubtotal417,778,9867,837,74930Subtotal418,363,3908,418,4058,090,46334
Total loans receivableTotal loans receivable205$24,423,133 $26,136,006 100%Total loans receivable199$24,896,364 $26,742,669 $23,631,557 100%
CECL reserveCECL reserve(144,431)CECL reserve(336,591)
Loans receivable, netLoans receivable, net$24,278,702 Loans receivable, net$24,559,773 
(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 $1.7 billion of such non-consolidated senior interests as of March 31, 2023.
(2)Net loan exposure reflects the amount of each loan that is subject to risk of credit loss to us as of March 31, 2023, which is our total loan exposure net of (i) $1.7 billion of non-consolidated senior interests, (ii) $822.9 million of asset-specific debt, (iii) $229.5 million of loan participations sold, and (iv) our aggregate CECL reserve of $336.6 million. Our non-consolidated senior interests, asset-specific debt, and loan participations sold are structurally non-recourse and term-matched to the corresponding collateral loans.
20


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)

December 31, 2022
Property Type
Number of
 Loans
Net
Book Value
Total Loan
 Exposure(1)
Net Loan
 Exposure(2)
Net Loan Exposure Percentage of
 Portfolio
Office60$9,082,946 $10,023,495 $8,099,334 34%
Multifamily806,214,1236,330,1536,189,29826
Hospitality304,879,3144,908,5834,552,40419
Industrial122,140,6362,236,7162,150,5019
Retail91,098,3151,141,9321,090,2385
Life Sciences/Studio4358,676570,089359,8302
Other81,243,8701,599,3131,217,5785
Total loans receivable203$25,017,880 $26,810,281 $23,659,183 100%
CECL reserve(326,137)
Loans receivable, net$24,691,743 
Geographic Location
Number of
 Loans
Net
Book Value
Total Loan
 Exposure(1)
Net Loan
 Exposure(2)
Net Loan Exposure Percentage of
 Portfolio
United States    
Sunbelt75$6,538,034 $6,802,928 $6,244,886 27%
Northeast365,339,8745,666,9684,570,18019
West333,515,5174,547,9463,486,34315
Midwest10987,7181,091,882984,1514
Northwest6317,863321,937320,1561
Subtotal16016,699,00618,431,66115,605,71666
International
United Kingdom233,362,6293,393,1263,123,92513
Australia51,405,6011,417,3181,408,5656
Spain41,237,4461,241,8081,204,2185
Ireland31,192,2201,199,4061,197,8925
Sweden1473,374476,673476,3672
Canada149,40949,43249,398
Other Europe6598,195600,857593,1023
Subtotal438,318,8748,378,6208,053,46734
Total loans receivable203$25,017,880 $26,810,281 $23,659,183 100%
CECL reserve(326,137)
Loans receivable, net$24,691,743 
(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 $1.6 billion of such non-consolidated senior interests as of September 30,December 31, 2022.
(2)Net loan exposure reflects the amount of each loan that is subject to risk of credit loss to us as of December 31, 2022, which is our total loan exposure net of (i) $1.6 billion of non-consolidated senior interests, (ii) $950.3 million of asset-specific debt, (iii) $224.7 million of loan participations sold, and and (iv) our aggregate CECL reserve of $326.1 million. Our non-consolidated senior interests, asset-specific debt, and loan participations sold are structurally non-recourse and term-matched to the corresponding collateral loans.

21


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
December 31, 2021
Property Type
Number of
 Loans
Net
Book Value
Total Loan
 Exposure(1)(2)
Percentage of
 Portfolio
Office65$9,473,039 $10,425,026 44%
Multifamily755,721,2605,771,51724
Hospitality253,427,2453,540,39115
Industrial61,102,4521,185,6065
Retail8871,241909,9704
Other91,407,7801,836,6018
Total loans receivable188$22,003,017 $23,669,111 100%
CECL reserve(124,679)
Loans receivable, net$21,878,338 
Geographic Location
Number of
 Loans
Net
Book Value
Total Loan
 Exposure(1)(2)
Percentage of
 Portfolio
United States    
Sunbelt71$5,907,230 $6,206,216 26%
Northeast374,615,0764,934,29521
West333,520,9424,199,20818
Midwest101,063,2021,113,9595
Northwest5251,121252,7001
Subtotal15615,357,57116,706,37871
International
United Kingdom172,342,1462,598,03311
Spain41,374,3641,380,7636
Ireland11,210,3751,216,8645
Sweden1546,319551,1492
Australia4504,668509,8852
Canada268,55868,478
Other Europe3599,016637,5613
Subtotal326,645,4466,962,73329
Total loans receivable188$22,003,017 $23,669,111 100%
CECL reserve(124,679)
Loans receivable, net$21,878,338 
(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 $1.5 billion of such non-consolidated senior interests as of December 31, 2021.
(2)Excludes investment exposure to the $379.3 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, we evaluate our loan portfolio on a quarterly basis. In conjunction with our quarterly loan portfolio review, we assess the risk factors of each loan, and assign a risk rating based on several factors. Factors considered in the assessment include, but are not limited to, risk of loss, 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.

22


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
The following table allocates the principal balancenet book value, total loan exposure, and net book valueloan exposure of our loans receivable based on our internal risk ratings ($ in thousands):
September 30, 2022December 31, 2021March 31, 2023
Risk
Rating
Risk
Rating
Number
 of Loans
Net
Book Value
Total Loan
 Exposure(1)
Number
 of Loans
Net
Book Value
Total Loan
 Exposure(1)(2)
Risk
Rating
Number
 of Loans
Net
Book Value
Total Loan
 Exposure(1)
Net Loan
 Exposure(2)
1112$1,059,274 $1,081,961 8$642,776 $645,854 117$1,158,445 $1,182,278 $1,128,313 
22426,323,2627,008,246285,200,5335,515,2502406,462,4587,689,8685,808,391
3313714,070,84915,072,20614113,604,02714,944,045312313,105,73513,695,32612,775,551
44132,684,9392,687,284102,270,8722,277,6534133,172,0293,177,1403,118,503
551284,809286,3091284,809286,30956997,697998,057800,799
Total loans receivableTotal loans receivable205$24,423,133 $26,136,006 188$22,003,017 $23,669,111 Total loans receivable199$24,896,364 $26,742,669 $23,631,557 
CECL reserveCECL reserve(144,431)(124,679)CECL reserve(336,591)
Loans receivable, netLoans receivable, net$24,278,702 $21,878,338 Loans receivable, net$24,559,773 
December 31, 2022
Risk
Rating
Risk
Rating
Number
 of Loans
Net
Book Value
Total Loan
 Exposure(1)
Net Loan
 Exposure(2)
1117$1,403,185 $1,428,232 $1,170,725 
22365,880,4246,562,8525,292,933
3313414,128,13315,209,01813,826,730
44112,677,0272,680,1452,628,539
555929,111930,034740,256
Total loans receivableTotal loans receivable203$25,017,880 $26,810,281 $23,659,183 
CECL reserveCECL reserve(326,137)
Loans receivable, netLoans receivable, net$24,691,743 
(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 $1.6$1.7 billion and $1.5$1.6 billion of such non-consolidated senior interests as of September 30, 2022March 31, 2023 and December 31, 2021,2022, respectively.
(2)Excludes investmentNet loan exposure reflects the amount of each loan that is subject to the 2018 Single Asset Securitizationrisk of $379.3credit loss to us as of March 31, 2023, which is our total loan exposure net of (i) $1.7 billion of non-consolidated senior interests, (ii) $822.9 million of asset-specific debt, (iii) $229.5 million of loan participations sold, and (iv) our aggregate CECL reserve of $336.6 million. Our net loan exposure as of December 31, 2021. See Note 4 for details2022 is our total loan exposure net of (i) $1.6 billion of non-consolidated senior interests, (ii) $950.3 million of asset-specific debt, (iii) $224.7 million of loan participations sold, and and (iv) our aggregate CECL reserve of $326.1 million. Our non-consolidated senior interests, asset-specific debt, and loan participations sold are structurally non-recourse and term-matched to the subordinate position we own in the 2018 Single Asset Securitization.corresponding collateral loans.
TheOur loan portfolio had a weighted-average risk rating of our total loan exposure was 2.82.9 as of both September 30, 2022March 31, 2023 and December 31, 2021.2022.



22


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 threeyear ended March 31, 2023 and nine months ended September 30, 2022 and 2021 ($ in thousands):
 
U.S. Loans(1)
Non-U.S.
 Loans
Unique
 Loans
Impaired
 Loans
Total
     
CECL reserve as of December 31, 2021$26,885 $10,263 $32,657 $54,874 $124,679 
Decrease in CECL reserve(644)(54)(1,760)(2,458)
CECL reserve as of March 31, 2022$26,241 $10,209 $30,897 $54,874 $122,221 
Increase in CECL reserve7,0701,1352,59810,803 
CECL reserve as of June 30, 2022$33,311 $11,344 $33,495 $54,874 $133,024 
Increase in CECL reserve8,280453,08211,407
CECL reserve as of September 30, 2022$41,591 $11,389 $36,577 $54,874 $144,431 
CECL reserve as of December 31, 2020$42,995 $27,734 $33,159 $69,661 $173,549 
Increase (decrease) in CECL reserve1,539 (3,134)146 — (1,449)
CECL reserve as of March 31, 2021$44,534 $24,600 $33,305 $69,661 $172,100 
Decrease in CECL reserve(26,861)(15,771)(523)— (43,155)
CECL reserve as of June 30, 2021$17,673 $8,829 $32,782 $69,661 $128,945 
Increase (decrease) in CECL reserve3,253 (283)(1,527)— 1,443 
CECL reserve as of September 30, 2021$20,926 $8,546 $31,255 $69,661 $130,388 
 
U.S. Loans(1)
Non-U.S.
 Loans
Unique
 Loans
Impaired
 Loans
Total
Loans Receivable, Net     
CECL reserve as of December 31, 2022$67,880 $22,519 $45,960 $189,778 $326,137 
Increase (decrease) in CECL reserve5,314(2,823)4837,48010,454 
CECL reserve as of March 31, 2023$73,194 $19,696 $46,443 $197,258 $336,591 
CECL reserve as of December 31, 2021$26,885 $10,263 $32,657 $54,874 $124,679 
Decrease in CECL reserve(644)(54)(1,760)— (2,458)
CECL reserve as of March 31, 2022$26,241 $10,209 $30,897 $54,874 $122,221 
(1) Includes Canadian loans, which have similar risk characteristics as U.S. loans.
During the three months ended March 31, 2023, we recorded an increase of $10.5 million in the CECL reserve against our loans receivable portfolio, bringing our total loans receivable CECL reserve to $336.6 million as of March 31, 2023. This CECL reserve reflects certain loans assessed for impairment in our portfolio, as well as macroeconomic conditions.
During the three months ended March 31, 2023, we recorded an aggregate net increase of $7.5 million in the asset-specific CECL reserve related to our impaired loans. The increase was primarily driven by one additional loan that was impaired during the three months ended March 31, 2023. As of March 31, 2023, the income accrual was suspended on this loan as recovery of income and principal was doubtful. During the three months ended March 31, 2023, we recorded $1.8 million of interest income on this loan.
As of March 31, 2023, we had an aggregate $197.3 million asset-specific CECL reserve related to six of our loans receivable, with an aggregate net book value of $997.7 million. This CECL reserve was recorded based on our estimation of the fair value of each of the loan's underlying collateral as of March 31, 2023. No income was recorded during the three months ended March 31, 2023 on our loans that were deemed impaired as of December 31, 2022. As of March 31, 2023, all borrowers were current with all contractual terms of each respective loan, including payments of interest. During the three months ended March 31, 2023, we received an aggregate $18.3 million of cash proceeds from such loans that were applied as a reduction to the principal balance of each respective loan. Refer to Note 2 for further discussion of our revenue recognition policy and CECL reserve.













23


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
Previously, we entered into loan modifications related to a multifamily asset in New York City, which were classified as troubled debt restructurings under GAAP. During the three months ended December 31, 2021, the borrower committed significant additional capital to the property and engaged new management to oversee property operations, and we reduced the loan's outstanding principal balance to $37.5 million, which remains unchanged as of September 30, 2022. As a result of the modification, during the three months ended December 31, 2021, we charged-off $14.4 million of the $14.8 million asset-specific CECL reserve we recorded on this loan, and reversed the remaining $360,000 CECL reserve. We have no remaining asset-specific CECL reserve against this loan as of September 30, 2022. The loan is paying interest income current and we resumed income accrual for this loan as of December 31, 2021. No income was recorded on this loan during the nine months ended September 30, 2021.
Previously, we entered into a loan modification related to a hospitality asset in New York City, which is classified as a troubled debt restructuring under GAAP. As of September 30, 2022, this loan has an outstanding principal balance of $286.3 million, net of cost-recovery proceeds, and a CECL reserve of $54.9 million, which was recorded based on our estimation of the fair value of the loan’s underlying collateral as of September 30, 2022. No income was recorded on this loan during both the nine months ended September 30, 2022 and 2021.
24


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 September 30, 2022March 31, 2023 and December 31, 2021,2022, respectively, by year of origination, investment pool, and risk rating ($ in thousands):
Net Book Value of Loans Receivable by Year of Origination(1)
Net Book Value of Loans Receivable by Year of Origination(1)
As of September 30, 2022 As of March 31, 2023
Risk RatingRisk Rating20222021202020192018PriorTotalRisk Rating20232022202120202019PriorTotal
U.S. loans(2)
U.S. loans(2)
U.S. loans(2)
11$126,002 $312,208 $4,716 $200,910 $415,438 $— $1,059,274 1$— $149,285 $489,225 $33,251 $27,597 $416,370 $1,115,728 
22117,2401,985,821489,744152,1021,068,6233,813,5302117,3871,793,59932,182298,4641,258,1623,499,794
331,978,7585,733,693273,892952,167823,215283,41410,045,13932,095,6445,199,940586,456697,216508,6159,087,871
44208,82996,542819,164365,2541,489,7894528,048140,0001,213,4041,881,452
555
Total U.S. loansTotal U.S. loans$2,222,000 $8,240,551 $768,352 $1,401,721 $3,126,440 $648,668 $16,407,732 Total U.S. loans$— $2,362,316 $8,010,812 $791,889 $1,023,277 $3,396,551 $15,584,845 
Non-U.S. loansNon-U.S. loansNon-U.S. loans
11$— $— $— $— $— $— $— 1$— $— $— $— $— $— $— 
22533,332570,49786,8951,110,9622,301,6862834,709998,82396,1591,032,9732,962,664
33756,1311,423,210709,834135,0243,024,1993801,8861,147,901922,53588,6802,961,002
44312,314312,3144349,991349,991
55— 5— 
Total Non-U.S. loansTotal Non-U.S. loans$1,289,463 $1,993,707 $86,895 $2,133,110 $135,024 $— $5,638,199 Total Non-U.S. loans$— $1,636,595 $2,146,724 $96,159 $2,305,499 $88,680 $6,273,657 
Unique loansUnique loansUnique loans
11$— $— $— $— $— $— $— 1$— $42,717 $— $— $— $— $42,717 
22208,046208,0462
33838,610162,901— 1,001,5113876,721180,141 1,056,862
44267,077615,759882,8364295,462645,124940,586
555
Total unique loansTotal unique loans$1,046,656 $— $— $267,077 $778,660 $— $2,092,393 Total unique loans$— $919,438 $— $— $295,462 $825,265 $2,040,165 
Impaired loansImpaired loansImpaired loans
11$— $— $— $— $— $— $— 1$— $— $— $— $— $— $— 
222
333
444
55284,809284,8095205,595792,102997,697
Total impaired loansTotal impaired loans$— $— $— $— $284,809 $— $284,809 Total impaired loans$— $— $205,595 $— $— $792,102 $997,697 
Total loans receivableTotal loans receivableTotal loans receivable
11$126,002 $312,208 $4,716 $200,910 $415,438 $— $1,059,274 1$— $192,002 $489,225 $33,251 $27,597 $416,370 $1,158,445 
22858,6182,556,318576,6391,263,0641,068,6236,323,2622952,0962,792,422128,3411,331,4371,258,1626,462,458
333,573,4997,156,903273,8921,662,0011,121,140283,41414,070,84933,774,2516,347,841586,4561,619,751777,43613,105,735
44208,829675,9331,434,923365,2542,684,9394528,048140,000645,4531,858,5283,172,029
55284,809284,8095205,595792,102997,697
Total loans receivableTotal loans receivable$4,558,119 $10,234,258 $855,247 $3,801,908 $4,324,933 $648,668 $24,423,133 Total loans receivable$— $4,918,349 $10,363,131 $888,048 $3,624,238 $5,102,598 $24,896,364 
CECL reserveCECL reserve(144,431)CECL reserve(336,591)
Loans receivable, netLoans receivable, net$24,278,702 Loans receivable, net$24,559,773 
(1)Date loan was originated or acquired by us. Origination dates are subsequently updated to reflect material loan modifications.
(2)Includes Canadian loans, which have similar risk characteristics as U.S. loans.
24


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
 
Net Book Value of Loans Receivable by Year of Origination(1)
 As of December 31, 2022
Risk Rating20222021202020192018PriorTotal
U.S. loans(2)
1$145,152 $563,426 $5,075 $231,894 $415,471 $— $1,361,018 
2117,3141,742,289362,062156,4781,178,7213,556,864
32,035,1115,776,346411,880735,772472,13480,3239,511,566
4096,5421,160,627132,6871,389,856
5
Total U.S. loans$2,297,577 $8,082,061 $779,017 $1,220,686 $3,226,953 $213,010 $15,819,304 
Non-U.S. loans
1$— $— $— $— $— $— $— 
2590,580609,27094,9951,028,7152,323,560
3977,7671,586,2660896,39286,7063,547,131
4344,089344,089
5
Total Non-U.S. loans$1,568,347 $2,195,536 $94,995 $2,269,196 $86,706 $— $6,214,780 
Unique loans
1$42,167 $— $— $— $— $— $42,167 
2
3893,114176,3221,069,436
4289,141653,941943,082
5
Total unique loans$935,281 $— $— $289,141 $830,263 $— $2,054,685 
Impaired loans
1$— $— $— $— $— $— $— 
2
3
4
5208,894284,809435,408929,111
Total impaired loans$— $208,894 $— $— $284,809 $435,408 $929,111 
Total loans receivable
1$187,319 $563,426 $5,075 $231,894 $415,471 $— $1,403,185 
2707,8942,351,559457,0571,185,1931,178,7215,880,424
33,905,9927,362,612411,8801,632,164735,16280,32314,128,133
4729,7721,814,568132,6872,677,027
5208,894284,809435,408929,111
Total loans receivable$4,801,205 $10,486,491 $874,012 $3,779,023 $4,428,731 $648,418 $25,017,880 
CECL reserve(326,137)
Loans receivable, net$24,691,743 
(1)Date loan was originated or acquired by us. Origination dates are subsequently updated to reflect material loan modifications.
(2)Includes Canadian loans, which have similar risk characteristics as U.S. loans.

25


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, 2021
Risk Rating20212020201920182017PriorTotal
U.S. loans(3)
1$125,873 $— $196,017 $72,752 $248,134 $— $642,776 
2876,536427,839221,5131,134,176354,77582,2743,097,113
37,511,883358,4481,109,1701,116,872292,520228,26410,617,157
496,539534,93863,35889,439784,274
5
Total U.S. loans$8,514,292 $786,287 $1,623,239 $2,858,738 $958,787 $399,977 $15,141,320 
Non-U.S. loans
1$— $— $— $— $— $— $— 
2698,13098,4121,306,8782,103,420
31,403,110932,939394,9492,730,998
4343,030343,030
5
Total Non-U.S. loans$2,101,240 $98,412 $2,582,847 $394,949 $— $— $5,177,448 
Unique loans
1$— $— $— $— $— $— $— 
2
3197,01858,854255,872
4322,787820,7811,143,568
5
Total unique loans$— $— $322,787 $1,017,799 $— $58,854 $1,399,440 
Impaired loans
1$— $— $— $— $— $— $— 
2
3
4
5284,809284,809
Total impaired loans$— $— $— $284,809 $— $— $284,809 
Total loans receivable
1$125,873 $— $196,017 $72,752 $248,134 $— $642,776 
21,574,666526,2511,528,3911,134,176354,77582,2745,200,533
38,914,993358,4482,042,1091,708,839292,520287,11813,604,027
4762,3561,355,71963,35889,4392,270,872
5284,809284,809
Total loans receivable$10,615,532 $884,699 $4,528,873 $4,556,295 $958,787 $458,831 $22,003,017 
CECL reserve(124,679)
Loans receivable, net$21,878,338 
(1)Date loan was originated or acquired by us. Origination dates are subsequently updated to reflect material loan modifications.
(2)Excludes the $78.0 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.
(3)Includes Canadian loans, which have similar risk characteristics as U.S. loans.

26


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 September 30, 2022March 31, 2023 and December 31, 2021,2022, our Multifamily Joint Venture held $802.9$797.7 million and $746.9$795.6 million of loans, respectively, which are included in the loan disclosures above. Refer to Note 2 for additional discussion of our Multifamily Joint Venture.
25


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
4. OTHER ASSETS AND LIABILITIES
Other Assets
The following table details the components of our other assets ($ in thousands):
September 30, 2022December 31, 2021 March 31, 2023December 31, 2022
Accrued interest receivableAccrued interest receivable$146,882 $86,101 Accrued interest receivable$181,951 $189,569 
Loan portfolio payments held by servicer(1)
Loan portfolio payments held by servicer(1)
98,77868,489
Derivative assetsDerivative assets94,35230,531 Derivative assets16,9077,349 
Loan portfolio payments held by servicer(1)
4,20477,624
Collateral deposited under derivative agreementsCollateral deposited under derivative agreements10,370103,110 
Prepaid expensesPrepaid expenses1,0631,067 
Accounts receivable and other assetsAccounts receivable and other assets2,529572 Accounts receivable and other assets1,0171,318 
Prepaid expenses61956 
Debt securities held-to-maturity(2)
78,083 
CECL reserve(70)
Debt securities held-to-maturity, net78,013 
TotalTotal$248,028 $273,797 Total$310,086 $370,902 
(1)Primarily represents loan principal held by our third-party loan servicer as of the balance sheet date which were remitted to us during the subsequent remittance cycle.
(2)Represents the subordinate position we own in the 2018 Single Asset Securitization, which held aggregate loan assets of $379.3 million as of December 31, 2021, 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. During the nine months ended September 30, 2022, the 2018 Single Asset Securitization was liquidated upon full repayment of its collateral and all senior securities outstanding. Refer to Note 18 for additional discussion.










27


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 debt securities CECL reserve for the three and nine months ended September 30, 2022 and 2021 ($ in thousands):
Debt Securities Held-To-Maturity Total
CECL reserve as of December 31, 2021$70 
Decrease in CECL reserve(70)
CECL reserve as March 31, 2022$— 
Decrease in CECL reserve— 
CECL reserve as of June 30, 2022$— 
Decrease in CECL reserve— 
CECL reserve as of September 30, 2022$— 
CECL reserve as of December 31, 2020$1,723 
Decrease in CECL reserve(834)
CECL reserve as of March 31, 2021$889 
Decrease in CECL reserve(767)
CECL reserve as of June 30, 2021$122 
Increase in CECL reserve158 
CECL reserve as of September 30, 2021$280 
Other Liabilities
The following table details the components of our other liabilities ($ in thousands):
September 30, 2022December 31, 2021 March 31, 2023December 31, 2022
Accrued dividends payableAccrued dividends payable$105,956 $104,271 Accrued dividends payable$106,816 $106,455 
Accrued interest payableAccrued interest payable57,680 29,851 Accrued interest payable63,991 80,263 
Secured debt repayments pending servicer remittance(1)
Secured debt repayments pending servicer remittance(1)
43,502 60,585 
Accrued management and incentive fees payableAccrued management and incentive fees payable25,911 28,373 Accrued management and incentive fees payable31,050 33,830 
Current expected credit loss reserve for unfunded loan commitments(1)
9,275 6,263 
Current expected credit loss reserve for unfunded loan commitments(2)
Current expected credit loss reserve for unfunded loan commitments(2)
15,749 16,380 
Derivative liabilitiesDerivative liabilities13,550 119,665 
Accounts payable and other liabilitiesAccounts payable and other liabilities7,272 9,046 Accounts payable and other liabilities8,588 9,726 
Secured debt repayments pending servicer remittance(2)
2,302 47,664 
Derivative liabilities979 5,890 
TotalTotal$209,375 $231,358 Total$283,246 $426,904 
(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.

(2)



Represents the CECL reserve related to our unfunded loan commitments. See Note 2 for further discussion of the CECL reserve.
2826


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
Current Expected Credit Loss Reserve for Unfunded Loan Commitments
As of September 30, 2022,March 31, 2023, we had unfunded commitments of $4.1$3.4 billion related to 122112 loans receivable. The expected credit losses over the contractual period of our loans is impacted by our obligation to extend further credit through our unfunded loan commitments. See Note 2 for further discussion of the CECL reserve related to our unfunded loan commitments, and Note 20 for further discussion of our unfunded loan commitments. The following table presents the activity in the CECL reserve related to our unfunded loan commitments by investment pool for the three and nine months ended September 30,March 31, 2023 and 2022 and 2021 ($ in thousands):
 U.S. Loans
Non-U.S.
 Loans
Unique
 Loans
Impaired
 Loans
Total
CECL reserve as of December 31, 2022$11,748 $4,632 $— $— $16,380 
Decrease in CECL reserve(148)(483)— — (631)
CECL reserve as of March 31, 2023$11,600 $4,149 $— $— $15,749 
CECL reserve as of December 31, 2021$4,072 $2,191 $— $— $6,263 
Increase (decrease) in CECL reserve209 (218)— — (9)
CECL reserve as of March 31, 2022$4,281 $1,973 $— $— $6,254 
27

 U.S. Loans
Non-U.S.
 Loans
Unique
 Loans
Impaired
 Loans
Total
CECL reserve as of December 31, 2021$4,072 $2,191 $— $— $6,263 
Increase (decrease) in CECL reserve209 (218)— — (9)
CECL reserve as of March 31, 2022$4,281 $1,973 $— $— $6,254 
Increase in CECL reserve2,042 138 — — 2,180 
CECL reserve as of June 30, 2022$6,323 $2,111 $— $— $8,434 
Increase in CECL reserve527 314 — — 841 
CECL reserve as of September 30, 2022$6,850 $2,425 $— $— $9,275 
CECL reserve as of December 31, 2020$6,953 $2,994 $84 $— $10,031 
Increase (decrease) in CECL reserve216 778 (4)— 990 
CECL reserve as of March 31, 2021$7,169 $3,772 $80 $— $11,021 
Decrease in CECL reserve(4,315)(2,632)(37)— (6,984)
CECL reserve as of June 30, 2021$2,854 $1,140 $43 $— $4,037 
             Increase (decrease) in CECL reserve566 643 (43)— 1,166 
CECL reserve as of September 30, 2021$3,420 $1,783 $— $— $5,203 

Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
5. SECURED DEBT, NET
Our secured debt includes our secured credit facilities and our acquisition facility. During the ninethree months ended September 30, 2022,March 31, 2023, we obtained approval for $4.4 billion$73.9 million of new borrowings against $5.6 billion92.4million of collateral assets. Additionally, during the nine months ended September 30, 2022, we (i) entered into two new secured credit facilities providing an aggregate $2.1 billion of credit capacity and (ii) we increased the size of six existing secured credit facilities providing an aggregate $1.4 billion of additional credit capacity. The following table details our secured debt ($ in thousands):
Secured Debt
Borrowings Outstanding
Secured Debt
Borrowings Outstanding
September 30, 2022December 31, 2021 March 31, 2023December 31, 2022
Secured credit facilitiesSecured credit facilities$13,213,212 $12,299,580 Secured credit facilities$14,051,435 $13,549,748 
Acquisition facilityAcquisition facilityAcquisition facility
Total secured debtTotal secured debt$13,213,212 $12,299,580 Total secured debt$14,051,435 $13,549,748 
Deferred financing costs(1)
Deferred financing costs(1)
(24,520)(19,538)
Deferred financing costs(1)
(21,949)(21,584)
Net book value of secured debtNet book value of secured debt$13,188,692 $12,280,042 Net book value of secured debt$14,029,486 $13,528,164 
(1)Costs incurred in connection with our secured debt are recorded on our consolidated balance sheets when incurred and recognized as a component of interest expense over the life of each related facility.


29


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
Secured Credit Facilities

Our secured credit facilities are bilateral agreements we use to finance diversified pools of senior loan collateral with sufficient flexibility to accommodate our investment and asset management strategy. The facilities are uniformly structured to provide currency, index, and term-matched financing without capital markets based mark-to-market provisions. Our credit facilities are diversified across 15 counterparties, primarily consisting of top global financial institutions to minimize our counterparty risk exposure.
The following table details our secured credit facilities by spread over the applicable base rates as of September 30, 2022March 31, 2023 ($ in thousands):

September 30, 2022
     Recourse Limitation
Currency
Lenders(1)
Borrowings
Wtd Avg. Maturity(2)
Loan Count
Collateral(3)
Wtd Avg.
Maturity(4)
Wtd. Avg.Range
USD14$7,627,832 2/6/2026149$11,656,788 2/24/202636%25% - 100%
GBP72,074,791 1/21/2026212,729,052 4/6/202627%25% - 50%
EUR71,977,876 8/1/2025112,631,862 8/6/202542%25% - 100%
Others(5)
41,532,713 5/23/202781,944,598 5/7/202725%25%
Total15$13,213,212 3/2/2026188$18,962,300 3/19/202634%25% - 100%

March 31, 2023
     Recourse Limitation
Currency
Lenders(1)
Borrowings
Wtd Avg. Maturity(2)
Loan Count
Collateral(3)
Wtd Avg.
Maturity(4)
Wtd. Avg.Range
USD14$7,924,192 February 2026132$11,686,034 March 202635%25% - 100%
GBP72,413,082 March 2026223,213,057 May 202627%25% - 50%
EUR72,059,273 August 2025112,783,712 August 202542%25% - 100%
Others(5)
41,654,888 June 202782,091,735 June 202725%25%
Total15$14,051,435 March 2026173$19,774,538 April 202633%25% - 100%
(1)Represents the number of lenders with fundings advanced in each respective currency, as well as the total number of facility lenders.
(2)BasedOur secured debt agreements are generally term-matched to their underlying collateral. Therefore, the weighted average maturity is generally allocated based on the earlier of (i) the maximum maturity date of each secured credit facility, or (ii) the maximum maturity date of the collateral loans.loans, assuming all extension options are exercised by the borrower. In limited instances, the maturity date of the respective secured credit facility is used.
(3)Represents the principal balance of the collateral assets.
(4)Maximum maturity assumes all extension options are exercised by the borrower, however our loans may be repaid prior to such date.
(5)Includes Australian Dollar, Canadian Dollar, Danish Krone, Swedish Krona, and Swiss Franc currencies.

The availability of funding under our secured credit facilities is based on the amount of approved collateral, which collateral is proposed by us in our discretion and approved by the respective counterparty in its discretion, resulting in a mutually agreed collateral portfolio construction. Certain structural elements of our secured credit facilities, including the limitation on recourse to us and facility economics are influenced by the specific collateral portfolio construction of each facility, and therefore vary within and among the facilities.

























3028


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
The following tables detail the spread of our secured debt as of September 30, 2022March 31, 2023 and December 31, 20212022 ($ in thousands):
Nine Months Ended September 30, 2022September 30, 2022 Three Months Ended March 31, 2023March 31, 2023
Spread(1)
Spread(1)
New Financings(2)
Total
Borrowings
Wtd. Avg.
All-in Cost(1)(3)(4)
Collateral(5)
Wtd. Avg.
All-in Yield(1)(3)
Net Interest
 Margin(6)
Spread(1)
New Financings(2)
Total
Borrowings
Wtd. Avg.
All-in Cost(1)(3)(4)
Collateral(5)
Wtd. Avg.
All-in Yield(1)(3)
Net Interest
 Margin(6)
+ 1.50% or less+ 1.50% or less$1,194,022 $7,635,918 +1.52 %$10,764,384 +3.20 %+1.68 %+ 1.50% or less$— $7,134,303 +1.55 %$9,688,226 +3.27 %+1.72 %
+ 1.51% to + 1.75%+ 1.51% to + 1.75%359,5182,403,030 +1.88 %3,734,985 +3.59 %+1.71 %+ 1.51% to + 1.75%— 2,617,621 +1.86 %3,795,012 +3.65 %+1.79 %
+ 1.76% to + 2.00%+ 1.76% to + 2.00%467,9171,319,127 +2.17 %1,904,840 +4.18 %+2.01 %+ 1.76% to + 2.00%— 1,867,336 +2.16 %2,967,903 +4.05 %+1.89 %
+ 2.01% or more+ 2.01% or more1,036,1821,855,137 +2.66 %2,558,091 +4.92 %+2.26 %+ 2.01% or more69,5242,432,175 +2.62 %3,323,397 +4.78 %+2.16 %
TotalTotal$3,057,639 $13,213,212 +1.81 %$18,962,300 +3.61 %+1.80 %Total$69,524 $14,051,435 +1.88 %$19,774,538 +3.71 %+1.83 %
 Year Ended December 31, 2021December 31, 2021
Spread(1)
New Financings(2)
Total
Borrowings
Wtd. Avg.
All-in Cost(1)(3)(4)
Collateral(5)
Wtd. Avg.
All-in Yield(1)(3)
Net Interest
Margin(6)
+ 1.50% or less$5,306,925 $7,746,026 +1.52 %$10,193,801 +3.18 %+1.66 %
+ 1.51% to + 1.75%1,477,1772,710,587+1.88 %3,977,492+3.55 %+1.67 %
+ 1.76% to + 2.00%668,470998,781+2.13 %1,458,074+4.28 %+2.15 %
+ 2.01% or more310,991844,186+2.49 %1,413,014+4.75 %+2.26 %
Total$7,763,563 $12,299,580 +1.72 %$17,042,381 +3.49 %+1.77 %
 Year Ended December 31, 2022December 31, 2022
Spread(1)
New Financings(2)
Total
Borrowings
Wtd. Avg.
All-in Cost(1)(3)(4)
Collateral(5)
Wtd. Avg.
All-in Yield(1)(3)
Net Interest
Margin(6)
+ 1.50% or less$1,329,508 $7,433,204 +1.53 %$10,465,647 +3.24 %+1.71 %
+ 1.51% to + 1.75%368,2652,246,223+1.88 %3,538,815+3.73 %+1.85 %
+ 1.76% to + 2.00%405,7231,514,541+2.16 %2,483,240+4.14 %+1.98 %
+ 2.01% or more1,246,6502,355,780+2.63 %3,207,088+4.78 %+2.15 %
Total$3,350,146 $13,549,748 +1.85 %$19,694,790 +3.70 %+1.85 %
(1)The spread, all-in cost, and all-in yield are expressed over the relevant floating benchmark rates, which include SOFR, USD LIBOR, SOFR, SONIA, GBP LIBOR, EURIBOR, and other indices as applicable.
(2)Represents borrowings outstanding as of September 30, 2022March 31, 2023 and December 31, 2021,2022, respectively, for new financings during the ninethree months ended September 30, 2022March 31, 2023 and year ended December 31, 2021,2022, respectively, based on the date collateral was initially pledged to each credit facility.
(3)In addition to spread, the cost includes the associated deferred fees and expenses related to the respective borrowings. In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees. Excludes loans accounted for under the cost recovery method.
(4)Represents the weighted-average all-in cost as of September 30, 2022March 31, 2023 and December 31, 2021,2022, respectively, and is not necessarily indicative of the spread applicable to recent or future borrowings.
(5)Represents the principal balance of the collateral assets.
(6)Represents the difference between the weighted-average all-in yield and weighted-average all-in cost.
Our secured credit facilities generally permit us to increase or decrease the amount advanced against the pledged collateral in our discretion within certain maximum/minimum amounts and frequency limitations. As of September 30, 2022,March 31, 2023, there was an aggregate $1.4$1.0 billion available to be drawn at our discretion under our credit facilities.
Acquisition Facility
We have a $250.0$100.0 million full recourse secured credit facility that is designed to finance eligible first mortgage originations for up to nine months as a bridge to term financing without obtaining discretionary lender approval. The cost of borrowing under the facility is variable, dependent on the type of loan collateral, and its maturity date is April 4, 2023.3, 2024.
During the ninethree months ended September 30,March 31, 2023, we had no borrowings under the acquisition facility and we recorded interest expense of $299,000, including $81,000 of amortization of deferred fees and expenses.
During the year ended December 31, 2022, we had no borrowings under the acquisition facility. During the three months ended September 30, 2022,facility and we recorded interest expense of $306,000,$1.2 million, including $82,000 of amortization of deferred fees and expenses. During the nine months ended September 30, 2022, we recorded interest expense of $914,000, including $250,000$333,000 of amortization of deferred fees and expenses.
3129


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
During the year ended December 31, 2021, we had no borrowings under the acquisition facility. During the three months ended September 30, 2021, we recorded interest expense of $307,000 including $84,000 of amortization of deferred fees and expenses. During the nine months ended September 30, 2021 we recorded interest expense of $925,000, including $262,000 of amortization of deferred fees and expenses.
Financial Covenants
We are subject to the following financial covenants related to our secured debt: (i) our ratio of earnings before interest, taxes, depreciation, and amortization, or EBITDA, to fixed charges, as defined in the agreements, shall be not less than 1.4 to 1.0; (ii) our tangible net worth, as defined in the agreements, shall not be less than $3.6 billion as of each measurement date plus 75% to 85% of the net cash proceeds of future equity issuances subsequent to September 30, 2022;March 31, 2023; (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 September 30, 2022March 31, 2023 and December 31, 2021,2022, we were in compliance with these covenants.
30


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 2021 FL4 CLO, 2020 FL3 CLO, and 2020 FL2 CLO or collectively, the CLOs. The CLOs are consolidated in our financial statements and have issued securitized debt obligations that are non-recourse to us. Refer to Note 18 for further discussion of our CLOs.
The following tables detail our securitized debt obligations and the underlying collateral assets that are financed by our CLOs ($ in thousands):
 September 30, 2022
Securitized Debt ObligationsCount
Principal
 Balance
Book
Value
Wtd. Avg.
 Yield/Cost(1)(2)
Term(3)
2021 FL4 Collateralized Loan Obligation     
Collateral assets31$1,000,000 $1,000,000 + 3.51 %May 2025
Financing provided1803,750799,063+ 1.57 %May 2038
2020 FL3 Collateralized Loan Obligation
Collateral assets161,000,0001,000,000+ 3.21 %October 2024
Financing provided1808,750806,068+ 2.03 %November 2037
2020 FL2 Collateralized Loan Obligation
Collateral assets181,500,0001,500,000+ 3.39 %September 2024
Financing provided11,243,1251,238,901+ 1.39 %February 2038
Total
Collateral assets65$3,500,000 $3,500,000 + 3.37 %
Financing provided(4)
3$2,855,625 $2,844,032 + 1.62 %
 
 March 31, 2023
Securitized Debt ObligationsCount
Principal
 Balance
Book
Value
Wtd. Avg.
 Yield/Cost(1)(2)
Term(3)
2021 FL4 Collateralized Loan Obligation     
Senior CLO Securities Outstanding1$803,750 $800,192 + 1.57 %May 2038
Underlying Collateral Assets291,000,0001,000,000+ 3.51 %June 2025
2020 FL3 Collateralized Loan Obligation
Senior CLO Securities Outstanding1808,750807,428+ 2.15 %November 2037
Underlying Collateral Assets161,000,0001,000,000+ 3.24 %November 2024
2020 FL2 Collateralized Loan Obligation
Senior CLO Securities Outstanding11,059,2341,056,588+ 1.55 %February 2038
Underlying Collateral Assets171,316,1091,316,109+ 3.41 %November 2024
Total
Senior CLO Securities Outstanding(4)
3$2,671,734 $2,664,208 +1.74 %
Underlying Collateral Assets62$3,316,109 $3,316,109 + 3.39 %

(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.
(2)The weighted-average all-in yield and cost are expressed as a spread over the relevant floating benchmark rates, which include SOFR and USD LIBOR, and SOFR, as applicable to each securitized debt obligation. As of September 30, 2022,March 31, 2023, the floating benchmark rate for the financing provided on the 2020 FL3 and 2020 FL2 CLOs is one-month SOFR, plus a credit spread adjustment of 0.11%.SOFR. As of September 30, 2022,March 31, 2023, one-month SOFR was 3.04%4.80% and one-month USD LIBOR was 3.14%4.86%. Excludes loans accounted for under the cost recovery method.
(3)LoanUnderlying Collateral Assets term represents the weighted-average final maturity of such loans, assuming all extension options are exercised by the borrower. Repayments of securitized debt obligations are tied to timing of the related collateral loan asset repayments. The term of these obligations represents the rated final distribution date of the securitizations.
(4)During the three and nine months ended September 30, 2022,March 31, 2023, we recorded $26.1$39.8 million and $52.6 million, respectively, of interest expense related to our securitized debt obligations.

3231


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
 December 31, 2021
Securitized Debt ObligationsCount
Principal
 Balance
Book Value
Wtd. Avg.
 Yield/Cost(1)(2)
Term(3)
2021 FL4 Collateralized Loan Obligation
Collateral assets34$1,000,000 $1,000,000 + 3.42 %October 2024
Financing provided1803,750797,373+ 1.66 %May 2038
2020 FL3 Collateralized Loan Obligation
Collateral assets181,000,000 1,000,000 + 3.06 %May 2024
Financing provided1808,750804,096+ 2.10 %November 2037
2020 FL2 Collateralized Loan Obligation
Collateral assets211,500,0001,500,000+ 3.15 %March 2024
Financing provided11,243,1251,236,593+ 1.45 %February 2038
Total
Collateral assets73$3,500,000 $3,500,000 +3.20 %
Financing provided(4)
3$2,855,625 $2,838,062 +1.69 %
 December 31, 2022
Securitized Debt ObligationsCount
Principal
 Balance
Book Value
Wtd. Avg.
 Yield/Cost(1)(2)
Term(3)
2021 FL4 Collateralized Loan Obligation
Senior CLO Securities Outstanding1$803,750 $799,626 + 1.57 %May 2038
Underlying Collateral Assets301,000,0001,000,000+ 3.47 %May 2025
2020 FL3 Collateralized Loan Obligation
Senior CLO Securities Outstanding1808,750806,757+ 2.14 %November 2037
Underlying Collateral Assets161,000,000 1,000,000 + 3.25 %November 2024
2020 FL2 Collateralized Loan Obligation
Senior CLO Securities Outstanding11,061,0411,057,627+ 1.55 %February 2038
Underlying Collateral Assets171,317,9161,317,916+ 3.42 %November 2024
Total
Senior CLO Securities Outstanding(4)
3$2,673,541 $2,664,010 +1.73 %
Underlying Collateral Assets63$3,317,916 $3,317,916 +3.38 %

(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.
(2)The weighted-average all-in yield and cost are expressed as a spread over the relevant floating benchmark rates, which include SOFR and USD LIBOR, and SOFR, as applicable to each securitized debt obligation. As of December 31, 2021,2022, the floating benchmark rate for the financing provided on the 2020 FL3 and 2020 FL2 CLOs is one-month SOFR, plus a credit spread adjustment of 0.11%.SOFR. As of December 31, 2021,2022, one-month SOFR was 0.05%4.36% and one-month USD LIBOR was 0.10%4.39%. Excludes loans accounted for under the cost recovery method.
(3)LoanUnderlying Collateral Assets term represents the weighted-average final maturity of such loans, assuming all extension options are exercised by the borrower. Repayments of securitized debt obligations are tied to timing of the related collateral loan asset repayments. The term of these obligations represents the rated final distribution date of the securitizations.
(4)During the three and nine monthsyear ended September 30, 2021,December 31, 2022, we recorded $10.7$87.6 million and $35.2 million, respectively, of interest expense related to our securitized debt obligations.
7. ASSET-SPECIFIC DEBT, NET
The following tables detailtable details our asset-specific debt ($ in thousands):

September 30, 2022 March 31, 2023
Asset-Specific DebtAsset-Specific DebtCount
Principal
 Balance
Book Value
Wtd. Avg.
Yield/Cost(1)
Wtd. Avg.
 Term(2)
Asset-Specific DebtCount
Principal
 Balance
Book Value
Wtd. Avg.
Yield/Cost(1)
Wtd. Avg.
 Term(2)
Financing providedFinancing provided3$822,873 $817,444 + 3.66 %February 2026
Collateral assetsCollateral assets4$1,125,108 $1,108,063 + 4.56 %March 2026Collateral assets3$981,538 $971,397 + 4.85 %February 2026
Financing provided4$959,762 $949,891 + 3.09 %March 2026
December 31, 2021 December 31, 2022
Asset-Specific DebtAsset-Specific DebtCount
Principal
 Balance
Book Value
Wtd. Avg.
 Yield/Cost(1)
Wtd. Avg.
 Term(2)
Asset-Specific DebtCount
Principal
 Balance
Book Value
Wtd. Avg.
 Yield/Cost(1)
Wtd. Avg.
 Term(2)
Financing providedFinancing provided4$950,278 $942,503 + 3.29 %January 2026
Collateral assetsCollateral assets4$446,276 $435,727 + 4.04 %March 2025Collateral assets4$1,094,450 $1,081,035 + 4.73 %January 2026
Financing provided4$400,699 $393,824 + 2.78 %March 2025
(1)These floating rate loans and related liabilities are currency and indexed matchedindex-matched to the applicable benchmark rate relevant in each arrangement. In addition to cash coupon, yield/cost includes the amortization of deferred origination fees and financing costs.
(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. Our non-recourse, asset-specific debt is term-matched in each case to the corresponding collateral loans.

3332


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
8. LOAN PARTICIPATIONS SOLD, NET

The financing of a loan by the non-recourse sale of a senior interest in the loan through a participation agreement generally does not qualify as a sale under GAAP. Therefore, in the instance of such sales, we present the whole loan as an asset and the loan participation sold as a liability on our consolidated balance sheet until the loan is repaid. The obligation to pay principal and interest on these liabilities is generally based on the performance of the related loan obligation, and does not require an actual cash outlay from us. The gross presentation of loan participations sold does not impact stockholders’ equity or net income.

The following table details our loan participations sold ($ in thousands):
September 30, 2022 March 31, 2023
Loan Participations SoldLoan Participations SoldCount
Principal
 Balance
Book Value
Wtd. Avg.
 Yield/Cost(1)
 
Term(2)
Loan Participations SoldCount
Principal
 Balance
Book Value
Wtd. Avg.
 Yield/Cost(1)
 
Term(2)
Senior Participation(3)
Senior Participation(3)
1$229,468 $229,003 + 3.22 %March 2027
Total LoanTotal Loan1$259,703 $257,556 + 4.86 %March 2027Total Loan1$286,835 $284,940 + 4.86 %March 2027
Senior Participation1$207,762 $207,225 + 3.20 %March 2027
December 31, 2022
Loan Participations SoldLoan Participations SoldCount
Principal
 Balance
Book Value
Wtd. Avg.
 Yield/Cost(1)
 
Term(2)
Senior Participation(3)
Senior Participation(3)
1$224,744 $224,232 + 3.22 %March 2027
Total LoanTotal Loan1$280,930 $278,843 + 4.86 %March 2027
(1)This non-debt participation sold structure is inherently matched in terms of currency and interest rate. In addition to cash coupon, yield/cost includes the amortization of deferred fees and financing costs.
(2)The term is determined based on the on maximum maturity of the loan, assuming all extension options are exercised by the borrower. Our loan participation sold is inherently non-recourse and term-matched to the corresponding collateral loan.

(3)
We did not have anyDuring the three months ended March 31, 2023, we recorded $3.7 million of interest expense related to our loan participations sold as ofsold. During the year ended December 31, 2021.2022, we recorded $7.9 million of interest expense related to our loan participations sold.
9. TERM LOANS, NET

During the nine months ended September 30, 2022, we entered into a $500.0 million term loan facility, or the B-4 Term Loan. The B-4 Term Loan bears interest at SOFR plus 3.50% and matures in May 2029. As of September 30, 2022,March 31, 2023, the following senior term loan facilities, or Term Loans, were outstanding ($ in thousands):

Term LoansFace Value
Interest Rate(1)
All-in Cost(1)(2)
Maturity
B-1 Term Loan$922,743917,987 + 2.25 %+ 2.53 %April 23, 2026
B-3 Term Loan$416,224414,111 + 2.75 %+ 3.42 %April 23, 2026
B-4 Term Loan$498,750819,621 + 3.50 %3.984.11 %May 9, 2029
Total face value$2,151,719 
(1)The B-3 Term Loan and the B-4 Term Loan borrowings are subject to a floor of 0.50%. The B-1 Term Loan and B-3 Term Loan are indexed to one-month USD LIBOR and the B-4 Term Loan is indexed to one-month SOFR.
(2)Includes issue discount and transaction expenses that are amortized through interest expense over the life of the Term Loans.
The Term Loans are partially amortizing, with an amount equal to 1.0% per annum of the aggregate initial principal balance due in quarterly installments. The issue discount and transaction expenses on the B-1 Term Loan were $3.1 million and $12.6 million, respectively. The issue discount and transaction expenses of the B-3 Term Loan were $9.6 million and $5.4 million, respectively. The issue discount and transaction expenses of the B-4 Term Loan were $7.5$17.3 million and $5.9$10.3 million, respectively. These discounts and expenses will beare amortized into interest expense over the life of each Term Loan. During the three months ended March 31, 2023, we recorded $41.9 million of interest expense related to our Term Loans, including $2.3 million of amortization of deferred fees and expenses.
33


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
The following table details the net book value of our Term Loans on our consolidated balance sheets ($ in thousands):
 September 30, 2022December 31, 2021
Face value$1,837,717 $1,349,271 
Unamortized discount(14,686)(9,209)
Deferred financing costs(16,014)(12,656)
Net book value$1,807,017 $1,327,406 
34


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
 March 31, 2023December 31, 2022
Face value$2,151,719 $2,157,218 
Deferred financing costs and unamortized discount(40,487)(42,669)
Net book value$2,111,232 $2,114,549 
The guarantee under our Term Loans contains the financial covenant that our indebtedness shall not exceed 83.33% of our total assets. As of September 30, 2022March 31, 2023 and December 31, 2021,2022, we were in compliance with this covenant. Refer to Note 2 for additional discussion of our accounting policies for the Term Loans.
10. SENIOR SECURED NOTES, NET
As of September 30, 2022,March 31, 2023, the following Senior Secured Notes, were outstanding ($ in thousands):

Senior Secured NotesFace ValueInterest Rate
All-in Cost(1)
Maturity
Senior Secured Notes$400,000 3.75 %4.04 %January 15, 2027
(1)Includes transaction expenses that are amortized through interest expense over the life of the Senior Secured Notes.
The transaction expenses on the Senior Secured Notes were $6.3 million, which will beare amortized into interest expense over the life of the Senior Secured Notes. During the three months ended March 31, 2023, we recorded $4.0 million of interest expense related to our Senior Secured Notes, including $295,000 of amortization of deferred fees and expenses.
The following table details the net book value of our Senior Secured Notes on our consolidated balance sheets ($ in thousands):
September 30, 2022December 31, 2021 March 31, 2023December 31, 2022
Face valueFace value$400,000 $400,000 Face value$400,000 $400,000 
Deferred financing costsDeferred financing costs(5,136)(5,990)Deferred financing costs(4,539)(4,834)
Net book valueNet book value$394,864 $394,010 Net book value$395,461 $395,166 
The covenants under our Senior Secured Notes require us to maintain a total debt to total assets ratio, as defined in the agreements, of not greater than 83.33% and, in certain circumstances, a total unencumbered assets to total unsecured indebtedness ratio, as defined in the agreements, of 1.20 or greater. As of September 30, 2022March 31, 2023 and December 31, 2021,2022, we were in compliance with these covenants.
11. CONVERTIBLE NOTES, NET
During the ninethree months ended September 30, 2022,March 31, 2023, we issued $300.0repaid the aggregate $220.0 million aggregate principal amount of 5.50% convertible senior notes due 2027, or the March 2022 convertible notes. In connection with this offering, we repurchased $64.7 million aggregate principal amount of our May 2017 convertible senior notes at a price of 100.25% per $1,000 principal amount. We repaid the remaining $337.9 million aggregate principal amount of our May 2017March 2018 convertible senior notes at maturity on May 5, 2022. March 15, 2023.
As of September 30, 2022,March 31, 2023, the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands):

Convertible Notes IssuanceConvertible Notes IssuanceFace ValueInterest Rate
All-in Cost(1)
Conversion Price(2)
MaturityConvertible Notes IssuanceFace ValueInterest Rate
All-in Cost(1)
Conversion Price(2)
Maturity
March 2018$220,000 4.75%5.33%$36.23March 15, 2023
March 2022March 2022$300,000 5.50%5.94%$36.27March 15, 2027March 2022$300,000 5.50%5.94%$36.27March 15, 2027
(1)Includes issuance costs that are amortized through interest expense over the life of the Convertible Notes using the effective interest method.
(2)Represents the price of class A common stock per share based on a conversion rate of 27.6052 and 27.5702 respectively, for the March 2018 and March 2022 convertible notes. The conversion rate represents the number of shares of class A common stock issuable per $1,000 principal amount of Convertible Notes. The cumulative dividend threshold as defined in the respective March 2018 and March 2022 convertible notes supplemental indentures haveindenture has not been exceeded as of September 30, 2022.March 31, 2023.
34


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
Other than as provided by the optional redemption provisions with respect to our March 2022 convertible notes, we may not redeem the Convertible Notes prior to maturity. The Convertible NotesMarch 2022 convertible notes are convertible at the holders’ option into shares of our class A common stock, only under specific circumstances, prior to the close of business on December 14, 2022 and December 14, 2026 for the March 2018 and March 2022 convertible notes, respectively, at the applicable conversion rate in effect on the conversion date. Thereafter, the Convertible NotesMarch 2022 convertible notes are convertible at the option of the holder at any time
35


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
until the second scheduled trading day immediately preceding the maturity date. The last reported sale price of our class A common stock of $23.34$17.85 on September 30, 2022March 31, 2023 was less than the per share conversion price of the March 2018 and March 2022 convertible notes.
We adopted ASU 2020-06 on January 1, 2022, using the modified retrospective method of transition, which resulted in an aggregate decrease to our additional paid-in capital of $2.4 million, an aggregate decrease to our accumulated deficit of $2.0 million, and an aggregate increase to our convertible notes, net, balance of $476,000, as of January 1, 2022. Subsequent to adoption of ASU 2020-06, convertible debt proceeds, unless issued with a substantial premium or an embedded conversion feature, will no longer be allocated between debt and equity components. This reduces the issue discount and results in less non-cash interest expense in our consolidated financial statements. Additionally, ASU 2020-06 results in the reporting of diluted earnings per share for shares issuable under our convertible notes in our consolidated financial statements, if the effect is dilutive, regardless of our settlement intent. Refer to Note 2 and Note 13 for additional discussion of ASU 2020-06 and our earnings per share calculation, respectively.
The following table details the net book value of our Convertible Notes on our consolidated balance sheets ($ in thousands):
September 30, 2022December 31, 2021 March 31, 2023December 31, 2022
Face valueFace value$520,000 $622,500 Face value$300,000 $520,000 
Unamortized discount(6,336)(2,472)
Deferred financing costs(38)(152)
Deferred financing costs and unamortized discountDeferred financing costs and unamortized discount(5,112)(5,743)
Net book valueNet book value$513,626 $619,876 Net book value$294,888 $514,257 
The following table details our interest expense related to the Convertible Notes ($ in thousands):
 Three Months Ended September 30,Nine Months Ended September 30,
 2022202120222021
Cash coupon$6,737 $7,015 $22,122 $21,045 
Discount and issuance cost amortization6448732,2222,595
Total interest expense$7,381 $7,888 $24,344 $23,640 
 Three Months Ended March 31,
 20232022
Cash coupon$6,264 $7,252 
Discount and issuance cost amortization631788
Total interest expense$6,895 $8,040 
Accrued interest payable for the Convertible Notes was $1.2 million$733,000 and $6.0$7.9 million as of September 30, 2022March 31, 2023 and December 31, 2021,2022, respectively. Refer to Note 2 for additional discussion of our accounting policies for the Convertible Notes.
12. DERIVATIVE FINANCIAL INSTRUMENTS
The objective of our use of derivative financial instruments is to minimize the risks and/or costs associated with our investments and/or financing transactions. These derivatives may or may not qualify as net investment, cash flow, or fair value hedges under the hedge accounting requirements of ASC 815 – “Derivatives and Hedging.” Derivatives not designated as hedges are not speculative and are used to manage our exposure to interest rate movements and other identified risks. Refer to Note 2 for additional discussion of the accounting for designated and non-designated hedges.
The use of derivative financial instruments involves certain risks, including the risk that the counterparties to these contractual arrangements do not perform as agreed. To mitigate this risk, we only enter into derivative financial instruments with counterparties that have appropriate credit ratings and are major financial institutions with which we and our affiliates may also have other financial relationships.
Net Investment Hedges of Foreign Currency Risk
Certain of our international investments expose us to fluctuations in foreign interest rates and currency exchange rates. These fluctuations may impact the value of our cash receipts and payments in terms of our functional currency, the U.S. 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.
3635


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 amountamounts in thousands):
September 30, 2022December 31, 2021
March 31, 2023March 31, 2023December 31, 2022
Foreign Currency DerivativesForeign Currency Derivatives
Number of
 Instruments
Notional
 Amount
Foreign Currency Derivatives
Number of
 Instruments
Notional
 Amount
Foreign Currency Derivatives
Number of
 Instruments
Notional
 Amount
Foreign Currency Derivatives
Number of
 Instruments
Notional
 Amount
Buy USD / Sell SEK ForwardBuy USD / Sell SEK Forward1kr995,700 Buy USD / Sell SEK Forward1kr999,500 Buy USD / Sell SEK Forward2kr 1,005,431 Buy USD / Sell SEK Forward2kr1,003,626 
Buy USD / Sell EUR ForwardBuy USD / Sell EUR Forward7701,392 Buy USD / Sell EUR Forward7731,182 Buy USD / Sell EUR Forward9708,691 Buy USD / Sell EUR Forward8722,311 
Buy USD / Sell GBP ForwardBuy USD / Sell GBP Forward3£684,613 Buy USD / Sell GBP Forward2£489,204 Buy USD / Sell GBP Forward7£713,215 Buy USD / Sell GBP Forward6£690,912 
Buy USD / Sell AUD ForwardBuy USD / Sell AUD Forward5A$536,100 Buy USD / Sell AUD Forward3A$188,600 Buy USD / Sell AUD Forward10A$455,279 Buy USD / Sell AUD Forward8A$541,813 
Buy USD / Sell DKK ForwardBuy USD / Sell DKK Forward1kr.167,200 Buy USD / Sell CAD Forward2C$22,100 Buy USD / Sell DKK Forward2kr.197,975 Buy USD / Sell DKK Forward3kr.195,019 
Buy USD / Sell CAD ForwardBuy USD / Sell CAD Forward2C$22,000 Buy USD / Sell CHF Forward1CHF5,200 Buy USD / Sell CAD Forward2C$22,183 Buy USD / Sell CAD Forward2C$22,187 
Buy USD / Sell CHF ForwardBuy USD / Sell CHF Forward1CHF5,200 Buy USD / Sell CHF Forward3CHF5,547 Buy USD / Sell CHF Forward2CHF5,263 

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 amountamounts in thousands):
September 30, 2022December 31, 2021
Non-designated Hedges
Number of
 Instruments
Notional
 Amount
Non-designated Hedges
Number of
 Instruments
Notional
 Amount
Buy EUR / Sell USD Forward225,700 Buy GBP / Sell USD Forward3£170,600 
Buy USD / Sell EUR Forward225,700 Buy USD / Sell GBP Forward3£170,600 
Buy GBP / Sell USD Forward1£13,000 Buy EUR / Sell USD Forward2165,560 
Buy USD / Sell GBP Forward1£13,000 Buy USD / Sell EUR Forward3165,560 
Buy CHF / Sell USD Forward1CHF20,300 
Buy USD / Sell CHF Forward1CHF20,300 
Buy GBP / Sell EUR Forward18,410 























March 31, 2023December 31, 2022
Non-designated Hedges
Number of
 Instruments
Notional
 Amount
Non-designated Hedges
Number of
 Instruments
Notional
 Amount
Buy AUD / Sell USD Forward1A$104,000 Buy GBP / Sell USD Forward2£109,076 
Buy USD / Sell AUD Forward1A$104,000 Buy USD / Sell GBP Forward2£109,076 
Buy EUR / Sell USD Forward478,000 Buy AUD / Sell USD Forward1A$23,600 
Buy USD / Sell EUR Forward478,000 Buy USD / Sell AUD Forward1A$23,600 
Buy GBP / Sell USD Forward2£19,600 
Buy USD / Sell GBP Forward2£19,600 

3736


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
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
Increase (Decrease) to Net Interest Income Recognized from Foreign
Exchange Contracts
Three Months Ended September 30,Nine Months Ended September 30,Three Months Ended March 31,
Foreign Exchange Contracts
in Hedging Relationships
Foreign Exchange Contracts
in Hedging Relationships
Location of Income
 (Expense) Recognized
2022202120222021
Foreign Exchange Contracts
in Hedging Relationships
Location of Income
 (Expense) Recognized
20232022
Designated HedgesDesignated Hedges
Interest Income(1)
$6,603 $1,542 $11,585 $5,294 Designated Hedges
Interest Income(1)
$8,407 $1,744 
Non-Designated HedgesNon-Designated Hedges
Interest Income(1)
(8)34(15)(340)Non-Designated Hedges
Interest Income(1)
17(1)
Non-Designated HedgesNon-Designated Hedges
Interest Expense(2)
11(8)75(7,139)Non-Designated Hedges
Interest Expense(2)
1910
TotalTotal $6,606 $1,568 $11,645 $(2,185)Total $8,443 $1,753 
(1)Represents the forward points earned on our foreign currency forward contracts, which reflect the interest rate differentials between the applicable base rate for our foreign currency investments and prevailing US interest rates. These forward contracts effectively convert the foreign currency rate exposure for such investments to USD-equivalent interest rates.
(2)Represents the spot rate movement in our non-designated hedges, which are marked-to-market and recognized in interest expense.
Valuation and Other Comprehensive Income
The following table summarizes the fair value of our derivative financial instruments ($ in thousands):
Fair Value of Derivatives in an Asset
 Position(1) as of
Fair Value of Derivatives in a Liability
 Position(2) as of
Fair Value of Derivatives in an Asset
 Position(1) as of
Fair Value of Derivatives in a Liability
 Position(2) as of
Foreign Exchange Contracts Foreign Exchange ContractsSeptember 30, 2022December 31, 2021September 30, 2022December 31, 2021 Foreign Exchange ContractsMarch 31, 2023December 31, 2022March 31, 2023December 31, 2022
Designated HedgesDesignated Hedges$92,815 $23,423 $— $1,383 Designated Hedges$13,047 $501 $13,288 $111,573 
Non-Designated HedgesNon-Designated Hedges1,5377,1089794,507Non-Designated Hedges3,8606,8482628,092
Total DerivativesTotal Derivatives$94,352 $30,531 $979 $5,890 Total Derivatives$16,907 $7,349 $13,550 $119,665 
(1)Included in other assets in our consolidated balance sheets.
(2)Included in other liabilities in our consolidated balance sheets.

38
37


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
The following table presents the effect of our derivative financial instruments on our consolidated statements of operations ($ in thousands):
Derivatives in Hedging RelationshipsDerivatives in Hedging Relationships
Amount of Gain (Loss) Recognized in
OCI on Derivatives
Location of
 Gain (Loss)
 Reclassified
from Accumulated OCI into Income
Amount of
Loss Reclassified from
 Accumulated OCI into Income
Derivatives in Hedging Relationships
Amount of Gain (Loss) Recognized in
OCI on Derivatives
Location of
 Gain (Loss)
 Reclassified
from Accumulated OCI into Income
Amount of
Loss Reclassified from
 Accumulated OCI into Income
Three Months Ended September 30, 2022Nine Months Ended September 30, 2022Three Months Ended September 30, 2022Nine Months Ended September 30, 2022Three Months Ended
March 31,
Three Months Ended
March 31,
Location of
 Gain (Loss)
 Reclassified
from Accumulated OCI into Income
2023202220232022
Net Investment HedgesNet Investment Hedges Net Investment Hedges 
Foreign exchange contracts(1)
Foreign exchange contracts(1)
$154,849 $329,044 Interest Expense$— $— 
Foreign exchange contracts(1)
$(24,052)$45,511 Interest Expense$— $— 
Cash Flow HedgesCash Flow Hedges Cash Flow Hedges 
Interest rate derivativesInterest rate derivatives
Interest Expense(2)
(4)Interest rate derivatives(1)
Interest Expense(2)
(4)
TotalTotal$154,849 $329,044  $— $(4)Total$(24,052)$45,510  $— $(4)
(1)During the three and nine months ended September 30,March 31, 2023 and 2022, we paid net cash settlements of $131.3 million and received net cash settlements of $149.5 million and $272.0$26.3 million on our foreign currency forward contracts, respectively. Those amounts are included as a component of accumulated other comprehensive income on our consolidated balance sheets.
(2)During the ninethree months ended September 30,March 31, 2022, we recorded total interest and related expenses of $439.7$100.7 million, which included $4,000 related to 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 both September 30, 2022 and DecemberMarch 31, 2021,2023, we were in a net liability position with one of our counterparties and in a net asset position with bothour other counterparty. As of March 31, 2023, we had collateral posted of $10.4 million. As of December 31, 2022, we were in a net liability position with one of our derivative counterparties and did not have anyin a net asset position with our other counterparty. As of December 31, 2022 we had collateral posted under these derivative contracts.of $103.1 million.
13. EQUITY
Stock and Stock Equivalents
Authorized Capital
As of September 30, 2022,March 31, 2023, 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 September 30, 2022March 31, 2023 and December 31, 2021.2022.
Class A Common Stock and Deferred Stock Units
Holders of shares of our class A common stock are entitled to vote on all matters submitted to a vote of stockholders and are entitled to receive dividends authorized by our board of directors and declared by us, in all cases subject to the rights of the holders of shares of outstanding preferred stock, if any.



39


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
The following table details our issuance of class A common stock during the nine months ended September 30, 2022 ($ in thousands, except per share data):
Class A Common Stock Offerings
September 30, 2022
Shares issued(1)
2,303,469
Gross / net issue price per share(2)
$31.23 / $30.92
Net proceeds(3)
$70,651
(1)Represents shares issued under our at-the-market program.
(2)Represents the gross price per share issued, as well as the net proceeds per share after underwriting or sales discounts and commissions.
(3)Net proceeds represent proceeds received from the underwriters less applicable transaction costs.
We also issue restricted class A common stock under our stock-based incentive plans. Refer to Note 16 for additional discussion of these long-term incentive plans. In addition to our class A common stock, we also issue deferred stock units to certain members of our board of directors for services rendered. These deferred stock units are non-voting, but carry the right to receive dividends in the form of additional deferred stock units in an amount equivalent to the cash dividends paid to holders of shares of class A common stock.
38


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
The following table details the movement in our outstanding shares of class A common stock, including restricted class A common stock and deferred stock units:
Nine Months Ended September 30, Three Months Ended March 31,
Common Stock Outstanding(1)
Common Stock Outstanding(1)
20222021
Common Stock Outstanding(1)
20232022
Beginning balanceBeginning balance168,543,370147,086,722Beginning balance172,106,593168,543,370
Issuance of class A common stock(2)
Issuance of class A common stock(2)
2,308,88910,001,429
Issuance of class A common stock(2)
1,3771,675,639
Issuance of restricted class A common stock, net(3)(4)
407,581234,229
Issuance of restricted class A common stockIssuance of restricted class A common stock481,724427,634
Issuance of deferred stock unitsIssuance of deferred stock units35,94050,009Issuance of deferred stock units10,9037,063
Ending balanceEnding balance171,295,780157,372,389Ending balance172,600,597170,653,706
(1)Includes 399,512316,479 and 356,700370,635 deferred stock units held by members of our board of directors as of September 30,March 31, 2023 and 2022, and 2021, respectively.
(2)Includes 5,4201,377 and 1,429639 shares issued under our dividend reinvestment program during the ninethree months ended September 30,March 31, 2023 and 2022, and 2021, respectively.
(3)Includes 13,197 restricted shares issued to our board of directors during the nine months ended September 30, 2022.
(4)Net of 33,250 and 29,580 shares of restricted class A common stock forfeited under our stock-based incentive plans during the nine months ended September 30, 2022 and 2021, respectively. See Note 16 for further discussion of our stock-based incentive plans.
Dividend Reinvestment and Direct Stock Purchase Plan
We have adopted a dividend reinvestment and direct stock purchase plan under which we registered and reserved for issuance, in the aggregate, 10,000,000 shares of class A common stock. Under the dividend reinvestment component of this plan, our class A common stockholders can designate all or a portion of their cash dividends to be reinvested in additional shares of class A common stock. The direct stock purchase component allows stockholders and new investors, subject to our approval, to purchase shares of class A common stock directly from us. During the three and nine months ended September 30,March 31, 2023 and 2022, we issued 2,0001,377 shares and 5,420639 shares, respectively, of class A common stock under the dividend reinvestment component of the plan compared to 480 shares and 1,429 shares, respectively, for the same periods in 2021.plan. As of September 30, 2022,March 31, 2023, a total of 9,984,3709,980,171 shares of class A common stock remained available for issuance under the dividend reinvestment and direct stock purchase plan.

At the Market Stock Offering Program
As of September 30, 2022,March 31, 2023, we are party to seven equity distribution agreements, or ATM Agreements, pursuant to which we may sell, from time to time, up to an aggregate sales price of $699.1 million of our class A common stock. Sales of
40


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
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 ninethree months ended September 30, 2022, we issued and sold 2,303,469 shares of class A common stock under ATM Agreements, generating net proceeds totaling $70.7 million. During the nine months ended September 30, 2021,March 31, 2023, we did not issue any shares of our class A common stock under ATM Agreements. During the three months ended March 31, 2022, we issued and sold 1,675,000 shares of class A common stock under ATM Agreements, generating net proceeds totaling $52.2 million. As of September 30, 2022,March 31, 2023, sales of our class A common stock with an aggregate sales price of $480.9 million remained available for issuance under our ATM Agreements.
Dividends
We generally intend to distribute substantially all of our taxable income, which does not necessarily equal net income as calculated in accordance with GAAP, to our stockholders each year to comply with the REIT provisions of the Internal Revenue Code of 1986, as amended, or the Internal Revenue Code. Our dividend policy remains subject to revision at the discretion of our board of directors. All distributions will be made at the discretion of our board of directors and will depend upon our taxable income, our financial condition, our maintenance of REIT status, applicable law, and other factors as our board of directors deems relevant.
On SeptemberMarch 15, 2022,2023, we declared a dividend of $0.62 per share, or $106.0$106.8 million in aggregate, that was paid on OctoberApril 14, 20222023 to stockholders of record as of September 30, 2022.March 31, 2023.
39


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
The following table details our dividend activity ($ in thousands, except per share data):
Three Months Ended September 30,Nine Months Ended September 30, Three Months Ended March 31,
2022202120222021 20232022
Dividends declared per share of common stockDividends declared per share of common stock$0.62$0.62 $1.86 $1.86 Dividends declared per share of common stock$0.62$0.62 
Class A common stock dividends declaredClass A common stock dividends declared$105,956$97,350 $317,114 $279,659 Class A common stock dividends declared$106,816$105,576 
Deferred stock unit dividends declaredDeferred stock unit dividends declared241202698591Deferred stock unit dividends declared256225
Total dividends declaredTotal dividends declared$106,197 $97,552 $317,812 $280,250 Total dividends declared$107,072$105,801 
Earnings Per Share
We calculate our basic and diluted earnings per share using the two-class method for all periods presented as the unvested shares of our restricted class A common stock qualify as participating securities, as defined by GAAP. These restricted shares have the same rights as our other shares of class A common stock, including participating in any dividends, and therefore have been included in our basic and diluted net income per share calculation. The shares issuable under our Convertible Notes other than the May 2017 convertible notes, are included in dilutive earnings per share using the if-converted method.


4140


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
The following table sets forth the calculation of basic and diluted net income per share of class A common stock based on the weighted-average of both restricted and unrestricted class A common stock outstanding ($ in thousands, except per share data):
Three Months Ended September 30,Nine Months Ended September 30, Three Months Ended March 31,
202220212022202120232022
Basic EarningsBasic EarningsBasic Earnings
Net income(1)
Net income(1)
$103,246 $83,757 $296,183 $295,254 
Net income(1)
$117,757 $99,687 
Weighted-average shares outstanding, basicWeighted-average shares outstanding, basic170,971,874149,214,819170,303,470147,971,737Weighted-average shares outstanding, basic172,598,349169,254,059
Per share amount, basicPer share amount, basic$0.60 $0.56 $1.74 $2.00 Per share amount, basic$0.68 $0.59 
Diluted EarningsDiluted EarningsDiluted Earnings
Net income(1)
Net income(1)
$103,246 $83,757 $296,183 $295,254 
Net income(1)
$117,757 $99,687 
Add back: Interest expense on Convertible Notes, net(2)(3)
Add back: Interest expense on Convertible Notes, net(2)(3)
5,905 14,218 
Add back: Interest expense on Convertible Notes, net(2)(3)
3,556 2,400 
Diluted earningsDiluted earnings$109,151 $83,757 $310,401 $295,254 Diluted earnings$121,313 $102,087 
Weighted-average shares outstanding, basicWeighted-average shares outstanding, basic170,971,874149,214,819170,303,470147,971,737Weighted-average shares outstanding, basic172,598,349169,254,059
Effect of dilutive securities - Convertible Notes(4)(3)
Effect of dilutive securities - Convertible Notes(4)(3)
14,344,204 — 11,708,372 — 
Effect of dilutive securities - Convertible Notes(4)(3)
8,271,060 6,348,846 
Weighted-average common shares outstanding, dilutedWeighted-average common shares outstanding, diluted185,316,078149,214,819182,011,842147,971,737Weighted-average common shares outstanding, diluted180,869,409175,602,905
Per share amount, dilutedPer share amount, diluted$0.59 $0.56 $1.71 $2.00 Per share amount, diluted$0.67 $0.58 
(1)Represents net income attributable to Blackstone Mortgage Trust.
(2)Represents the interest expense on our convertible notes,Convertible Notes, net of incentive fees.
(3)For the three and nine months ended September 30, 2021, priorMarch 31, 2023, represents 8.3 million of weighted average shares, using the if-converted method, related to the adoption of ASU 2020-06, our convertible notes were not assessed for dilution as we had the intent and ability to settle the convertible notes in cash. Refer to Note 2 and Note 11 for further discussion of ASU 2020-06 and our convertible notes, respectively.
(4)March 2022 Convertible Notes. For the three months ended September 30,March 31, 2022, represents 8.3 million and 6.1 million of weighted-average shares, using the if-converted method, related to our March 2022 and March 2018 Convertible Notes, respectively. For the nine months ended September 30, 2022, represents 5.6 million and 6.1 million of weighted-average shares, using the in-converted method, related to our March 2022 convertible notes, which were issued on March 29, 2022, and ourOur March 2018 convertible notes, respectively. Our May 2017 convertible notes were elected to be settled in cash andConvertible Notes were repaid during the ninethree months ended September 30, 2022. Therefore, the May 2017 convertible notes do not have any impactMarch 31, 2023. Refer to Note 11 for additional discussion on our diluted earnings per share.Convertible Notes.
Other Balance Sheet Items
Accumulated Other Comprehensive Income
As of September 30, 2022,March 31, 2023, total accumulated other comprehensive income was $3.8$7.8 million, primarily representing $415.4$235.7 million of net realized and unrealized gains related to changes in the fair value of derivative instruments offset by $411.6$227.9 million of cumulative unrealized currency translation adjustments on assets and liabilities denominated in foreign currencies. As of December 31, 2021,2022, total accumulated other comprehensive income was $8.3$10.0 million, primarily representing $86.4$259.8 million of net realized and unrealized gains related to changes in the fair value of derivative instruments offset by $78.1$249.8 million of cumulative unrealized currency translation adjustments on assets and liabilities denominated in foreign currencies.
Non-Controlling Interests
The non-controlling interests included on our consolidated balance sheets represent the equity interests in our Multifamily Joint Venture that are not owned by us. A portion of our Multifamily Joint Venture’s consolidated equity and results of operations are allocated to these non-controlling interests based on their pro rata ownership of our Multifamily Joint Venture. As of September 30, 2022,March 31, 2023, our Multifamily Joint Venture’s total equity was $170.0$169.8 million, of which $144.5$144.3 million was owned by us, and $25.5 million was allocated to non-controlling interests. As of December 31, 2021,
42


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
2022, our Multifamily Joint Venture’s total equity was $203.5$169.4 million, of which $173.0$144.0 million was owned by us, and $30.5$25.4 million was allocated to non-controlling interests.
14. OTHER EXPENSES
Our other expenses consist of the management and incentive fees we pay to our Manager and our general and administrative expenses.
41


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
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) net income (loss) attributable to our legacy portfolio, (v) certain non-cash items, and (vi) incentive management fees.

During the three and nine months ended September 30,March 31, 2023 and 2022, we incurred $18.3$18.6 million and $54.6$18.1 million, respectively, of management fees payable to our manager, compared with $15.8 million and $46.9 million during the same period in 2021.manager. In addition, during the three and nine months ended September 30,March 31, 2023 and 2022, we incurred $7.6$12.5 million and $21.9$5.4 million, respectively, of incentive fees payable to our Manager, compared to $3.6 million and $13.2 million during the same period in 2021.Manager.
As of September 30, 2022March 31, 2023 and December 31, 20212022 we had accrued management and incentive fees payable to our Manager of $25.9$31.1 million and $28.4$33.8 million, respectively.
General and Administrative Expenses
General and administrative expenses consisted of the following ($ in thousands):

Three Months Ended September 30,Nine Months Ended September 30, Three Months Ended March 31,
2022202120222021 20232022
Professional servicesProfessional services$2,695 $1,969 $8,086 $5,831 Professional services$3,279 $2,698 
Operating and other costsOperating and other costs2,0187924,329 2,093Operating and other costs1,9311,012
Subtotal(1)
Subtotal(1)
4,7132,76112,415 7,924
Subtotal(1)
5,2103,710
Non-cash compensation expensesNon-cash compensation expensesNon-cash compensation expenses
Restricted class A common stock earnedRestricted class A common stock earned8,0467,90724,768 23,762Restricted class A common stock earned7,4928,477
Director stock-based compensationDirector stock-based compensation173173 518 422 Director stock-based compensation163173 
SubtotalSubtotal8,2198,08025,286 24,184Subtotal7,6558,650
Total general and administrative expensesTotal general and administrative expenses$12,932 $10,841 $37,701 $32,108 Total general and administrative expenses$12,865 $12,360 
(1)During the three and nine months ended September 30,March 31, 2023 and 2022, we recognized an aggregate $239,000$308,000 and $783,000, respectively, of expenses related to our Multifamily Joint Venture. During the three and nine months ended September 30, 2021, we recognized an aggregate $110,000 and $543,000,$317,000, respectively, of expenses related to our Multifamily Joint Venture.
15. 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.earnings. To the extent that we
43


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
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 September 30, 2022March 31, 2023 and December 31, 2021,2022, we were in compliance with all REIT requirements.
42


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
Securitization transactions could result in the creation of taxable mortgage pools for federal income tax purposes. As a REIT, so long as we own 100% of the equity interests in a taxable mortgage pool, we generally would not be adversely affected by the characterization of the securitization as a taxable mortgage pool. Certain categories of stockholders, however, such as foreign stockholders eligible for treaty or other benefits, stockholders with net operating losses, and certain tax-exempt stockholders that are subject to unrelated business income tax, or UBTI, could be subject to increased taxes on a portion of their dividend income from us that is attributable to the taxable mortgage pool. We have not made UBTI distributions to our common stockholders and do not intend to make such UBTI distributions in the future.
During the three and nine months ended September 30,March 31, 2023 and 2022, we recorded a current income tax provision of $1.2$1.9 million and $2.1 million $146,000, respectively, primarily related to activities of our taxable REIT subsidiaries and various state and local taxes. During the three and nine months ended September 30, 2021, we recorded a current income tax provision of $70,000 and $346,000, respectively. We did not have any deferred tax assets or liabilities as of September 30, 2022March 31, 2023 or December 31, 2021.2022.
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 September 30, 2022,March 31, 2023, we had estimated NOLs of $159.0 million that will expire in 2029, unless they are utilized by us prior to expiration. Previously, we recorded a full valuation allowance against such NOLs as we expected that they would expire unutilized. However, although uncertain, we may utilize a portion of NOLs prior to expiration. We do not expect the utilization of NOLs to have a material impact on our consolidated financial statements.
We have recorded a full valuation allowance against such NOLs as it is probable that they will expire unutilized.
As of September 30, 2022,March 31, 2023, tax years 20182019 through 20212022 remain subject to examination by taxing authorities.
16. STOCK-BASED INCENTIVE PLANS
We are externally managed by our Manager and do not currently have any employees. However, as of September 30, 2022,March 31, 2023, our Manager, certain individuals employed by an affiliate of our Manager, and certain members of our board of directors were compensated, in part, through our issuance of stock-based instruments.
Under our two current stock incentive plans, a maximum of 10,400,000 shares of our class A common stock may be issued to our Manager, our directors and officers, and certain employees of affiliates of our Manager. As of September 30, 2022,March 31, 2023, there were 10,018,8568,718,238 shares available under our current stock incentive plans. Prior to the adoption and shareholder approval of our new stock incentive plans in June 2022, we had stock-based incentive awards outstanding under nine stock incentive plans. In connection with the adoption of our new stock incentive plans, we consolidated all outstanding DSUs under the new plans and retired the seven remaining historical plans. As such, no new awards may be issued under these expired plans, although our 2018 plans will continue to govern outstanding awards, other than DSUs, previously issued thereunder until such awards become vested or expire.




44


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
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, 20211,706,121$31.19 
Granted440,83130.96
Vested(774,257)32.06
Forfeited(33,250)30.95
Balance as of September 30, 20221,339,445$30.62 
 
Restricted Class A
 Common Stock
Weighted-Average
 Grant Date Fair
 Value Per Share
Balance as of December 31, 20221,883,784$27.90 
Granted481,72421.47
Vested(166,881)29.83
Balance as of March 31, 20232,198,627$26.35 
These shares generally vest in installments over a period of three years, pursuant to the terms of the respective award agreements and the terms of our current benefit plans. The 1,339,4452,198,627 shares of restricted class A common stock outstanding as of September 30, 2022March 31, 2023 will vest as follows: 252,556 shares will vest in 2022; 684,797943,390 shares will vest in 2023; and 402,092827,493 shares will vest in 2024.2024; and 427,744 will vest in 2025. As of September 30, 2022,March 31, 2023, total unrecognized compensation cost relating to unvested share-based compensation arrangements was $39.1$53.4 million based on the grant date fair value of shares granted. This cost is expected to be recognized over a weighted-average period of 1.01.2 years from September 30, 2022.March 31, 2023.
43


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
17. 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):
September 30, 2022December 31, 2021 March 31, 2023December 31, 2022
Level 1Level 2Level 3TotalLevel 1Level 2Level 3Total Level 1Level 2Level 3TotalLevel 1Level 2Level 3Total
AssetsAssets        Assets        
DerivativesDerivatives$— $94,352 $— $94,352 $— $30,531 $— $30,531 Derivatives$— $16,907 $— $16,907 $— $7,349 $— $7,349 
LiabilitiesLiabilitiesLiabilities
DerivativesDerivatives$— $979 $— $979 $— $5,890 $— $5,890 Derivatives$— $13,550 $— $13,550 $— $119,665 $— $119,665 
Refer to Note 2 for further discussion regarding fair value measurement.
Fair Value of Financial Instruments
As discussed in Note 2, GAAP requires disclosure of fair value information about financial instruments, whether or not recognized at fair value in the statement of financial position, for which it is practicable to estimate that value.








45


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
The following table details the book value, face amount, and fair value of the financial instruments described in Note 2 ($ in thousands):
 September 30, 2022December 31, 2021
 
Book
Value
Face
 Amount
Fair
Value
Book
Value
Face
 Amount
Fair
Value
Financial assets      
Cash and cash equivalents$271,899 $271,899 $271,899 $551,154 $551,154 $551,154 
Loans receivable, net24,278,702 24,576,601 24,067,484 21,878,338 22,156,437 22,013,762 
Debt securities held-to-maturity, net(1)
— — — 78,013 79,200 77,229 
Financial liabilities
Secured debt, net13,188,692 13,213,212 12,887,200 12,280,042 12,299,580 12,299,580 
Securitized debt obligations, net2,844,032 2,855,625 2,785,573 2,838,062 2,855,625 2,850,399 
Asset-specific debt, net949,891 959,762 948,263 393,824 400,699 400,699 
Loan participations sold, net207,225 207,762 203,025 — — — 
Secured term loans, net1,807,017 1,837,717 1,746,369 1,327,406 1,349,271 1,335,844 
Senior secured notes, net394,864 400,000 340,008 394,010 400,000 399,012 
Convertible notes, net513,626 520,000 477,134 619,876 622,500 630,821 
 March 31, 2023December 31, 2022
 
Book
Value
Face
 Amount
Fair
Value
Book
Value
Face
 Amount
Fair
Value
Financial assets      
Cash and cash equivalents$515,808 $515,808 $515,808 $291,340 $291,340 $291,340 
Loans receivable, net24,559,773 25,020,489 24,314,435 24,691,743 25,160,343 24,445,042 
Financial liabilities
Secured debt, net14,029,486 14,051,435 13,640,859 13,528,164 13,549,748 13,121,306 
Securitized debt obligations, net2,664,208 2,671,734 2,557,118 2,664,010 2,673,541 2,597,377 
Asset-specific debt, net817,444 822,873 815,049 942,503 950,278 934,815 
Loan participations sold, net229,003 229,468 222,681 224,232 224,744 217,717 
Secured term loans, net2,111,232 2,151,719 1,974,538 2,114,549 2,157,218 2,103,943 
Senior secured notes, net395,461 400,000 315,944 395,166 400,000 343,665 
Convertible notes, net294,888 300,000 240,711 514,257 520,000 478,232 
(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, the term loans, and the senior secured notes are measured using observable, quoted market prices, in inactive markets, or Level 2 inputs. All other fair value significant estimates are measured using unobservable inputs, or Level 3 inputs. See Note 2 for further discussion regarding fair value measurement of certain of our assets and liabilities.
18. VARIABLE INTEREST ENTITIES
Consolidated Variable Interest Entities
We have financed a portion of our loans through the CLOs, all of which are VIEs. We are the primary beneficiary of, and therefore consolidate, the CLOs on our balance sheet as we (i) control the relevant interests of the CLOs that give us power to direct the activities that most significantly affect the CLOs, and (ii) have the right to receive benefits and obligation to absorb losses of the CLOs through the subordinate interests we own.
44


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
The following table details the assets and liabilities of our consolidated VIEs ($ in thousands):
 September 30, 2022December 31, 2021
Assets
Loans receivable$3,500,000 $3,486,750 
Current expected credit loss reserve(9,743)(4,502)
Loans receivable, net3,490,2573,482,248
Other assets12,38920,746
Total assets$3,502,646 $3,502,994 
Liabilities
Securitized debt obligations, net$2,844,032 $2,838,062 
Other liabilities5,5471,800
Total liabilities$2,849,579 $2,839,862 
46


Blackstone Mortgage Trust, Inc.
 March 31, 2023December 31, 2022
Assets
Loans receivable$3,271,709 $3,317,316 
Current expected credit loss reserve(95,114)(93,396)
Loans receivable, net3,176,5953,223,920
Other assets58,59815,995
Total assets$3,235,193 $3,239,915 
Liabilities
Securitized debt obligations, net$2,664,208 $2,664,010 
Other liabilities7,4367,234
Total liabilities$2,671,644 $2,671,244 
Notes to Consolidated Financial Statements (continued) (Unaudited)
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.
Non-Consolidated Variable Interest Entities
During the nine months ended September 30, 2022, the 2018 Single Asset Securitization was liquidated upon full repayment of its collateral and all senior securities outstanding. 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 were not the primary beneficiary of the VIE because we did not have the power to direct the activities that most significantly affected the VIE’s economic performance and, therefore, did not consolidate the 2018 Single Asset Securitization on our balance sheet. We classified the subordinate position we owned as a held-to-maturity debt security that was included in other assets on our consolidated balance sheets.
We are not obligated to provide, have not provided, and do not intend to provide financial support to these consolidated and non-consolidated VIEs.
19. TRANSACTIONS WITH RELATED PARTIES
We are managed by our Manager pursuant to the Management Agreement, the current term of which expires on December 19, 2022,2023, and will be automatically renewed for a one year term upon such date and each anniversary thereafter unless earlier terminated.
As of September 30, 2022March 31, 2023 and December 31, 2021,2022, our consolidated balance sheets included $25.9$31.1 million and $28.4$33.8 million of accrued management and incentive fees payable to our Manager, respectively. During the three and nine months ended September 30, 2022,March 31, 2023, we paid aggregate management and incentive fees of $27.1$33.8 million, and $78.9 million, respectively, to our Manager, compared to $21.5 million and $59.9$28.4 million during the same periodsperiod of 2021.2022. In addition, during the three and nine months ended September 30, 2022,March 31, 2023, we incurred expenses of $163,000 and $723,000, respectively,$382,000, that were paid by our Manager and will be reimbursed by us, compared to $141,000 and $325,000$193,000 of such expenses during the same periodsperiod of 2021.2022.
As of September 30, 2022,March 31, 2023, our Manager held 677,5821,092,795 shares of unvested restricted class A common stock, which had an aggregate grant date fair value of $20.9$29.7 million, and vest in installments over three years from the date of issuance. During the three and nine months ended September 30,March 31, 2023 and 2022, we recorded non-cash expenses related to shares held by our Manager of $4.1$3.9 million and $12.5$4.2 million, respectively, compared to $4.1 million and $12.2 million during the same periods of 2021.respectively. Refer to Note 16 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 nine monthsyears ended September 30, 2022 or 2021.March 31, 2023 and 2022.
During the three and nine months ended September 30,March 31, 2023 and 2022, we incurred $88,000$238,000 and $280,000,$97,000, respectively, of expenses for various administrative and operations services to third-party service providers that are affiliates of our Manager, compared to $100,000 and $291,000 during the same periods of 2021.
Affiliates of our Manager own interests in the controlling entity of BTIG, LLC. We engaged BTIG, LLC as a sales agent to sell shares of our class A common stock under our ATM Agreements. During the three months ended September 30, 2022, BTIG, LLC received aggregate fees of $191,000 in such capacity. The fees paid were on terms equivalent to those of other sales agents engaged to sell shares under our ATM Agreements.
In the second quarter of 2022, we participated in AUD 1.3 billion, or 24.5%, of an aggregate AUD 5.4 billion senior loan that was originated by an unaffiliated third party to a borrower that is wholly-owned by Blackstone-advised investment vehicles. Another Blackstone-advised investment vehicle participated in an additional AUD 1.3 billion, or 24.5%, of the loan. 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 24.5% interest in the senior loan was made on such market terms.
In the second quarter of 2022, we co-originated £250.0 million of an aggregate £500.0 million senior loan to an unaffiliated third-party. A Blackstone-advised investment vehicle co-originated the additional pari passu £250.0 million of the loan.
47


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
In the second quarter of 2022, a Blackstone-advised investment vehicle acquired an aggregate $15.0 million participation, or 3%, of the aggregate $500.0 million B-4 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 $500,000 in such capacity. Both of these transactions were on terms equivalent to those of unaffiliated parties.
In the third quarter of 2021, we participated in $246.6 million, or 49.0%, of a total $503.3 million senior loan that was originated by an unaffiliated third party, which was part of a total financing that included a mezzanine loan originated by a Blackstone-advised investment vehicle. We will forgo all non-economic rights under our loan, including voting rights, so long as any Blackstone-advised investment vehicle controls the mezzanine loan. The senior loan terms, with respect to the mezzanine lender, were negotiated by a third party without our involvement and our 49.0% interest in the senior loan was made on such market terms. The borrower is an unaffiliated third party.
In the third quarter of 2021, we acquired an aggregate £186.0 million, or 49.0%, of a total £379.6 million senior loan to a borrower that is majority owned by a Blackstone-advised investment vehicle. We will forgo all non-economic rights under the loan, including voting rights, so long as the Blackstone-advised investment vehicle controls the borrower. The senior loan terms were negotiated by the original lender prior to our acquisition of the loan without our involvement, and we acquired the loan on such market terms.
In the third quarter of 2021, we participated in $243.6 million, or 25.0%, of an aggregate $974.5 million senior loan that was originated by an unaffiliated third party as part of a broadly marketed process. A Blackstone-advised investment vehicle participated in an additional $243.6 million, or 25.0%, of the loan. The loan proceeds were used by the borrower to repay an existing loan previously owned by us.
In the second quarter of 2021, we acquired an aggregate €50.0 million of a total €491.0 million senior loan to a borrower that is majority owned by a Blackstone-advised investment vehicle. We will forgo all non-economic rights under the loan, including voting rights, so long as the Blackstone-advised investment vehicle controls the borrower. The senior loan terms were negotiated by the original lenders prior to our acquisition of the loan without our involvement.
In the second quarter of 2021, a Blackstone-advised investment vehicle acquired an aggregate $15.0 million participation, or 15%, of the $100.0 million increase to our B-3 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 $100,000 in such capacity. Both of these transactions were on terms equivalent to those of unaffiliated parties.
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 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 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 B-1 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.Manager.
20. COMMITMENTS AND CONTINGENCIES
Unfunded Commitments Under Loans Receivable
As of September 30, 2022,March 31, 2023, we had aggregate unfunded commitments of $4.1$3.4 billion across 122112 loans receivable, and $2.7$2.1 billion of committed or identified financings for those commitments, resulting in net unfunded commitments of $1.4$1.3 billion. The unfunded loan commitments comprise funding for capital expenditures and construction, leasing costs, and interest and carry costs, and their fundability varies depending on the progress of capital projects, leasing, and cash flows at the properties securing our loans. Therefore, the exact timing and amounts of such future loan fundings are uncertain and will depend on the current and future performance of the underlying collateral assets. We expect to fund our loan
45


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
commitments over the remaining term of the related loans, which have a weighted-average future funding period of 3.93.0 years.

48


Blackstone Mortgage Trust, Inc.
Notes to Consolidated Financial Statements (continued) (Unaudited)
Principal Debt Repayments
Our contractual principal debt repayments as of September 30, 2022March 31, 2023 were as follows ($ in thousands):
YearYear
Secured
Debt(1)
Asset-Specific Debt(1)
Term
Loans(2)
Senior Secured Notes
Convertible Notes(3)
Total(4)
Year
Secured
Debt(1)
Asset-Specific Debt(1)
Term
Loans(2)
Senior Secured Notes
Convertible Notes(3)
Total(4)
2022 (remaining)$110,784 $— $4,685 $— $— $115,469 
2023343,531 — 18,738 — 220,000 582,269 
2023 (remaining)2023 (remaining)$350,736 $— $16,497 $— $— $367,233 
202420243,369,857 — 18,738 — — 3,388,595 20243,380,781 — 21,997 — — 3,402,778 
202520251,189,147 719,225 18,738 — — 1,927,110 20251,180,470 676,520 21,997 — — 1,878,987 
202620264,500,298 — 1,299,318 — — 5,799,616 20264,948,232 — 1,302,575 — — 6,250,807 
202720272,979,756 157,471 5,000 400,000 300,000 3,842,227 20273,343,409 32,299 8,258 400,000 300,000 4,083,966 
ThereafterThereafter719,839 83,066 472,500 — — 1,275,405 Thereafter847,807 114,054 780,395 — — 1,742,256 
Total obligationTotal obligation$13,213,212 $959,762 $1,837,717 $400,000 $520,000 $16,930,691 Total obligation$14,051,435 $822,873 $2,151,719 $400,000 $300,000 $17,726,027 
(1)The allocation of repayments under ourOur secured debt and asset-specific debt agreements are generally term-matched to their underlying collateral. Therefore, the allocation of payments under such agreements is generally allocated based on the 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. In limited instances, the maturity date of the respective debt agreement is used.
(2)The Term Loans are partially amortizing, with an amount equal to 1.0% per annum of the initial principal balance due in quarterly installments. Refer to Note 9 for further details on our term loans.
(3)Reflects the outstanding principal balance of Convertible Notes, excluding any potential conversion premium. Refer to Note 11 for further details on our Convertible Notes.
(4)Total does not include $2.9$2.7 billion of consolidated securitized debt obligations, $1.6$1.7 billion of non-consolidated senior interests, and $207.8$229.5 million of loan participations sold, as the satisfaction of these liabilities will not require cash outlays from us.
Board of Directors’ Compensation
As of September 30, 2022,March 31, 2023, of the nine members of our board of directors, our six independent directors are entitled to annual compensation of $210,000 each, of which $95,000 is paid in cash and $115,000 is paid in the form of deferred stock units or, at their election, shares of restricted common stock. 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 chairs of our audit, compensation, and corporate governance committees receive additional annual cash compensation of $20,000, $15,000, and $10,000, respectively and (ii) the members of our audit and investment risk management committees receive additional annual cash compensation of $10,000 and $7,500, respectively.

Litigation
From time to time, we may be involved in various claims and legal actions arising in the ordinary course of business. As of September 30, 2022,March 31, 2023, we were not involved in any material legal proceedings.
4946


ITEM 2.    MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
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.
The following discussion should be read in conjunction with the unaudited consolidated financial statements and notes thereto appearing elsewhere in this quarterly reportQuarterly Report on Form 10-Q. In addition to historical data, this discussion contains forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended, or the Securities Act, and Section 21E of the Securities Exchange Act of 1934, as amended, or the Exchange Act, which reflect our current views with respect to, among other things, our business, operations and financial performance. You can identify these forward-looking statements by the use of words such as “intend,” “goal,” “estimate,” “expect,” “project,” “projections,” “plans,” “seeks,” “anticipates,” “should,” “could,” “may,” “designed to,” “foreseeable future,” “believe,” “scheduled,” and similar expressions. Such forward-lookingforward- looking statements are subject to various risks, uncertainties and assumptions. Our actual results or outcomes may differ materially from those in this discussion as a result of various factors, including but not limited to those discussed in Item 1A. Risk Factors in our annual reportAnnual Report on Form 10-K for the year ended December 31, 20212022 and elsewhere in this quarterly reportQuarterly Report on Form 10-Q.
Introduction
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 Blackstone Inc., or Blackstone, and are a real estate investment trust, or REIT, traded on the New York Stock Exchange, or NYSE, under the symbol “BXMT.”
We benefit from the deep knowledge, experience and information advantages of our Manager, which is a part of Blackstone’s real estate platform. Blackstone has built the world's preeminent global real estate business, with a proven track record of successfully navigating market cycles and emerging stronger through periods of volatility. The market-leading real estate expertise derived from the strength of the Blackstone platform deeply informs our credit and underwriting process, and we believe gives us the tools to expertly manage the assets in our portfolio and work with our borrowers throughout periods of economic stress and uncertainty.
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.
Recent Developments

Macroeconomic Environment

This year hasThe three months ended March 31, 2023 have been characterized by steep declines and significantcontinued volatility in global markets, driven by investor concerns over inflation, rising interest rates, slowing economic growth, and geopolitical uncertainty. Inflation across many key economies reached generational highs, prompting central banksRecent bank failures and consolidations, and other events affecting financial institutions, have also contributed to take monetary policy tightening actions that are likely to create headwinds to economic growth.volatility in global markets and resulted in diminished liquidity and credit availability in the market broadly. The ongoing and potential future impacts of the war between Russia and Ukraine is also contributing to mounting inflationary pressure.economic and geopolitical uncertainty.

Inflation continuesContinued inflation has prompted central banks to rise and has caused the Federal Reserve to continuetake monetary policy tightening actions, including raising interest rates, which has created further uncertainty for the economy and for our borrowers. Although our business model is such that rising interest rates will, all else being equal, correlate to increases in our net income, increases in interest rates may adversely affect our existing borrowers.borrowers and lead to nonperformance. Additionally, rising rates and increasing costs may dampen
47


consumer spending and slow corporate profit growth, which may negatively impact the collateral underlying certain of our loans. While there is debate among economists as to whether such factors, coupled with economic contraction in the U.S. in 2022, indicate that the U.S. has
50


entered, or in the near term will enter, a recession, itIt remains difficult to predict the full impact of recent changesevents and any future changes in interest rates or inflation.

Reference Rate Reform

LIBOR and certain other floating rate benchmark indices to which our floating rate loans and other loan agreements are tied, including, without limitation, the Euro Interbank Offered Rate, or EURIBOR, the Stockholm Interbank Offered Rate, or STIBOR, the Australian Bank Bill Swap Reference Rate, or BBSY, the Canadian Dollar Offered Rate, or CDOR, the Swiss Average Rate Overnight, or SARON, and the Copenhagen Interbank Offering Rate, or CIBOR, or collectively, IBORs, arehave been the subject of recent national, international and regulatory guidance and proposals for reform. As of December 31, 2021, the ICE Benchmark Association, or IBA, ceased publication of allmost non-USD LIBOR and the one-week and two-month USD LIBOR and, as andsettings. IBA also previously announced intendsits intention to cease publication of remaining U.S. dollar LIBOR settings immediately after June 30, 2023.2023; however, in November 2022 the U.K. Financial Conduct Authority, which regulates IBA, announced a public consultation regarding whether it should compel IBA to continue publishing “synthetic” USD LIBOR settings from June 2023 to the end of September 2024. Further, on March 15, 2022, the Consolidated Appropriations Act of 2022, which includes the Adjustable Interest Rate (LIBOR) Act, or LIBOR Act, was signed into law in the U.S. This legislation establishes a uniform benchmark replacement process for financial contracts maturing after June 30, 2023 that do not contain clearly defined or practicable fallback provisions. Under the LIBOR Act, such contracts will automatically transition as a matter of law to a Secured Overnight Financing Rate, or SOFR, based replacement rate identified by the Board of Governors of the Federal Reserve System, or Federal Reserve. The legislation also creates a safe harbor that shields lenders from litigation if they choose to utilize a replacement rate recommended by the Board of Governors ofFederal Reserve. In December 2022, the Federal Reserve.

Reserve adopted a final rule to implement the LIBOR Act.
The U.S. Federal Reserve, in conjunction with the Alternative Reference Rates Committee, or ARRC, a steering committee composed of large U.S. financial institutions, has identified the Secured Overnight Financing Rate, or SOFR, a new index calculated using short-term repurchase agreements backed by U.S. Treasury securities, as its preferred alternative rate for USD LIBOR. According to the ARRC, data from the cash and derivatives markets show continued momentum in the transition from LIBOR to SOFR, and SOFR is currently predominant across cash and derivatives markets. As of September 30, 2022,March 31, 2023, one-month term SOFR is utilized as the floating benchmark rate on 49118 of our loans, the financing provided on the 2020 FL3 and 2020 FL2 CLOs, one of our asset-specific financings, certain borrowings under nine14 of our credit facilities, and our B-4 Term Loan. As of September 30, 2022, theMarch 31, 2023, one-month term SOFR was 3.04%4.80% and one-month USD LIBOR was 3.14%4.86%. Additionally, market participants have transitionedcontinued to transition from GBP LIBOR to the Sterling Overnight Index Average, or SONIA, in line with guidance from the U.K. regulators. As of September 30, 2022,March 31, 2023, daily compounded SONIA is utilized as the floating benchmark rate for all of our floating rate British Pound Sterling loans and related financings. As of March 31, 2023, 80% of our aggregate loan principal balance has either transitioned to the applicable replacement benchmark rate, or its existing benchmark rate is not expected to be replaced, and we expect to transition the remaining 20% in 2023.

At this time, it is not possible to predict how markets will respond in the future to SOFR, SONIA, or other alternative reference rates as the transition away from USD LIBOR and GBP LIBOR proceeds. Despite the LIBOR transition in other markets, benchmark rate methodologies in Europe, Australia, Canada, Switzerland and Denmark have been reformed and rates such as EURIBOR, STIBOR, BBSY, CDOR, SARON and CIBOR may persist as International Organization of Securities Commissions, or IOSCO, compliant reference rates moving forward. However, multi-rate environments may persist in these markets as regulators and working groups have suggested market participants adopt alternative reference rates.

Refer to “Part I. Item 1A. Risk Factors—Risks Related to Our Lending and Investment Activities—The recent and expected discontinuation of currently used financial reference rates and use of alternative replacement reference rates may adversely affect net interest income related to our loans and investments or otherwise adversely affect our results of operations, cash flows and the market value of our investments” of our Annual Report on Form 10-K filed with the SEC on February 9, 2022.8, 2023.
I. Key Financial Measures and Indicators
As a real estate finance company, we believe the key financial measures and indicators for our business are earnings per share, dividends declared, Distributable Earnings, and book value per share. For the three months ended September 30, 2022,March 31, 2023, we recorded basic earnings per share of $0.60,$0.68, declared a dividend of $0.62 per share, and reported $0.71$0.79 per share of Distributable Earnings. In addition, our book value as of September 30, 2022March 31, 2023 was $27.20$26.28 per share, which is net of a $0.90$2.04 per share cumulative CECL reserve.
48


As further described below, Distributable Earnings is a measure that is not prepared in accordance with accounting principles generally accepted in the United States of America, or GAAP, which helps us to evaluate our performance excluding the effects of certain transactions and GAAP adjustments that we believe are not necessarily indicative of our current loan portfolio and operations. In addition, Distributable Earnings is a performance metric we consider when declaring our dividends.
51


Earnings Per Share and Dividends Declared
The following table sets forth the calculation of basic net income (loss) per share and dividends declared per share ($ in thousands, except per share data):
Three Months Ended Three Months Ended
September 30, 2022June 30, 2022March 31, 2023December 31, 2022
Net income(1)
$103,246 $93,250 
Net income (loss)(1)
Net income (loss)(1)
$117,757 $(47,540)
Weighted-average shares outstanding, basicWeighted-average shares outstanding, basic170,971,874170,665,601Weighted-average shares outstanding, basic172,598,349171,604,533
Per share amount, basicPer share amount, basic$0.60 $0.55 Per share amount, basic$0.68 $(0.28)
Dividends declared per shareDividends declared per share$0.62 $0.62 Dividends declared per share$0.62 $0.62 
(1)Represents net income attributable to Blackstone Mortgage Trust. Refer to Note 13 to our consolidated financial statements for the calculation of diluted net income per share.
Distributable Earnings
Distributable Earnings is a non-GAAP measure, which we define as 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), and (iv) certain non-cash items. Distributable Earnings may also be adjusted from time to time to exclude one-time events pursuant to changes in GAAP and certain other non-cash charges as determined by our Manager, subject to approval by a majority of our independent directors. Distributable Earnings mirrors the terms of our management agreement between our Manager and us, or our Management Agreement, for purposes of calculating our incentive fee expense.
Our CECL reserve has been excluded from Distributable Earnings consistent with other unrealized gains (losses) pursuant to our existing policy for reporting Distributable Earnings. We expect to only recognize such potential credit losses in Distributable Earnings 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. The realized loss amount reflected in Distributable Earnings will equal the difference between the cash received, or expected to be received, and the book value of the asset, and is reflective of our economic experience as it relates to the ultimate realization of the loan.
We believe that Distributable Earnings provides meaningful information to consider in addition to our net income (loss) and cash flow from operating activities determined in accordance with GAAP. We believe Distributable Earnings is a useful financial metric for existing and potential future holders of our class A common stock as historically, over time, Distributable Earnings has been a strong indicator of our dividends per share. As a REIT, we generally must distribute annually at least 90% of our net taxable income, subject to certain adjustments, and therefore we believe our dividends are one of the principal reasons stockholders may invest in our class A common stock. Refer to Note 15 to our consolidated financial statements for further discussion of our distribution requirements as a REIT. Further, Distributable Earnings helps us to evaluate our performance excluding the effects of certain transactions and GAAP adjustments that we believe are not necessarily indicative of our current loan portfolio and operations, and is a performance metric we consider when declaring our dividends.
Distributable Earnings does not represent net income (loss) or cash generated from operating activities and should not be considered as an alternative to GAAP net income (loss), or an indication of our GAAP cash flows from operations, a measure of our liquidity, or an indication of funds available for our cash needs. In addition, our methodology for calculating Distributable Earnings may differ from the methodologies employed by other companies to calculate the same or similar supplemental performance measures, and accordingly, our reported Distributable Earnings may not be comparable to the Distributable Earnings reported by other companies.
5249


The following table provides a reconciliation of Distributable Earnings to GAAP net income (loss) ($ in thousands, except per share data):
Three months endedThree months ended
September 30, 2022June 30, 2022March 31, 2023December 31, 2022
Net income(1)
$103,246 $93,250 
Net income (loss)(1)
Net income (loss)(1)
$117,757 $(47,540)
Increase in current expected credit loss reserveIncrease in current expected credit loss reserve12,24812,983Increase in current expected credit loss reserve9,823188,811
Non-cash compensation expenseNon-cash compensation expense8,2198,418Non-cash compensation expense7,6558,128
Realized hedging and foreign currency loss, net(2)
(1,698)(829)
Realized hedging and foreign currency gain (loss), net(2)
Realized hedging and foreign currency gain (loss), net(2)
889(511)
Adjustments attributable to non-controlling interests, netAdjustments attributable to non-controlling interests, net(43)(46)Adjustments attributable to non-controlling interests, net(29)(268)
Other itemsOther items(10)(65)Other items18(25)
Distributable EarningsDistributable Earnings$121,962 $113,711 Distributable Earnings$136,113 $148,595 
Weighted-average shares outstanding, basic(3)
Weighted-average shares outstanding, basic(3)
170,971,874170,665,601
Weighted-average shares outstanding, basic(3)
172,598,349171,604,533
Distributable Earnings per share, basicDistributable Earnings per share, basic$0.71 $0.67 Distributable Earnings per share, basic$0.79 $0.87 
        
(1)Represents net income (loss) attributable to Blackstone Mortgage Trust.
(2)Represents realized gains (losses) on the repatriation of unhedged foreign currency. These amounts were not included in GAAP net income, but rather as a component of Other Comprehensive Income in our consolidated financial statements.
(3)The weighted-average shares outstanding, basic, exclude shares issuable from a potential conversion of our Convertible Notes. Consistent with the treatment of other unrealized adjustments to Distributable Earnings, these potentially issuable shares are excluded until a conversion occurs. Refer to Note 13 to our consolidated financial statements for the calculation of diluted net income per share.
Book Value Per Share
The following table calculates our book value per share ($ in thousands, except per share data):

September 30, 2022June 30, 2022 March 31, 2023December 31, 2022
Stockholders’ equityStockholders’ equity$4,658,406 $4,637,591 Stockholders’ equity$4,535,227 $4,518,794 
SharesSharesShares
Class A common stockClass A common stock170,896,268170,295,049Class A common stock172,284,118171,695,985
Deferred stock unitsDeferred stock units399,512391,027Deferred stock units316,479410,608
Total outstandingTotal outstanding171,295,780170,686,076Total outstanding172,600,597172,106,593
Book value per share(1)
Book value per share(1)
$27.20 $27.17 
Book value per share(1)
$26.28 $26.26 
(1)The book value per share excludes shares issuable from a potential conversion of our Convertible Notes. Refer to Note 13 to our consolidated financial statements for the calculation of diluted net income per share.
II. Loan Portfolio
During the three months ended September 30, 2022, we originated or acquired $438.5 million of loans. Loan fundings during the quarter totaled $696.6$443.6 million and loan repayments and sales during the quarter totaled $443.0$593.9 million. We generated interest income of $358.6$491.4 million and incurred interest expense of $202.4$317.2 million during the quarter, which resulted in $156.2$174.2 million of net interest income during the three months ended September 30, 2022.March 31, 2023.
5350


Portfolio Overview
The following table details our loan origination activity ($ in thousands):
Three Months Ended
Three Months Ended September 30, 2022Nine Months Ended September 30, 2022 March 31, 2023December 31, 2022
Loan originations(1)
Loan originations(1)
$438,454 $6,823,352 
Loan originations(1)
$— $235,467 
Loan fundings(2)
Loan fundings(2)
$696,642 $6,465,261 
Loan fundings(2)
$443,629 $689,872 
Loan repayments and sales(3)
Loan repayments and sales(3)
(442,970)(3,086,011)
Loan repayments and sales(3)
(593,935)(647,980)
Total net fundingsTotal net fundings$253,672 $3,379,250 Total net fundings$(150,306)$41,892 
(1)Includes new loan originations and additional commitments made under existing loans.
(2)Loan fundings during the three and nine months ended September 30,March 31, 2023 and December 31, 2022, include $61.1$73.8 million and $254.4$90.5 million, respectively, of additional fundings under related non-consolidated senior interests.
(3)Loan repayments and sales during the three and nine months ended September 30, 2022,March 31, 2023, include $10.0$1.6 million and $741.7 million, respectively, of additional repayments or reduction of loan exposure under related non-consolidated senior interests andinterests. There were no such related loan repayments during the loan held by our non-consolidated securitized debt obligation.three months ended December 31, 2022.


The following table details overall statistics for our loan portfolio as of September 30, 2022March 31, 2023 ($ in thousands):
   
Balance Sheet
Portfolio
Loan
Exposure(1)
Balance Sheet
Portfolio
Loan
Exposure(1)
Number of investmentsNumber of investments205 205 Number of investments199 199 
Principal balancePrincipal balance$24,576,601 $26,136,007 Principal balance$25,020,489 $26,742,669 
Net book valueNet book value$24,278,702 $24,278,702 Net book value$24,559,773 $24,559,773 
Unfunded loan commitments(2)
Unfunded loan commitments(2)
$4,126,886 $4,923,241 
Unfunded loan commitments(2)
$3,382,489 $3,382,489 
Weighted-average cash coupon(3)
Weighted-average cash coupon(3)
+ 3.30 %+ 3.31 %
Weighted-average cash coupon(3)
+ 3.46 %+ 3.38 %
Weighted-average all-in yield(3)
Weighted-average all-in yield(3)
+ 3.67 %+ 3.68 %
Weighted-average all-in yield(3)
+ 3.85 %+ 3.77 %
Weighted-average maximum maturity (years)(4)
Weighted-average maximum maturity (years)(4)
3.33.3 
Weighted-average maximum maturity (years)(4)
2.92.9 
Origination loan to value (LTV)(5)
Origination loan to value (LTV)(5)
64.0 %63.8 %
Origination loan to value (LTV)(5)
64.1 %63.8 %
(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. Total loan exposure encompasses the entire loan we originated and financed, including $1.6$1.7 billion of such non-consolidated senior interests that are not included in our balance sheet portfolio.
(2)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. Excludes $632.0 million of unfunded loan commitments related to our non-consolidated senior interests, as these commitments will not require cash outlays from us.
(3)The weighted-average cash coupon and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include SOFR, USD LIBOR, SOFR, SONIA, EURIBOR, and other indices as applicable to each investment. As of September 30, 2022,March 31, 2023, substantially all of our loans by total loan exposure earned a floating rate of interest, primarily indexed to SOFR or USD LIBOR. 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 a loanloans accounted for under the cost-recovery method.
(4)Maximum maturity assumes all extension options are exercised by the borrower, however our loans and other investments may be repaid prior to such date. As of September 30, 2022, 63%March 31, 2023, 38% of our loans by total loan exposure were subject to yield maintenance or other prepayment restrictions and 37%62% were open to repayment by the borrower without penalty.
(5)Based on LTV as of the dates loans were originated or acquired by us.

5451


The following table details the index rate floors for our loan portfolio based on total loan exposure as of September 30, 2022March 31, 2023 ($ in thousands):

Total Loan Exposure(1)
Total Loan Exposure(1)
Index Rate FloorsIndex Rate FloorsUSD
Non-USD(2)
TotalIndex Rate FloorsUSD
Non-USD(2)
Total
Fixed RateFixed Rate$37,500 $— $37,500 Fixed Rate$39,588 $— $39,588 
0.00% or no floor(3)
0.00% or no floor(3)
3,815,5907,072,36410,887,954
0.00% or no floor(3)
4,709,4867,031,51211,740,998
0.01% to 1.00% floor0.01% to 1.00% floor10,134,223661,89910,796,1220.01% to 1.00% floor9,737,130868,03210,605,162
1.01% to 1.50% floor1.01% to 1.50% floor2,960,63155,0403,015,6711.01% to 1.50% floor2,590,352156,2832,746,635
1.51% to 2.00% floor1.51% to 2.00% floor984,182984,1821.51% to 2.00% floor809,175313,0081,122,183
2.01% or more floor2.01% or more floor366,12948,449414,5782.01% or more floor438,53249,571488,103
Total(4)(3)
Total(4)(3)
$18,298,255 $7,837,752 $26,136,007 
Total(4)(3)
$18,324,263 $8,418,406 $26,742,669 
(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. Total loan exposure encompasses the entire loan we originated and financed, including $1.6$1.7 billion of such non-consolidated senior interests that are not included in our balance sheet portfolio.
(2)Includes Euro, British Pound Sterling, Swedish Krona, Australian Dollar, Canadian Dollar, Swiss Franc, and Danish Krone currencies.
(3)Includes a $286.3 million loan accounted for under the cost-recovery method.
(4)As of September 30, 2022,March 31, 2023, the weighted-average index rate floor of our loan portfolio was 0.37%. Excluding 0.0% index rate floors and loans with no floor, the weighted-average index rate floor was 0.63%0.64%. As of December 31, 2021,2022, the weighted-average index rate floor of our loan portfolio was 0.42%0.38%. Excluding 0.0% index rate floors and loans with no floor, the weighted-average index rate floor was 0.70%.0.65%
The following table details the floating benchmark rates for our loan portfolio based on total loan exposure as of September 30, 2022March 31, 2023 (total investment portfolio amounts in thousands):
Investment
Count
 Currency
Total Loan Exposure(1)
Floating Rate Index(2)
Cash Coupon(3)
All-in Yield(3)
163$$18,298,255 
USD LIBOR / SOFR(4)
+ 3.17%+ 3.53%
112,724,758 EURIBOR+ 3.02%+ 3.40%
22££2,828,801 SONIA+ 3.73%+ 4.24%
9Various$2,007,173 
Other(5)
+ 4.24%+ 4.55%
205$26,136,007 Applicable Index+ 3.31%+ 3.68%
Investment
Count
 Currency
Total Loan Exposure(1)
Floating Rate Index(2)
Cash Coupon(3)
All-in Yield(3)
158$$18,324,265 
 SOFR(4) / USD LIBOR
+ 3.23%+ 3.61%
112,607,969 EURIBOR+ 3.18%+ 3.59%
23££2,836,907 SONIA+ 3.83%+ 4.31%
7Various$2,091,734 
Other(5)
+ 4.11%+ 4.40%
199$26,742,669 Applicable Index+ 3.38%+ 3.77%
(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. Total loan exposure encompasses the entire loan we originated and financed, including $1.6$1.7 billion of such non-consolidated senior interests that are not included in our balance sheet portfolio.
(2)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. We earn forward points on our forward contracts that reflect the interest rate differentials between the applicable base rate for our foreign currency investments and prevailing USU.S. interest rates. These forward contracts effectively convert the foreign currency rate exposure for such investments to USD-equivalent interest rates.
(3)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 one loanloans accounted for under the cost-recovery method.
(4)As of September 30, 2022, $13.5March 31, 2023, $12.1 billion and $4.8$6.2 billion of loans were indexed to SOFR and USD LIBOR, and SOFR, respectively. As of September 30, 2022,March 31, 2023, one-month SOFR was 4.80% and one-month USD LIBOR was 3.14% and SOFR was 3.04%4.86%.
(5)Includes floating rate loans indexed to STIBOR, BBSY, CDOR, SARON, and CIBOR indices.


5552


The charts below detail the geographic distribution and types of properties securing our loan portfolio, as of September 30, 2022:March 31, 2023:
bxmt-20220930_g2.jpg
Collateral and Geographic Pies 3.31 vPaint.jpg
______________
(1)Net loan exposure reflects the amount of each loan that is subject to risk of credit loss to us as of March 31, 2023, which is our total loan exposure net of (i) $1.7 billion of non-consolidated senior interests, (ii) $822.9 million of asset-specific debt, (iii) $229.5 million of loan participations sold, and (iv) our aggregate CECL reserve of $336.6 million. Our non-consolidated senior interests, asset-specific debt, and loan participations sold are structurally non-recourse and term-matched to the corresponding collateral loans.
Refer to section VI of this Item 72 for details of our loan portfolio, on a loan-by-loan basis.
Portfolio Management
During the three months ended September 30, 2022,March 31, 2023, we collected 100.0% of the contractual interest payments that were due under our loans, with no interest deferrals, which wedeferrals. We believe this demonstrates the overall strength of our loan portfolio and the commitment and financial wherewithal of our borrowers generally, which are primarily affiliated with large real estate private equity funds and other strong, well-capitalized, experienced sponsors.
We maintain a robust asset management relationship with our borrowers and utilize these relationships to maximize the performance of our portfolio, including during periods of volatility. We believe that we will benefit from these relationships and from our long-standing core business model of originating senior loans collateralized by large assets in major markets with experienced, well-capitalized institutional sponsors. Our loan portfolio’s low weighted-average origination LTV of 63.8% as of September 30, 2022March 31, 2023 reflects significant equity value that we expect our sponsors arewill be motivated to protect through periods of cyclical disruption. While we believe the principal amounts of our loans are generally adequately protected by underlying collateral value, there is a risk that we will not realize the entire principal value of certain investments.
Our portfolio monitoring and asset management operations benefit from the deep knowledge, experience, and information advantages derived from our position as part of Blackstone’s real estate platform. Blackstone has built the world's preeminent global real estate business, with a proven track record of successfully navigating market cycles and emerging stronger through periods of volatility. The market-leading real estate expertise derived from the strength of the Blackstone platform deeply informs our credit and underwriting process, and gives us the tools to expertly asset manage our portfolio and work with our borrowers throughout periods of economic stress and uncertainty.
As discussed in Note 2 to our consolidated financial statements, we perform a quarterly review of our loan portfolio,
53


assesses the performance of each loan, and assigns it a risk rating between “1” and “5,” from less risk to greater risk. TheOur loan portfolio had a weighted-average risk rating of our total loan exposure was 2.82.9 as of both September 30, 2022March 31, 2023 and December 31, 2021, respectively.
56


2022.
The following table allocates the principal balance, total loan exposure, and totalnet loan exposure balances based on our internal risk ratings ($ in thousands):
September 30, 2022March 31, 2023
Risk RatingRisk RatingNumber
of Loans
Net Book Value
Total Loan
Exposure(1)
Risk RatingNumber
of Loans
Net Book Value
Total Loan
Exposure(1)
Net Loan
Exposure(2)
1112$1,059,274 $1,081,961 117$1,158,445 $1,182,278 $1,128,313 
22426,323,2627,008,2462406,462,4587,689,8685,808,391
3313714,070,84915,072,206312313,105,73513,695,32612,775,551
44132,684,9392,687,2844133,172,0293,177,1403,118,503
551284,809286,30956997,697998,057800,799
Loans receivableLoans receivable205$24,423,133 $26,136,006 Loans receivable199$24,896,364 $26,742,669 $23,631,557 
CECL reserveCECL reserve(144,431)CECL reserve(336,591)
Loans receivable, netLoans receivable, net$24,278,702 Loans receivable, net$24,559,773 
(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 to our consolidated financial statements for further discussion. Total loan exposure encompasses the entire loan we originated and financed, including $1.6$1.7 billion of such non-consolidated senior interests as of September 30, 2022.March 31, 2023.
(2)Net loan exposure reflects the amount of each loan that is subject to risk of credit loss to us as of March 31, 2023, which is our total loan exposure net of (i) $1.7 billion of non-consolidated senior interests, (ii) $822.9 million of asset-specific debt, (iii) $229.5 million of loan participations sold, and (iv) our aggregate CECL reserve of $336.6 million. Our non-consolidated senior interests, asset-specific debt, and loan participations sold are structurally non-recourse and term-matched to the corresponding collateral loans.
Current Expected Credit Loss Reserve
The CECL reserve required by GAAP reflects our current estimate of potential credit losses related to our loans and debt securities included in our consolidated balance sheets. Other than a few narrow exceptions, GAAP requires that all financial instruments subject to the CECL model have some amount of loss reserve to reflect the GAAP principle 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.
During the three months ended September 30, 2022,March 31, 2023, we recorded an aggregate $12.2increase of $10.5 million increase in the CECL reserve related toagainst our loans receivable debt securities, and unfunded loan commitments,portfolio, bringing our total loans receivable CECL reserve to $153.7$336.6 million as of September 30, 2022. See Notes 2 and 3 toMarch 31, 2023. This CECL reserve reflects certain loans assessed for impairment in our consolidated financial statements for further discussion of our CECL reserve.portfolio, as well as macroeconomic conditions.
Previously, we entered into loan modifications related to a multifamily asset in New York City, which were classified as troubled debt restructurings under GAAP. During the three months ended DecemberMarch 31, 2021,2023, we recorded an aggregate net increase of $7.5 million in the borrower committed significantasset-specific CECL reserve related to our impaired loans. The increase was primarily driven by one additional capital to the property and engaged new management to oversee property operations, and we reduced the loan's outstanding principal balance to $37.5 million, which remains unchanged as of September 30, 2022. As a result of the modification,loan that was impaired during the three months ended DecemberMarch 31, 2021,2023. As of March 31, 2023, the income accrual was suspended on this loan as recovery of income and principal was doubtful. During the three months ended March 31, 2023, we charged-off $14.4recorded $1.8 million of the $14.8interest income on this loan.
As of March 31, 2023, we had an aggregate $197.3 million asset-specific CECL reserve we recorded on this loan, and reversed the remaining $360,000 CECL reserve. We have no remaining asset-specific CECL reserve against this loan as of September 30, 2022. The loan is paying interest income current and we resumed income accrual for this loan as of December 31, 2021.
Previously, 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. Assix of September 30, 2022, this loan hasour loans receivable, with an outstanding principal balanceaggregate net book value of $286.3 million, net of cost-recovery proceeds, and a$997.7 million. This CECL reserve of $54.9 million, which was recorded based on our estimation of the fair value of each of the loan’sloan's underlying collateral as of September 30, 2022.March 31, 2023. No income was recorded on this loan during the ninethree months ended September 30,March 31, 2023 on our loans that were deemed impaired as of December 31, 2022. As of March 31, 2023, all borrowers were current with all contractual terms of each respective loan, including payments of interest. During the three months ended March 31, 2023, we received an aggregate $18.3 million of cash proceeds from such loans that were applied as a reduction to the principal balance of each respective loan. Refer to Note 2 for further discussion of our revenue recognition policy and CECL reserve.



5754


Multifamily Joint Venture
As of September 30, 2022,March 31, 2023, our Multifamily Joint Venture held $802.9$797.7 million of loans, which are included in the loan disclosures above. Refer to Note 2 to our consolidated financial statements for additional discussion of our Multifamily Joint Venture.
Portfolio Financing
Our portfolio financing consists of secured debt, securitizations, and asset-specific financings. The following table details our portfolio financing ($ in thousands):
Portfolio Financing
Outstanding Principal Balance
Portfolio Financing
Outstanding Principal Balance
September 30, 2022December 31, 2021 March 31, 2023December 31, 2022
Secured debtSecured debt$13,213,212 $12,299,580 Secured debt$14,051,435 $13,549,748 
Securitizations(1)
Securitizations(1)
2,855,6253,155,727
Securitizations(1)
2,671,7342,673,541
Asset-specific financings(2)(1)
Asset-specific financings(2)(1)
2,726,9291,913,374
Asset-specific financings(2)(1)
2,774,5222,824,961
Total portfolio financingTotal portfolio financing$18,795,766 $17,368,681 Total portfolio financing$19,497,691 $19,048,250 
(1)Includes our consolidated securitized debt obligations of $2.9 billion as of September 30, 2022. Includes our consolidated securitized debt obligations of $2.9 billion and non-consolidated securitized debt of $300.1 million as of December 31, 2021. The non-consolidated securitized debt obligation represents the senior non-consolidated investment exposure to the 2018 Single Asset Securitization. We owned the related subordinate position, which was classified as a held-to-maturity debt security on our balance sheet. During the nine months ended September 30, 2022, the 2018 Single Asset Securitization was liquidated upon full repayment of its collateral and all senior securities outstanding. Refer to Note 4 and Note 18 to our consolidated financial statements for details of the 2018 Single Asset Securitization.
(2)Includes our asset-specific debt of $959.8$822.9 million, our loan participations sold of $207.8$229.5 million, and our non-consolidated senior interests of $1.7 billion, as of March 31, 2023. Includes our asset-specific debt of $950.3 million, our loan participations sold of $224.7 million, and our non-consolidated senior interests of $1.6 billion, as of September 30, 2022. Includes our asset-specific debt of $400.7 million and our non-consolidated senior interests of $1.5 billion, as of December 31, 2021.2022. The loan participations sold and non-consolidated senior interests are non-debt financings that provide structural leverage for our whole loan investments.
Secured Debt
The following table details our outstanding secured debt ($ in thousands):
 Secured Debt
Borrowings Outstanding
 September 30, 2022December 31, 2021
Secured credit facilities$13,213,212 $12,299,580 
Acquisition facility
Total secured debt$13,213,212 $12,299,580 

 Secured Debt
Borrowings Outstanding
 March 31, 2023December 31, 2022
Secured credit facilities$14,051,435 $13,549,748 
Acquisition facility
Total secured debt$14,051,435 $13,549,748 
5855


Secured Credit Facilities
The following table details our secured credit facilities by spread over the applicable base rates as of September 30, 2022March 31, 2023 ($ in thousands):
Nine Months Ended September 30, 2022September 30, 2022
Spread(1)
New Financings(2)
Total
Borrowings
Wtd. Avg.
All-in Cost(1)(3)(4)
Collateral(5)
Wtd. Avg.
All-in Yield(1)(3)
Net Interest
 Margin(6)
+ 1.50% or less$1,194,022 $7,635,918 +1.52 %$10,764,384 +3.20 %+1.68 %
+ 1.51% to + 1.75%359,5182,403,030 +1.88 %3,734,985 +3.59 %+1.71 %
+ 1.76% to + 2.00%467,9171,319,127 +2.17 %1,904,840 +4.18 %+2.01 %
+ 2.01% or more1,036,1821,855,137 +2.66 %2,558,091 +4.92 %+2.26 %
Total$3,057,639 $13,213,212 +1.81 %$18,962,300 +3.61 %+1.80 %

Three Months Ended March 31, 2023March 31, 2023
Spread(1)
New Financings(2)
Total
Borrowings
Wtd. Avg.
All-in Cost(1)(3)(4)
Collateral(5)
Wtd. Avg.
All-in Yield(1)(3)
Net Interest
 Margin(6)
+ 1.50% or less$— $7,134,303 +1.55 %$9,688,226 +3.27 %+1.72 %
+ 1.51% to + 1.75%$— 2,617,621 +1.86 %3,795,012 +3.65 %+1.79 %
+ 1.76% to + 2.00%$— 1,867,336 +2.16 %2,967,903 +4.05 %+1.89 %
+ 2.01% or more69,5242,432,175 +2.62 %3,323,397 +4.78 %+2.16 %
Total$69,524 $14,051,435 +1.88 %$19,774,538 +3.71 %+1.83 %
(1)The spread, all-in cost, and all-in yield are expressed over the relevant floating benchmark rates, which include SOFR, USD LIBOR, SOFR, SONIA, EURIBOR, and other indices as applicable.
(2)Represents borrowings outstanding as of September 30, 2022March 31, 2023 for new financings during the ninethree months ended September 30, 2022,March 31, 2023, based on the date collateral was initially pledged to each credit facility.
(3)In addition to spread, the cost includes the associated deferred fees and expenses related to the respective borrowings. In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees. Excludes loans accounted for under the cost recovery method.
(4)Represents the weighted-average all-in cost as of September 30, 2022March 31, 2023 and is not necessarily indicative of the spread applicable to recent or future borrowings.
(5)Represents the principal balance of the collateral assets.
(6)Represents the difference between the weighted-average all-in yield and weighted-average all-in cost.
Acquisition Facility
We have a $250.0$100.0 million full recourse secured credit facility that is designed to finance eligible first mortgage originations for up to nine months as a bridge to term financing without obtaining discretionary lender approval. The maturity datecost of borrowing under the facility is variable, dependent on the type of loan collateral, and its maturity date is April 4, 2023.3, 2024. As of September 30, 2022,March 31, 2023, we had no assets pledged to our acquisition facility.

Securitizations
The following table details ourfacility and no outstanding securitizations ($ in thousands):
 Securitizations Outstanding
 September 30, 2022December 31, 2021
Securitized debt obligations$2,855,625 2,855,625
Non-consolidated securitized debt obligation(1)
300,102
Total securitizations$2,855,625 $3,155,727 
(1)These non-consolidated securitized debt obligations represent the senior non-consolidated investment exposure to the 2018 Single Asset Securitization. We owned the related subordinate position, which was classified as a held-to-maturity debt security on our balance sheet. During the nine months ended September 30, 2022, the 2018 Single Asset Securitization was liquidated upon full repayment of its collateral and all senior securities outstanding. Refer to Note 4 and Note 18 to our consolidated financial statements for details of the 2018 Single Asset Securitization.borrowings.
5956


Securitizations
Securitized Debt Obligations
We have financed certain pools of our loans through collateralized loan obligations, which include the 2021 FL4 CLO, 2020 FL3 CLO, and 2020 FL2 CLO, or collectively, the CLOs. The following table details our securitized debt obligations and the underlying collateral assets that are financed by our CLOs ($ in thousands):

 September 30, 2022
Securitized Debt ObligationsCount
Principal
 Balance
Book
Value
Wtd. Avg.
 Yield/Cost(1)(2)
Term(3)
2021 FL4 Collateralized Loan Obligation     
Collateral assets31$1,000,000 $1,000,000 + 3.51 %May 2025
Financing provided1803,750799,063+ 1.57 %May 2038
2020 FL3 Collateralized Loan Obligation
Collateral assets161,000,0001,000,000+ 3.21 %October 2024
Financing provided1808,750806,068+ 2.03 %November 2037
2020 FL2 Collateralized Loan Obligation
Collateral assets181,500,0001,500,000+ 3.39 %September 2024
Financing provided11,243,1251,238,901+ 1.39 %February 2038
Total
Collateral assets65$3,500,000 $3,500,000 + 3.37 %
Financing provided(4)
3$2,855,625 $2,844,032 + 1.62 %
 
 March 31, 2023
Securitized Debt ObligationsCount
Principal
 Balance
Book
Value
Wtd. Avg.
 Yield/Cost(1)(2)
Term(3)
2021 FL4 Collateralized Loan Obligation     
Senior CLO Securities Outstanding1$803,750 $800,192 + 1.57 %May 2038
Underlying Collateral Assets291,000,0001,000,000+ 3.51 %June 2025
2020 FL3 Collateralized Loan Obligation
Senior CLO Securities Outstanding1808,750807,428+ 2.15 %November 2037
Underlying Collateral Assets161,000,0001,000,000+ 3.24 %November 2024
2020 FL2 Collateralized Loan Obligation
Senior CLO Securities Outstanding11,059,2341,056,588+ 1.55 %February 2038
Underlying Collateral Assets171,316,1091,316,109+ 3.41 %November 2024
Total
Senior CLO Securities Outstanding(4)
3$2,671,734 $2,664,208 + 1.74 %
Underlying Collateral Assets62$3,316,109 $3,316,109 + 3.39 %
 
(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.
(2)The weighted-average all-in yield and cost are expressed as a spread over the relevant floating benchmark rates, which include SOFR and USD LIBOR, and SOFR, as applicable to each securitized debt obligation. As of September 30, 2022,March 31, 2023, the floating benchmark rate for the financing provided on the 2020 FL3 and 2020 FL2 CLOs is one-month SOFR, plus a credit spread adjustment of 0.11%.SOFR. As of September 30, 2022, theMarch 31, 2023, one-month SOFR was 3.04%4.80% and one-month USD LIBOR was 3.14%4.86%. Excludes loans accounted for under the cost recovery method.
(3)LoanUnderlying Collateral Assets term represents the weighted-average final maturity of such loans, assuming all extension options are exercised by the borrower. Repayments of securitized debt obligations are tied to timing of the related collateral loan asset repayments. The term of these obligations represents the rated final distribution date of the securitizations.
(4)During the three and nine months ended September 30, 2022,March 31, 2023, we recorded $26.1$39.8 million and $52.6 million, respectively, of interest expense related to our securitized debt obligations.
Refer to Note 6 and Note 18 to our consolidated financial statements for additional details of our securitized debt obligations.






57


Asset-Specific Financings
The following table details our outstanding asset-specific financings ($ in thousands):
Asset-Specific Financings
Outstanding Principal Balance
Asset-Specific Financings
Outstanding Principal Balance
September 30, 2022December 31, 2021 March 31, 2023December 31, 2022
Asset-specific debtAsset-specific debt$959,762 $400,699 Asset-specific debt$822,873 $950,278 
Loan participations sold(1)
Loan participations sold(1)
207,762
Loan participations sold(1)
229,468224,744
Non-consolidated senior interests(1)
Non-consolidated senior interests(1)
1,559,4051,512,675
Non-consolidated senior interests(1)
1,722,1811,649,939
Total asset-specific financingsTotal asset-specific financings$2,726,929 $1,913,374 Total asset-specific financings$2,774,522 $2,824,961 
(1)These loan participations sold and non-consolidated senior interests provide structural leverage for our net investments which are reflected in the form of mezzanine loans or other subordinate interests on our balance sheet and in our results of operations.
60


Asset-Specific Debt
The following table details our asset-specific debt ($ in thousands):
 September 30, 2022
Asset-Specific DebtCount
Principal
 Balance
Book Value
Wtd. Avg.
Yield/Cost(1)
Wtd. Avg.
 Term(2)
Collateral assets4$1,125,108 $1,108,063 + 4.56 %March 2026
Financing provided4$959,762 $949,891 + 3.09 %March 2026

 March 31, 2023
Asset-Specific DebtCount
Principal
 Balance
Book Value
Wtd. Avg.
Yield/Cost(1)
Wtd. Avg.
 Term(2)
Financing provided3$822,873 $817,444 + 3.66 %February 2026
Collateral assets3$981,538 $971,397 + 4.85 %February 2026
(1)These floating rate loans and related liabilities are currency and indexed matchedindex-matched to the applicable benchmark rate relevant in each arrangement. In addition to cash coupon, yield/cost includes the amortization of deferred origination fees and financing costs.
(2)The weighted-average term is determined based on the maximum maturity of the corresponding loans, assuming all extension options are exercised by the borrower. Our non-recourse, asset-specific debt is term-matched in each case to the corresponding collateral loans.
Loan Participations Sold
The following table details our loan participations sold ($ in thousands):
September 30, 2022 March 31, 2023
Loan Participations SoldLoan Participations SoldCount
Principal
 Balance
Book Value
Wtd. Avg.
 Yield/Cost(1)
 
Term(2)
Loan Participations SoldCount
Principal
 Balance
Book Value
Wtd. Avg.
 Yield/Cost(1)
 
Term(2)
Senior participation(3)
Senior participation(3)
1$229,468 $229,003 + 3.22 %March 2027
Total loanTotal loan1$259,703 $257,556 + 4.86 %March 2027Total loan1$286,835 $284,940 + 4.86 %March 2027
Senior participation1$207,762 $207,225 + 3.20 %March 2027
(1)This non-debt participation sold structure is inherently matched in terms of currency and interest rate. In addition to cash coupon, yield/cost includes the amortization of deferred fees and financing costs.
(2)The term is determined based on the on maximum maturity of the loan, assuming all extension options are exercised by the borrower. Our loan participation sold is inherently non-recourse and term-matched to the corresponding collateral loan.
(3)During the three months ended March 31, 2023, we recorded $3.7 million of interest expense related to our loan participations sold.

58


Non-Consolidated Senior Interests
In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements. These non-consolidated senior interests provide structural leverage for our net investments which are reflected in the form of mezzanine loans or other subordinate interests on our balance sheet and in our results of operations. Our non-consolidated senior interests are inherently term-matched and non-recourse.
The following table details the subordinate interests retained on our balance sheet and the related non-consolidated senior interests ($ in thousands):
September 30, 2022 March 31, 2023
Non-Consolidated Senior InterestsNon-Consolidated Senior InterestsCountPrincipal
Balance
Book
Value
Wtd. Avg.
Yield/Cost(1)
Wtd. Avg.
Term
Non-Consolidated Senior InterestsCountPrincipal
Balance
Book
Value
Wtd. Avg.
Yield/Cost(1)
Wtd. Avg.
Term(2)
Senior participationSenior participation8$1,722,181 n/a+ 2.67 %March 2026
Total loanTotal loan8$1,929,848 n/a+ 3.66 %February 2026Total loan8$2,133,216 n/a+ 3.76 %March 2026
Senior participation8$1,559,405 n/a+ 2.63 %February 2026
(1)The weighted-average spread and all-in yield are expressed as a spread over the relevant floating benchmark rates, which includes SOFR and USD LIBOR, and SOFR, as applicable to each investment. This non-debt participation sold structure is inherently matched in terms of currency and interest rate. In addition to cash coupon, yield/cost includes the amortization of deferred fees and financing costs.

(2)
The term is determined based on the maximum maturity of the loan, assuming all extension options are exercised by the borrower. Our non-consolidated senior interests are inherently non-recourse and term-matched to the corresponding collateral loan.
61


Corporate Financing
The following table details our outstanding corporate financing ($ in thousands):
Corporate Financing
Outstanding Principal Balance
Corporate Financing
Outstanding Principal Balance
September 30, 2022December 31, 2021 March 31, 2023December 31, 2022
Term loansTerm loans$1,837,717 $1,349,271 Term loans$2,151,719 $2,157,218 
Senior secured notesSenior secured notes400,000400,000Senior secured notes400,000400,000
Convertible notesConvertible notes520,000622,500Convertible notes300,000520,000
Total corporate financingTotal corporate financing$2,757,717 $2,371,771 Total corporate financing$2,851,719 $3,077,218 
Term Loans
As of September 30, 2022,March 31, 2023, the following senior term loan facilities, or Term Loans, were outstanding ($ in thousands):
Term LoansFace Value
Interest Rate(1)
All-in Cost(1)(2)
Maturity
B-1 Term Loan$922,743917,987 + 2.25 %+ 2.53 %April 23, 2026
B-3 Term Loan$416,224414,111 + 2.75 %+ 3.42 %April 23, 2026
B-4 Term Loan$498,750819,621 + 3.50 %3.984.11 %May 9, 2029
(1)The B-3 Term Loan and the B-4 Term Loan borrowings are subject to a floor of 0.50%. The B-1 Term Loan and B-3 Term Loan are indexed to one-month USD LIBOR and the B-4 Term Loan is indexed to one-month SOFR.
(2)Includes issue discount and transaction expenses that are amortized through interest expense over the life of the Term Loans.
Refer to Note 2 and Note 9 to our consolidated financial statements for additional discussion of our Term Loans.

59


Senior Secured Notes
As of September 30, 2022,March 31, 2023, the following Senior Secured Notes, were outstanding ($ in thousands):
Senior Secured NotesFace ValueInterest Rate
All-in Cost(1)
Maturity
Senior Secured Notes$400,000 3.75 %4.04 %January 15, 2027
(1)Includes transaction expenses that are amortized through interest expense over the life of the Senior Secured Notes.
Refer to Note 2 and Note 10 to our consolidated financial statements for additional discussion of our Senior Secured Notes.
Convertible Notes
As of September 30, 2022March 31, 2023 the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands):
Convertible Notes IssuanceConvertible Notes IssuanceFace Value
Interest Rate
All-in Cost(1)
Conversion Price(2)
MaturityConvertible Notes IssuanceFace Value
Interest Rate
All-in Cost(1)
Conversion Price(2)
Maturity
March 2018$220,000 4.75 %5.33 %$36.23March 15, 2023
March 2022March 2022$300,000 5.50 %5.94 %$36.27March 15, 2027March 2022$300,000 5.50 %5.94 %$36.27March 15, 2027
(1)Includes issuance costs that are amortized through interest expense over the life of the Convertible Notes using the effective interest method.
(2)Represents the price of class A common stock per share based on a conversion rate of 27.6052 and 27.5702 respectively, for the March 2018 and March 2022 convertible notes. The conversion rate represents the number of shares of class A common stock issuable per $1,000 principal amount of Convertible Notes. The cumulative dividend threshold as defined in the respective March 2018 and March 2022 convertible notes supplemental indentures havehas not been exceeded as of September 30, 2022.March 31, 2023.
62


Refer to Note 2 and Note 11 to our consolidated financial statements for additional discussion of our Convertible Notes.
Floating Rate Portfolio
Generally, our business model is such that rising interest rates will increase our net income, while declining interest rates will decrease net income. As of September 30, 2022,March 31, 2023, substantially all of our investments by total loan exposure earned a floating rate of interest and were financed with liabilities that pay interest at floating rates, which resulted in an amount of net equity that is positively correlated to rising interest rates, subject to the impact of interest rate floors on certain of our floating rate investments.
Our liabilities are generally currency and index-matched to each collateral asset, resulting in a net exposure to movements in benchmark rates that varies by currency silo based on the relative proportion of floating rate assets and liabilities.
The following table details our investment portfolio’s net exposure to interest rates by currency as of September 30, 2022March 31, 2023 (amounts in thousands):
USD
GBP
EUR
All Other(5)
USD
GBP
EUR
All Other(1)
Floating rate loans(2)(3)
Floating rate loans(2)(3)
$18,260,755 £2,828,801 2,724,758 $2,007,173 
Floating rate loans(2)(3)
$18,284,677 £2,836,907 2,607,969 $2,091,734 
Floating rate debt(3)(4)
Floating rate debt(3)(4)
(14,682,870)(2,158,295)(2,047,629)(1,532,713)
Floating rate debt(3)(4)
(15,260,399)(2,141,971)(1,929,672)(1,654,888)
Net floating rate exposureNet floating rate exposure$3,577,885 £670,506 677,129 $474,460 Net floating rate exposure$3,024,278 £694,936 678,297 $436,846 
Net floating rate exposure in USD(4)(5)
Net floating rate exposure in USD(4)(5)
$3,577,885 $748,956 $663,722 $474,460 
Net floating rate exposure in USD(4)(5)
$3,024,278 $857,342 $735,206 $436,846 

(1)Our floating rate loans and related liabilities are currency and indexed matched to the applicable benchmark rate relevant in each arrangement.
(2)As of September 30, 2022, $13.5 billion and $4.8 billion of floating rate loans were indexed to USD LIBOR and SOFR, respectively. As of September 30, 2022, $8.5 billion and $6.2 billion of floating rate debt was indexed to USD LIBOR and SOFR, respectively. As of September 30, 2022, one-month SOFR was 3.04% and one-month USD LIBOR was 3.14%.
(3)Includes borrowings under secured debt, securitizations, asset-specific financings, and term loans.
(4)Represents the U.S. Dollar equivalent as of September 30, 2022.
(5)Includes Australian Dollar, Canadian Dollar, Danish Krone, Swedish Krona, and Swiss Franc currencies.

(2)
Our floating rate loans and related liabilities are currency and index-matched to the applicable benchmark rate relevant in each arrangement.
(3)As of March 31, 2023, $12.1 billion and $6.2 billion of floating rate loans were indexed to SOFR and USD LIBOR, respectively. As of March 31, 2023, $10.1 billion and $5.2 billion of floating rate debt was indexed to SOFR and USD LIBOR, respectively. As of March 31, 2023, one-month SOFR was 4.80% and one-month USD LIBOR was 4.86%.
(4)Includes borrowings under secured debt, securitizations, asset-specific financings, and term loans.
(5)Represents the U.S. Dollar equivalent as of March 31, 2023.

6360



III. Our Results of Operations
Operating Results
The following table sets forth information regarding our consolidated results of operations for the three months ended September 30, 2022March 31, 2023 and June 30,December 31, 2022 ($ in thousands, except per share data):

Three Months EndedChange Three Months EndedChange
September 30, 2022June 30, 2022$ March 31, 2023December 31, 2022$
Income from loans and other investmentsIncome from loans and other investmentsIncome from loans and other investments
Interest and related incomeInterest and related income$358,557 $283,687 $74,870 Interest and related income$491,384 $462,278 $29,106 
Less: Interest and related expensesLess: Interest and related expenses202,375136,61965,756Less: Interest and related expenses317,197271,19646,001
Income from loans and other investments, netIncome from loans and other investments, net156,182147,0689,114Income from loans and other investments, net174,187191,082(16,895)
Other expensesOther expensesOther expenses
Management and incentive feesManagement and incentive fees25,91127,065(1,154)Management and incentive fees31,05033,830(2,780)
General and administrative expensesGeneral and administrative expenses12,93212,409523General and administrative expenses12,86514,492(1,627)
Total other expensesTotal other expenses38,84339,474(631)Total other expenses43,91548,322(4,407)
Increase in current expected credit loss reserveIncrease in current expected credit loss reserve(12,248)(12,983)735Increase in current expected credit loss reserve(9,823)(188,811)178,988
Income before income taxes105,09194,61110,480
Income (loss) before income taxesIncome (loss) before income taxes120,449(46,051)166,500
Income tax provisionIncome tax provision1,172746426Income tax provision1,893938955
Net income103,91993,86510,054
Net income (loss)Net income (loss)118,556(46,989)165,545
Net income attributable to non-controlling interestsNet income attributable to non-controlling interests(673)(615)(58)Net income attributable to non-controlling interests(799)(551)(248)
Net income attributable to Blackstone Mortgage Trust, Inc.$103,246 $93,250 $9,996 
Net income per share of common stock
Net income (loss) attributable to Blackstone Mortgage Trust, Inc.Net income (loss) attributable to Blackstone Mortgage Trust, Inc.$117,757 $(47,540)$165,297 
Net income (loss) per share of common stockNet income (loss) per share of common stock
BasicBasic$0.60 $0.55 $0.05 Basic$0.68 $(0.28)$0.96 
DilutedDiluted$0.59 $0.54 $0.05 Diluted$0.67 $(0.28)$0.95 
Weighted-average shares of common stock outstandingWeighted-average shares of common stock outstandingWeighted-average shares of common stock outstanding
BasicBasic170,971,874170,665,601306,273Basic172,598,349171,604,533993,816
DilutedDiluted185,316,078185,009,805306,273Diluted180,869,409171,604,5339,264,876
Dividends declared per shareDividends declared per share$0.62 $0.62 $— Dividends declared per share$0.62 $0.62 $— 
Income from loans and other investments, net
Income from loans and other investments, net increased $9.1decreased $16.9 million during the three months ended September 30, 2022March 31, 2023 compared to the three months ended June 30,December 31, 2022. The increasedecrease was primarily due to (i) an increasea decrease in USD LIBOR, SOFR, SONIA, and other floating rate indicesprepayment fee income and (ii) a decline in interest income related to an increase inadditional four loans that are accounted for under the weighted-average principal balance of our loan portfolio by $764.1 million for the three months ended September 30, 2022, as compared to the three months ended June 30, 2022. This was offset by an increase in the weighted-average principal balance of our outstanding financing arrangements by $681.8 million for the three months ended September 30, 2022, as compared to the three months ended June 30,cost-recovery method effective December 31, 2022.
Other expenses
Other expenses include management and incentive fees payable to our Manager and general and administrative expenses. Other expenses decreased by $631,000$4.4 million during the three months ended September 30, 2022March 31, 2023 compared to the three months ended June 30,December 31, 2022 primarily due to a decrease of (i) $1.2$2.9 million of incentive fees payable to our Manager, primarily due to a decrease in Distributable Earnings, (ii) $1.2 million of general operating expenses, and (ii)(iii) non-cash restricted stock amortization of $199,000$464,000 related to shares awarded under our long-term incentive plans. This was offset by an increase of (i) $723,000 of general operating expenses, and (iii) $70,000 of management fees payable to our Manager.


64


Changes in current expected credit loss reserve
During the three months ended September 30, 2022,March 31, 2023, we recorded a $12.2$9.8 million increase in the CECL reserve, as compared to a $13.0$188.8 million increase during the three months ended June 30,December 31, 2022. This CECL reserve reflects certain loans assessed for impairment in our portfolio, as well as macroeconomic conditions. See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve.
Net income attributable to non-controlling interests
61

During the three months ended September 30, 2022 and June 30, 2022, we recorded $673,000 and $615,000, respectively, of net income attributable to non-controlling interests related to our Multifamily Joint Venture.

Dividends per share
During the three months ended September 30,March 31, 2023, we declared aggregate dividends of $0.62 per share, or $106.8 million. During the three months ended December 31, 2022, we declared aggregate dividends of $0.62 per share, or $106.0 million. During the three months ended June 30, 2022, we declared aggregate dividends of $0.62 per share, or $105.6$106.5 million.

The following table sets forth information regarding our consolidated results of operations for the ninethree months ended September 30,March 31, 2023 and 2022 and September 30, 2021 ($ in thousands, except per share data):

Nine Months EndedChange Three Months EndedChange
September 30, 2022September 30, 2021$ March 31, 2023March 31, 2022$
Income from loans and other investmentsIncome from loans and other investmentsIncome from loans and other investments
Interest and related incomeInterest and related income$876,676 $583,941 $292,735 Interest and related income$491,384 $234,432 $256,952 
Less: Interest and related expensesLess: Interest and related expenses439,708243,413196,295Less: Interest and related expenses317,197100,714216,483
Income from loans and other investments, netIncome from loans and other investments, net436,968340,52896,440Income from loans and other investments, net174,187133,71840,469
Other expensesOther expensesOther expenses
Management and incentive feesManagement and incentive fees76,46260,09416,368Management and incentive fees31,05023,4867,564
General and administrative expensesGeneral and administrative expenses37,70132,1085,593General and administrative expenses12,86512,360505
Total other expensesTotal other expenses114,16392,20221,961Total other expenses43,91535,8468,069
(Increase) decrease in current expected credit loss reserve(Increase) decrease in current expected credit loss reserve(22,694)49,432(72,126)(Increase) decrease in current expected credit loss reserve(9,823)2,537(12,360)
Income before income taxesIncome before income taxes300,111297,7582,353Income before income taxes120,449100,40920,040
Income tax provisionIncome tax provision2,0643461,718Income tax provision1,8931461,747
Net incomeNet income298,047297,412635Net income118,556100,26318,293
Net income attributable to non-controlling interestsNet income attributable to non-controlling interests(1,864)(2,158)294Net income attributable to non-controlling interests(799)(576)(223)
Net income attributable to Blackstone Mortgage Trust, Inc.Net income attributable to Blackstone Mortgage Trust, Inc.$296,183 $295,254 $929 Net income attributable to Blackstone Mortgage Trust, Inc.$117,757 $99,687 $18,070 
Net income per share of common stockNet income per share of common stockNet income per share of common stock
BasicBasic$1.74 $2.00 $(0.26)Basic$0.68 $0.59 $0.09 
DilutedDiluted$1.71 $2.00 $(0.29)Diluted$0.67 $0.58 $0.09 
Weighted-average shares of common stock outstandingWeighted-average shares of common stock outstandingWeighted-average shares of common stock outstanding
BasicBasic170,303,470147,971,73722,331,733Basic172,598,349169,254,0593,344,290
DilutedDiluted182,011,842147,971,73734,040,105Diluted180,869,409175,602,9055,266,504
Dividends declared per shareDividends declared per share$1.86 $1.86 $— Dividends declared per share$0.62 $0.62 $— 
Income from loans and other investments, net
Income from loans and other investments, net increased $96.4$40.5 million during the ninethree months ended September 30, 2022March 31, 2023 compared to the ninethree months ended September 30, 2021.March 31, 2022. The increase was primarily due to (i) an increase in SOFR, USD LIBOR, SOFR, SONIA, EURIBOR, and other floating rate indices during 2022 and 2023, and (ii) an increase in the weighted-average principal balance of our loan portfolio by $6.4$2.6 billion for the ninethree months ended September 30, 2022,March 31, 2023, as compared to the ninethree months ended September 30, 2021, and (iii) an increase in prepayment fee income.March 31, 2022. This was offset by an increase in the weighted-average principal balance of our outstanding financing arrangements by $5.7$2.4 billion for the ninethree months ended September 30, 2022,March 31, 2023, as compared to the ninethree months ended September 30, 2021.
65


March 31, 2022.
Other expenses
Other expenses include management and incentive fees payable to our Manager and general and administrative expenses. Other expenses increased by $22.0$8.1 million during the ninethree months ended September 30, 2022March 31, 2023 compared to the ninethree months ended September 30, 2021March 31, 2022 due to an increase of (i) $8.7$7.1 million of incentive fees payable to our Manager, primarily due to an increase in Distributable Earnings, (ii) $7.7$1.5 million of general operating expenses, and (iii) $483,000 of management fees payable to our Manager, primarily as a result of net proceeds received from the sale of shares of our class A common stock during 2021, (iii) $4.5 million of general operating expenses, and (iv) $1.0 million of2022. This was offset by a reduction in non-cash restricted stock amortization of $1.0 million related to shares issuedawarded under our long-term incentive plans.

62


Changes in current expected credit loss reserve
During the ninethree months ended September 30, 2022,March 31, 2023, we recorded a $22.7$9.8 million increase in the CECL reserve, as compared to a $49.4$2.5 million decrease during the ninethree months ended September 30, 2021. See Notes 2 and 3 toMarch 31, 2022. This CECL reserve reflects certain loans assessed for impairment in our consolidated financial statements for further discussion of our CECL reserve.
Net income attributable to non-controlling interests
During the nine months ended September 30, 2022 and September 30, 2021, we recorded $1.9 million and $2.2 million, respectively, of net income attributable to non-controlling interests related to our Multifamily Joint Venture.portfolio, as well as macroeconomic conditions.
Dividends per share
During the ninethree months ended September 30,March 31, 2023, we declared aggregate dividends of $0.62 per share, or $106.8 million. During the three months ended March 31, 2022, we declared aggregate dividends of $1.86$0.62 per share, or $317.1 million. During the nine months ended September 30, 2021, we declared aggregate dividends of $1.86 per share, or $279.7$105.6 million.
IV. Liquidity and Capital Resources
Capitalization
We have capitalized our business to date primarily through the issuance and sale of shares of our class A common stock, corporate debt, and asset-level financings. As of September 30, 2022,March 31, 2023, our capitalization structure included $4.74.5 billion of common equity, $2.8$2.9 billion of corporate debt, and $18.8$19.5 billion of asset-level financings. Our $2.8$2.9 billion of corporate debt includes $1.8$2.2 billion of term loan borrowings, $400.0 million of senior secured notes, and $520.0$300.0 million of convertible notes. Our $18.8$19.5 billion of asset-level financings includes $13.2$14.1 billion of secured debt, $2.9$2.7 billion of securitizations, and $2.7$2.8 billion of asset-specific financings, all of which are structured to produce term, currency, and index matched funding with no margin call provisions based upon capital markets events.
As of September 30, 2022,March 31, 2023, we have $1.7$1.6 billion of liquidity that can be used to satisfy our short-term cash requirements and as working capital for our business.
See Notes 5, 6, 7, 8, 9, 10, and 11 to our consolidated financial statements for additional details regarding our secured debt, securitized debt obligations, asset-specific debt, loan participations sold, Term Loans, Senior Secured Notes, and Convertible Notes, respectively.
Debt-to-Equity Ratio and Total Leverage Ratio
The following table presents our debt-to-equity ratio and total leverage ratio:

 September 30, 2022March 31, 2023December 31, 20212022
Debt-to-equity ratios
Debt-to-equity ratio(1)
3.6x3.8x3.2x3.8x
Adjusted debt-to-equity ratio(2)
3.5x3.6x
Total leverage ratios
Total leverage ratio(2)(3)
4.6x4.8x4.2x4.8x
Adjusted total leverage ratio(4)
4.5x4.5x
(1)Represents, in each case at period end, (i) total outstanding secured debt, asset-specific debt, term loans, senior secured notes, and convertible notes, less cash, to (ii) total equity.
(2)Represents, in each case at period end, (i) total outstanding secured debt, asset-specific debt, term loans, senior secured notes, and convertible notes, less cash, to (ii) total equity, excluding our aggregate CECL reserve of $352.3 million and $342.5 million, as of March 31, 2023, and December 31, 2022, respectively.
(3)Represents, in each case at period end.end, (i) total outstanding secured debt, securitizations, asset-specific financings, term loans, senior secured notes, and convertible notes, less cash, to (ii) total equity.
(2)(4)Represents, in each case at period end, (i) total outstanding secured debt, securitizations, asset-specific financings, term loans, senior secured notes, and convertible notes, less cash, to (ii) total equity, in each case at period end.excluding our aggregate CECL reserve of $352.3 million and $342.5 million, as of March 31, 2023, and December 31, 2022, respectively.





6663


Sources of Liquidity
Our primary sources of liquidity include cash and cash equivalents, available borrowings under our secured debt facilities, and net receivables from servicers related to loan repayments, which are set forth in the following table ($ in thousands):

September 30, 2022December 31, 2021 March 31, 2023December 31, 2022
Cash and cash equivalentsCash and cash equivalents$271,899 $551,154 Cash and cash equivalents$515,808 $291,340 
Available borrowings under secured debtAvailable borrowings under secured debt1,398,058754,900Available borrowings under secured debt1,027,5561,536,638
Loan principal payments held by servicer, net(1)
Loan principal payments held by servicer, net(1)
1,90217,528
Loan principal payments held by servicer, net(1)
19,7567,425
$1,671,859 $1,323,582 $1,563,120 $1,835,403 
(1)Represents loan principal payments held by our third-party servicer as of the balance sheet date which were remitted to us during the subsequent remittance cycle, net of the related secured debt balance.
During the ninethree months ended September 30, 2022,March 31, 2023, we generated cash flow from operating activities of $266.6$110.2 million and received (i) $2.7 billion$562.1 million from loan principal collections and sales proceeds and (ii) $1.8 billion$425.8 million of net proceeds from secured debt borrowings, (iii) $575.9 million of net proceeds from asset-specific debt, (iv) $492.5 million of net proceeds from secured term loan borrowings, (v) $294.0 million of net proceeds from the issuance of convertible notes, (vi) $272.0 million of net cash settlements on our foreign currency forward contracts, (vii) $245.3 million from the sale of a senior loan participation, and (viii) $70.7 million of net proceeds from the issuance of shares of class A common stock.borrowings. Furthermore, we are able to generate incremental liquidity through the replenishment provisions of certain of our CLOs, which allow us to replace a repaid loan in the CLO by increasing the principal amount of existing CLO collateral assets to maintain the aggregate amount of collateral assets in the CLO, and the related financing outstanding.
We have access to further liquidity through public offerings of debt and equity securities. To facilitate such offerings, in July 2022, we filed a shelf registration statement with the SEC that is effective for a term of three years and expires in July 2025. The amount of securities to be issued pursuant to this shelf registration statement was not specified when it was filed and there is no specific dollar limit on the amount of securities we may issue. The securities covered by this registration statement include: (i) class A common stock; (ii) preferred stock; (iii) depositary shares representing preferred stock; (iv) debt securities; (v) warrants; (vi) subscription rights; (vii) purchase contracts; and (viii) units consisting of one or more of such securities or any combination of these securities. The specifics of any future offerings, along with the use of proceeds of any securities offered, will be described in detail in a prospectus supplement, or other offering materials, at the time of any offering.
We may also access liquidity through our dividend reinvestment plan and direct stock purchase plan, under which 9,984,3709,980,171 shares of class A common stock were available for issuance as of September 30, 2022,March 31, 2023, and our at the market stock offering program, pursuant to which we may sell, from time to time, up to $480.9 million of additional shares of our class A common stock as of September 30, 2022.March 31, 2023. Refer to Note 13 to our consolidated financial statements for additional details.
Liquidity Needs
In addition to our loan origination and funding activity and general operating expenses, our primary liquidity needs include interest and principal payments under our $13.2$14.1 billion of outstanding borrowings under secured debt, our asset-specific debt, our Term Loans, our Senior Secured Notes, and our Convertible Notes. From time to time we may also repurchase our outstanding debt or shares of our class A common stock. Such repurchases, if any, will depend on prevailing market conditions, our liquidity requirements, contractual restrictions, and other factors. The amounts involved in any such purchase transactions, individually or in the aggregate, may be material.
As of September 30, 2022,March 31, 2023, we had unfunded commitments of $4.1$3.4 billion related to 122112 loans receivable and $2.7$2.1 billion of committed or identified financing for those commitments resulting in net unfunded commitments of $1.4$1.3 billion. The unfunded loan commitments comprise funding for capital expenditures and construction, leasing costs, and interest and carry costs, and their fundability varies depending on the progress of capital projects, leasing, and cash flows at the properties securing our loans. Therefore, the exact timing and amounts of such future loan fundings are uncertain and will depend on the current and future performance of the underlying collateral assets. We expect to fund our loan commitments over the remaining term of the related loans, which have a weighted-average future funding period of 3.9 years.3.0 years.





67
64


Contractual Obligations and Commitments
Our contractual obligations and commitments as of September 30, 2022March 31, 2023 were as follows ($ in thousands):

 Payment Timing  Payment Timing
Total
Obligation
Less Than
1 Year(1)
1 to 3
Years
3 to 5
Years
More Than
5 Years
Total
Obligation
Less Than
1 Year(1)
1 to 3
Years
3 to 5
Years
More Than
5 Years
Unfunded loan commitments(2)
Unfunded loan commitments(2)
$4,126,886 $134,565 $1,395,292 $1,240,732 $1,356,297 
Unfunded loan commitments(2)
$3,382,489 $363,675 $1,665,232 $746,829 $606,753 
Principal repayments under secured debt(3)
Principal repayments under secured debt(3)
13,213,212400,4354,255,2797,837,659719,839
Principal repayments under secured debt(3)
14,051,435766,6345,106,5977,330,396847,808
Principal repayments under asset-specific debt(3)
Principal repayments under asset-specific debt(3)
959,762521,838354,85883,066
Principal repayments under asset-specific debt(3)
822,873676,52032,299114,054
Principal repayments of term loans(4)
Principal repayments of term loans(4)
1,837,71718,73837,4771,307,752473,750
Principal repayments of term loans(4)
2,151,71921,99743,9941,307,398778,330
Principal repayments of senior secured notesPrincipal repayments of senior secured notes400,000400,000Principal repayments of senior secured notes400,000400,000
Principal repayments of convertible notes(5)
Principal repayments of convertible notes(5)
520,000220,000300,000
Principal repayments of convertible notes(5)
300,000300,000
Interest payments(3)(6)
Interest payments(3)(6)
2,596,262765,8011,219,051535,58275,828
Interest payments(3)(6)
3,655,3931,145,5551,756,265611,826141,747
Total(7)
Total(7)
$23,653,839 $1,539,539 $7,428,937 $11,976,583 $2,708,780 
Total(7)
$24,763,909 $2,297,861 $9,248,608 $10,728,748 $2,488,692 
(1)Represents known and estimated short-term cash requirements related to our contractual obligations and commitments. Refer to the sources of liquidity section above for our sources of funds to satisfy our short-term cash requirements.
(2)The allocation of our unfunded loan commitments is based on the earlier of the commitment expiration date or the final loan maturity date, however we may be obligated to fund these commitments earlier than such date.
(3)The allocation of repayments under ourOur secured debt and asset-specific debt foragreements are generally term-matched to their underlying collateral. Therefore, the allocation of both principal and interest payments under such agreements is generally allocated 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. In limited instances, the maturity date of the respective debt agreement is used.
(4)The Term Loans are partially amortizing, with an amount equal to 1.0% per annum of the initial principal balance due in quarterly installments. Refer to Note 9 for further details on our term loans.
(5)Reflects the outstanding principal balance of convertible notes, excluding any potential conversion premium. Refer to Note 11 to our consolidated financial statements for further details on our convertible notes.
(6)Represents interest payments on our secured debt, asset-specific debt, term loans, senior secured notes, and convertible notes. Future interest payment obligations are estimated assuming the interest rates in effect as of September 30, 2022March 31, 2023 will remain constant into the future. This is only an estimate as actual amounts borrowed and interest rates will vary over time.
(7)Total does not include $2.9$2.7 billion of consolidated securitized debt obligations, $1.6$1.7 billion of non-consolidated senior interests, and $207.8$229.5 million of loan participations sold, as the satisfaction of these liabilities will not require cash outlays from us.
We are also required to settle our foreign exchange derivatives with our derivative counterparties upon maturity which, depending on exchange rate movements, may result in cash received from or due to the respective counterparty. The table above does not include these amounts as they are not fixed and determinable. Refer to Note 12 to our consolidated financial statements for details regarding our derivative contracts.
We are required to pay our Manager a base management fee, an incentive fee, and reimbursements for certain expenses pursuant to our Management Agreement. The table above does not include the amounts payable to our Manager under our Management Agreement as they are not fixed and determinable. Refer to Note 14 to our consolidated financial statements for additional terms and details of the fees payable under our Management Agreement.
As a REIT, we generally must distribute substantially all of our net taxable income to stockholders in the form of dividends to comply with the REIT provisions of the Internal Revenue Code. Our taxable income does not necessarily equal our net income as calculated in accordance with GAAP, or our Distributable Earnings as described above.
6865


Cash Flows
The following table provides a breakdown of the net change in our cash and cash equivalents ($ in thousands):
 Nine Months Ended September 30,
 20222021
Cash flows provided by operating activities$266,610 $255,022 
Cash flows used in investing activities(3,200,070)(3,926,040)
Cash flows provided by financing activities2,671,6303,616,649
Net decrease in cash and cash equivalents$(261,830)$(54,369)
Three Months Ended March 31,
 20232022
Cash flows provided by operating activities$110,173 $90,098 
Cash flows provided by (used in) investing activities156,531(1,688,750)
Cash flows (used in) provided by financing activities(43,725)1,360,093
Net increase (decrease) in cash and cash equivalents$222,979 $(238,559)
We experienced a net decreaseincrease in cash and cash equivalents of $261.8$223.0 million for the ninethree months ended September 30, 2022,March 31, 2023, compared to a net decrease of $54.4$238.6 million for the ninethree months ended September 30, 2021.March 31, 2022. During the ninethree months ended September 30, 2022, we (i) funded $6.2 billion of loans, (ii) repaid $402.5 million of convertible notes, and (iii) paid $315.4 million of dividends on our class A common stock. During the nine months ended September 30, 2022,March 31, 2023, we received (i) $2.7 billion$562.1 million from loan principal collections and sales proceeds and (ii) $1.8 billion$425.8 million of net proceeds from secured debt borrowings, (iii) $575.9borrowings. During the three months ended March 31, 2023, we (i) funded $369.8 million of net proceeds from asset-specific debt, (iv) $492.5loans, (ii) repaid $220.0 million of net proceeds from secured term loan borrowings, (v) $294.0 million of net proceeds from the issuance of convertible notes, (vi) $272.0(iii) repaid a net $127.8 million of net cash settlementsasset-specific debt, and (iv) paid $106.5 million of dividends on our foreign currency forward contracts, (vii) $245.3 million from the sale of a senior loan participation, and (viii) $70.7 million of net proceeds from the issuance of shares of class A common stock.
Refer to Note 3 to our consolidated financial statements for further discussion of our loan activity. Refer to Notes 5, 7, 8, 9, 11, and 13 to our consolidated financial statements for additional discussion of our secured debt, asset-specific debt, loan participations sold, term loans, convertible notes, and equity, respectively.
V. Other Items
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.earnings. To the extent that we satisfy this distribution requirement, but distribute less than 100% of our net taxable income, we will be subject to U.S. federal income tax on our undistributed taxable income. In addition, we will be subject to a 4% nondeductible excise tax if the actual amount that we pay out to our stockholders in a calendar year is less than a minimum amount specified under U.S. federal tax laws.
Our qualification as a REIT also depends on our ability to meet various other requirements imposed by the Internal Revenue Code, which relate to organizational structure, diversity of stock ownership, and certain restrictions with regard to the nature of our assets and the sources of our income. Even if we qualify as a REIT, we may be subject to certain U.S. federal income and excise taxes and state and local taxes on our income and assets. If we fail to maintain our qualification as a REIT for any taxable year, we may be subject to material penalties as well as federal, state and local income tax on our taxable income at regular corporate rates and we would not be able to qualify as a REIT for the subsequent four full taxable years. As of September 30, 2022March 31, 2023 and December 31, 2021,2022, we were in compliance with all REIT requirements.
Furthermore, our taxable REIT subsidiaries are subject to federal, state, and local income tax on their net taxable income. Refer to Note 15 to our consolidated financial statements for additional discussion of our income taxes.
Critical Accounting Policies
Our discussion and analysis of our financial condition and results of operations is based upon our consolidated financial statements, which have been prepared in accordance with GAAP. There have been no material changes to our Critical Accounting Policies described in our annual reportAnnual Report on Form 10-K filed with the SEC on February 9, 2022.



69


8, 2023.
Current Expected Credit Losses
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. 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
66


Standards Board Staff Q&A Topic 326, No. 1. Estimating the CECL reserve requires judgment, including the following assumptions:
Historical loan loss reference data: To estimate the historic loan losses relevant to our portfolio, we have augmented our historical loan performance with market loan loss data licensed from Trepp LLC. This database includes commercial mortgage-backed securities, or CMBS, issued since January 1, 1999 through August 31, 2022.February 28, 2023. 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.
Expected timing and amount of future loan fundings and repayments: Expected credit losses are estimated over the contractual term of each loan, adjusted for expected prepayments. As part of our quarterly review of our loan portfolio, we assess the expected repayment date of each loan, which is used to determine the contractual term for purposes of computing our CECL reserve. Additionally, the expected credit losses over the contractual period of our loans are subject to the obligation to extend credit through our unfunded loan commitments. The CECL reserve for unfunded loan commitments is adjusted quarterly, as we consider the expected timing of future funding obligations over the estimated life of the loan. The considerations in estimating our CECL reserve for unfunded loan commitments are similar to those used for the related outstanding loan receivables.loans receivable.
Current credit quality of our portfolio: Our risk rating is our primary credit quality indicator in assessing our current expected credit loss reserve. We perform a quarterly risk review of our portfolio of loans, and 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.
Expectations of performance and market conditions: Our CECL reserve is 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, inflation, and other macroeconomic factors impacting the likelihood and magnitude of potential credit losses for our loans during their anticipated term. In addition to the CMBS data we have licensed from Trepp LLC, we have also licensed certain macroeconomic financial forecasts to inform our view of the potential future impact that broader economic conditions may have on our loan portfolio’s performance. We may also incorporate information from other sources, including information and opinions available to our Manager, to further inform these estimations. This process requires significant judgments about future events that, while based on the information available to us as of the balance sheet date, are ultimately indeterminate and the actual economic condition impacting our portfolio could vary significantly from the estimates we made as of September 30, 2022.March 31, 2023.
Impairment: impairment is indicated when it is deemed probable that we will not be able to collect all amounts due to us pursuant to the contractual terms of the loan. 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 us. Actual losses, if any, could ultimately differ materially from these estimates. We only expect to realize the impairment losses if and when such amounts are deemed nonrecoverable upon a realization event. This is generally at the time a loan is repaid, or in the case of foreclosure, when the underlying asset is sold, but non-recoverability may also be concluded if, in our determination, it is nearly certain that all amounts due will not be collected.
70


These assumptions vary from quarter to quarter as our loan portfolio changes and market and economic conditions evolve. The sensitivity of each assumption and its impact on the CECL reserve may change over time and from period to period. During the three months ended September 30, 2022,March 31, 2023, we recorded an aggregate $12.2$9.8 million increase in the CECL reserve related to our loans receivable and unfunded loan commitments, bringing our total reserve to $153.7$352.3 million as of September 30, 2022.March 31, 2023. See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve.


67


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 our opinion, 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.
7168


VI. Loan Portfolio Details
The following table provides details of our loan portfolio, on a loan-by-loan basis, as of September 30, 2022March 31, 2023 ($ in millions):
Loan Type(1)
Origination
Date(2)
Total
Loan(3)(4)
Principal
Balance(4)
Net Book
Value
Cash
Coupon(5)
 
All-in
Yield(5)
 
Maximum
Maturity(6)
LocationProperty TypeLoan Per
SQFT / Unit / Key
Origination
LTV(2)
Risk
Rating
Loan Type(1)
Origination
Date(2)
Total
Loan(3)(4)
Principal
Balance(4)
Net Book
Value
Cash
Coupon(5)
 
All-in
Yield(5)
 
Maximum
Maturity(6)
LocationProperty TypeLoan Per
SQFT / Unit / Key
Origination
LTV(2)
Risk
Rating
11Senior Loan8/14/2019$1,067 $989 $986 +2.62 %+3.22 %12/23/2024Dublin - IEOffice$369 / sqft74 %21Senior Loan8/14/2019$1,148 $1,037 $1,033 +3.05 %+3.78 %12/23/2024Dublin - IEMixed-Use$353 / sqft74 %2
22Senior Loan6/24/2022847847839+4.75 %+5.07 %6/21/2029Diversified - AUHospitality$385 / sqft59 %32Senior Loan4/9/20181,487981977+4.41 %+5.65 %6/9/2025New YorkOffice$524 / sqft48 %2
33Senior Loan4/9/20181,487799790+4.64 %+5.84 %6/9/2025New YorkOffice$525 / sqft48 %23Senior Loan6/24/2022884884877+4.75 %+5.07 %6/21/2029Diversified - AUHospitality$402 / sqft59 %3
44
Senior Loan(4)
12/9/2021770702403+2.65 %+2.81 %12/9/2026New YorkMixed-Use$232 / sqft50 %24
Senior Loan(4)
12/9/2021770712409+2.65 %+2.82 %12/9/2026New YorkMixed-Use$214 / sqft50 %2
55
Senior Loan(4)
8/7/2019746630127+3.12 %+3.61 %9/9/2025Los AngelesOffice$426 / sqft59 %35
Senior Loan(4)
8/7/2019746685138+3.12 %+3.61 %9/9/2025Los AngelesOffice$463 / sqft59 %2
66Senior Loan3/22/2018616616616+3.25 %+3.31 %3/15/2026Diversified - SpainMixed-Usen / a71 %46Senior Loan3/22/2018646646645+3.25 %+3.31 %3/15/2026Diversified - SpainMixed-Usen / a71 %4
77Senior Loan3/30/2021448448445+3.20 %+3.41 %5/15/2026Diversified - SEIndustrial$83 / sqft76 %27Senior Loan3/30/2021478478475+3.20 %+3.41 %5/15/2026Diversified - SEIndustrial$89 / sqft76 %2
88
Senior Loan(4)
12/17/202144844088+3.95 %+4.35 %1/9/2026Diversified - USOther$13,716 / unit61 %28
Senior Loan(4)
12/17/202144844088+3.95 %+4.35 %1/9/2026Diversified - USOther$13,716 / unit61 %2
99Senior Loan7/23/2021500372367+4.00 %+4.42 %8/9/2027New YorkMulti$498,816 / unit58 %39Senior Loan7/23/2021500425420+4.00 %+4.45 %8/9/2027New YorkMulti$569,804 / unit58 %3
1010Senior Loan8/22/2018363363363+3.40 %+3.40 %8/9/2023MauiHospitality$471,391 / key61 %110Senior Loan8/22/2018363363363+3.42 %+3.42 %8/9/2023MauiHospitality$471,391 / key61 %1
1111Senior Loan4/11/2018355345344+2.85 %+3.10 %5/1/2023New YorkOffice$437 / sqft71 %311
Senior Loan(4)
11/22/201947036172+3.70 %+4.17 %12/9/2025Los AngelesOffice$662 / sqft69 %3
1212
Senior Loan(4)
11/22/201947034168+3.70 %+4.14 %12/9/2025Los AngelesOffice$342 / sqft69 %312Senior Loan9/23/2019379351350+3.00 %+3.23 %8/15/2024Diversified - SpainHospitality$124,697 / key62 %4
1313Senior Loan9/23/2019343314312+3.00 %+3.20 %11/15/2024Diversified - SpainHospitality$171,617 / key62 %413Senior Loan4/11/2018355345344+2.85 %+3.10 %5/1/2023New YorkOffice$437 / sqft71 %4
1414Senior Loan2/27/2020303302302+2.70 %+3.04 %3/9/2025New YorkMulti$948 / sqft59 %214Senior Loan10/25/2021301301299+4.00 %+4.32 %10/25/2024Diversified - AUHospitality$148,263 / key56 %2
1515Senior Loan10/25/2021288288286+4.30 %+4.62 %10/25/2024Diversified - AUHospitality$141,942 / key56 %315Senior Loan2/27/2020303302301+2.70 %+2.94 %3/9/2025New YorkMulti$795,074 / unit59 %3
1616Senior Loan11/30/2018286286285
n/m(7)
%
n/m(7)
%8/9/2025New YorkHospitality$306,870 / key73 %516Senior Loan5/6/2022301301299+3.50 %+3.79 %5/6/2027Diversified - UKIndustrial$95 / sqft53 %2
1717Senior Loan9/29/2021312284282+2.70 %+2.91 %10/9/2026Washington, DCOffice$370 / sqft66 %217Senior Loan1/11/2019296296296+4.40 %+4.75 %1/11/2026Diversified - UKOther$293 / sqft74 %4
1818Senior Loan12/11/2018310280281+2.55 %+2.77 %12/9/2023ChicagoOffice$236 / sqft78 %418Senior Loan9/29/2021312289287+2.81 %+3.03 %10/9/2026Washington, DCOffice$377 / sqft66 %2
1919Senior Loan10/23/2018290279279+2.80 %+3.04 %11/9/2024AtlantaOffice$260 / sqft64 %219Senior Loan11/30/2018276276275+2.43 %+2.43 %8/9/2025New YorkHospitality$296,217 / key73 %5
2020Senior Loan5/6/2022277277275+3.50 %+3.79 %5/6/2027Diversified - UKIndustrial$86 / sqft53 %220Senior Loan12/11/2018310286287+2.55 %+3.24 %12/9/2023ChicagoOffice$241 / sqft78 %4
2121Senior Loan9/30/2021280271269+2.50 %+2.77 %9/30/2026DallasMulti$142,933 / unit74 %321Senior Loan3/25/2022287287285+4.50 %+4.86 %3/25/2027Diversified - UKHospitality$126,471 / key65 %3
2222Senior Loan1/11/2019268268267+4.35 %+4.70 %1/11/2026Diversified - UKOther$265 / sqft74 %422Senior Loan10/23/2018290281281+2.86 %+3.01 %11/9/2024AtlantaMixed-Use$262 / sqft64 %2
2323Senior Loan4/26/2021264264262+2.45 %+2.63 %5/9/2026Diversified - USMulti$156,393 / unit75 %323Senior Loan9/30/2021280274273+2.61 %+2.88 %9/30/2026DallasMulti$144,577 / unit74 %3
2424Senior Loan3/25/2022260260258+4.50 %+4.86 %3/25/2027Diversified - UKHospitality$118,559 / key65 %324Senior Loan4/26/2021264264263+2.56 %+2.75 %5/9/2026Diversified - USMulti$156,393 / unit75 %3
2525Senior Loan11/30/2018263259259+2.80 %+3.03 %12/9/2024San FranciscoHospitality$377,489 / key73 %425Senior Loan11/30/2018261261261+2.80 %+3.04 %12/9/2024San FranciscoHospitality$380,626 / key73 %4
2626Senior Loan9/14/2021259254253+2.50 %+2.76 %9/14/2026DallasMulti$205,828 / unit72 %326Senior Loan7/15/2021306268265+4.25 %+4.69 %7/16/2026Diversified - EURHospitality$205,172 / key53 %3
2727Senior Loan7/15/2021278232229+4.25 %+4.74 %7/15/2026Diversified - EURHospitality$177,004 / key53 %327Senior Loan9/14/2021259255254+2.61 %+2.87 %9/14/2026DallasMulti$206,610 / unit72 %3
2828Senior Loan2/23/2022245227225+2.60 %+2.84 %3/9/2027RenoMulti$210,655 / unit74 %328Senior Loan9/16/2021247235235+3.80 %+4.51 %4/9/2024San FranciscoOffice$285 / sqft53 %4
2929Senior Loan9/16/2021247225224+3.80 %+4.49 %4/9/2024San FranciscoOffice$273 / sqft53 %329Senior Loan6/8/2022272246244+3.65 %+4.01 %6/9/2027New YorkOffice$1,379 / sqft75 %3
3030Senior Loan6/8/2022272225223+3.35 %+3.70 %6/9/2027New YorkOffice$1,259 / sqft75 %330Senior Loan2/23/2022245230229+2.60 %+2.84 %3/9/2027RenoMulti$213,831 / unit74 %3
continued…



7269


Loan Type(1)
Origination
Date(2)
Total
Loan(3)(4)
Principal
Balance(4)
Net Book
Value
Cash
Coupon(5)
 
All-in
Yield(5)
 
Maximum
Maturity(6)
LocationProperty TypeLoan Per
SQFT / Unit / Key
Origination
LTV(2)
Risk
Rating
Loan Type(1)
Origination
Date(2)
Total
Loan(3)(4)
Principal
Balance(4)
Net Book
Value
Cash
Coupon(5)
 
All-in
Yield(5)
 
Maximum
Maturity(6)
LocationProperty TypeLoan Per
SQFT / Unit / Key
Origination
LTV(2)
Risk
Rating
3131Senior Loan4/29/2022$210 $210 $208 +3.45 %+3.68 %3/3/2027Diversified - UKHospitalityn / a41 %231Senior Loan4/23/2021$216 $206 $206 +3.65 %+3.65 %5/9/2024Washington, DCOffice$230 / sqft57 %5
3232Senior Loan4/23/2021219209209+3.65 %+3.77 %5/9/2024Washington, DCOffice$234 / sqft57 %432Senior Loan7/16/2021225210208+3.25 %+3.51 %2/15/2027London - UKMulti$232,881 / unit69 %3
3333Senior Loan8/31/2017203203203+2.50 %+2.74 %9/9/2023Orange CountyOffice$236 / sqft64 %333Senior Loan8/31/2017200200200+2.50 %+2.50 %9/9/2023Orange CountyOffice$235 / sqft64 %5
3434Senior Loan10/1/2019248197196+3.75 %+4.28 %10/9/2025AtlantaOffice$369 / sqft68 %134Senior Loan6/28/2019202202202+3.82 %+4.49 %6/26/2024London - UKOffice$487 / sqft71 %3
3535Senior Loan9/30/2021195195194+3.75 %+4.10 %10/9/2026Boca RatonMulti$532,787 / unit77 %335Senior Loan6/27/2019208199199+2.80 %+2.80 %8/15/2026Berlin - DEUOffice$428 / sqft62 %3
3636Senior Loan12/22/2016202191192+3.90 %+4.65 %12/9/2023New YorkOffice$268 / sqft64 %436Senior Loan9/30/2021195195194+3.75 %+4.10 %10/9/2026Boca RatonMulti$532,787 / unit77 %3
3737Senior Loan7/16/2021204189188+3.25 %+3.81 %2/15/2027London - UKMulti$215,007 / unit69 %337Senior Loan12/22/2016199192193+2.00 %+2.00 %12/9/2023New YorkOffice$284 / sqft64 %5
3838Senior Loan6/28/2019183183182+3.70 %+4.37 %6/27/2024London - UKOffice$598 / sqft71 %338Senior Loan9/30/2021186136135+4.00 %+4.51 %9/30/2026Diversified - SpainHospitality$117,540 / key60 %3
3939Senior Loan6/4/2018183183182+3.50 %+3.76 %6/9/2024New YorkHospitality$301,071 / key52 %439Senior Loan6/4/2018183183183+3.50 %+3.76 %6/9/2024New YorkHospitality$301,071 / key52 %4
4040Senior Loan2/15/2022191177176+2.90 %+3.14 %3/9/2027DenverOffice$353 / sqft61 %340Senior Loan9/30/2021256182180+3.00 %+3.35 %10/9/2028ChicagoOffice$201 / sqft74 %3
4141Senior Loan6/27/2019188175175+2.80 %+2.80 %8/15/2026Berlin - DEUOffice$184 / sqft62 %341Senior Loan9/25/2019182182181+4.47 %+4.99 %9/26/2024London - UKOffice$846 / sqft72 %3
4242Senior Loan9/30/2021217172170+4.00 %+4.49 %9/30/2026Diversified - SpainHospitality$155,064 / key60 %342Senior Loan2/15/2022191178177+2.90 %+3.14 %3/9/2027DenverOffice$348 / sqft61 %3
4343Senior Loan9/30/2021256172170+3.00 %+3.35 %10/9/2028ChicagoOffice$190 / sqft74 %343Senior Loan11/23/2018181181180+2.68 %+2.92 %2/15/2024Diversified - UKOffice$1,115 / sqft50 %3
4444Senior Loan9/26/2019165165165+3.10 %+3.34 %7/9/2023New YorkOffice$241 / sqft65 %344Senior Loan12/21/2021186180179+2.82 %+3.11 %4/29/2027London - UKIndustrial$365 / sqft67 %3
4545Senior Loan12/17/2021168165164+3.95 %+4.33 %1/9/2026Diversified - USOther$5,680 / unit48 %245Senior Loan7/23/2021244176174+5.00 %+5.41 %8/9/2027New YorkOffice$569 / sqft53 %4
4646Senior Loan9/25/2019164164164+4.35 %+4.87 %9/26/2024London - UKOffice$749 / sqft72 %346Senior Loan12/17/2021168165164+3.95 %+4.33 %1/9/2026Diversified - USOther$5,601 / unit48 %1
4747Senior Loan11/23/2018164164163+2.62 %+2.87 %2/15/2024Diversified - UKOffice$486 / sqft50 %347Senior Loan3/9/2022167167165+2.95 %+3.17 %8/15/2027VariousRetail$142 / sqft55 %2
4848Senior Loan12/21/2021168162160+2.82 %+3.11 %4/29/2027London - UKIndustrial$332 / sqft67 %348Senior Loan1/27/2022178169168+3.10 %+3.40 %2/9/2027DallasMulti$110,636 / unit71 %3
4949Senior Loan7/23/2021244160158+5.00 %+5.39 %8/9/2027New YorkOffice$519 / sqft53 %349Senior Loan7/29/2022271186182+4.60 %+5.65 %7/27/2027London - UKIndustrial$240 / sqft52 %3
5050Senior Loan10/7/2021165159159+3.25 %+3.58 %10/9/2025Los AngelesOffice$325 / sqft68 %350Senior Loan5/27/2021205160159+2.81 %+3.11 %6/9/2026AtlantaOffice$135 / sqft66 %3
5151Senior Loan5/27/2021205159158+2.70 %+2.99 %6/9/2026AtlantaOffice$134 / sqft66 %351Senior Loan10/7/2021165160160+3.25 %+3.58 %10/9/2025Los AngelesOffice$326 / sqft68 %3
5252Senior Loan3/7/2022156156155+3.45 %+3.63 %6/9/2026Los AngelesHospitality$624,000 / key64 %352Senior Loan5/13/2021199156156+3.66 %+4.10 %6/9/2026BostonLife Sciences$793 / sqft64 %3
5353Senior Loan8/24/2021179154153+3.10 %+3.41 %9/9/2026San JoseOffice$367 / sqft65 %353Senior Loan3/7/2022156156156+3.45 %+3.63 %6/9/2026Los AngelesHospitality$624,000 / key64 %3
5454Senior Loan1/27/2022178154153+3.10 %+3.44 %2/9/2027DallasMulti$100,663 / unit71 %354Senior Loan8/24/2021179156155+3.21 %+3.52 %9/9/2026San JoseOffice$372 / sqft65 %3
5555Senior Loan3/9/2022151151150+2.95 %+3.17 %8/15/2027VariousRetail$129 / sqft55 %255Senior Loan9/4/2018163150149+4.25 %+4.50 %9/9/2024Las VegasHospitality$181,054 / key70 %3
5656Senior Loan8/31/2021150150149+3.15 %+3.42 %9/9/2026Diversified - USRetail$299 / sqft65 %256Senior Loan1/7/2022155150149+3.70 %+3.97 %1/9/2027Fort LauderdaleOffice$387 / sqft55 %1
5757Senior Loan9/4/2018163150149+4.25 %+4.50 %9/9/2024Las VegasHospitality$181,054 / key70 %357Senior Loan1/17/2020203148148+2.86 %+3.00 %2/9/2025New YorkMixed-Use$122 / sqft43 %3
5858Senior Loan5/13/2021199145143+3.55 %+3.94 %6/9/2026BostonOffice$733 / sqft64 %358Senior Loan11/18/2021139139139+3.25 %+3.51 %11/18/2026London - UKOther$175 / sqft65 %2
5959Senior Loan1/17/2020203144144+2.75 %+3.16 %2/9/2025New YorkMixed-Use$119 / sqft43 %359Senior Loan12/20/2019139139138+3.22 %+3.44 %12/18/2026London - UKOffice$703 / sqft75 %3
6060Senior Loan7/29/2022246143139+4.60 %+5.78 %7/27/2027London - UKIndustrial$201 / sqft52 %360Senior Loan2/25/2022137137136+4.05 %+4.43 %2/25/2027Copenhagen - DKIndustrial$78 / sqft69 %2

continued…





7370



Loan Type(1)
Origination
Date(2)
Total
Loan(3)(4)
Principal
Balance(4)
Net Book
Value
Cash
Coupon(5)
 
All-in
Yield(5)
 
Maximum
Maturity(6)
LocationProperty TypeLoan Per
SQFT / Unit / Key
Origination
LTV(2)
Risk
Rating
Loan Type(1)
Origination
Date(2)
Total
Loan(3)(4)
Principal
Balance(4)
Net Book
Value
Cash
Coupon(5)
 
All-in
Yield(5)
 
Maximum
Maturity(6)
LocationProperty TypeLoan Per
SQFT / Unit / Key
Origination
LTV(2)
Risk
Rating
6161Senior Loan3/10/2020$140 $132 $132 +2.50 %+2.50 %10/11/2024New YorkMixed-Use$805 / sqft53 %261Senior Loan3/10/2020$140 $140 $140 +3.10 %+3.10 %10/11/2024New YorkMixed-Use$854 / sqft53 %4
6262Senior Loan9/14/2021132128127+2.70 %+2.95 %10/9/2026San BernardinoMulti$257,631 / unit75 %362Senior Loan6/30/2022127127127+3.75 %+3.93 %9/30/2025Canberra - AUHospitality$246,631 / key60 %2
6363Senior Loan1/7/2022155127126+3.70 %+3.96 %1/9/2027Fort LauderdaleOffice$327 / sqft55 %163Senior Loan9/14/2021132128128+2.81 %+3.07 %10/9/2026San BernardinoMulti$258,709 / unit75 %3
6464Senior Loan11/27/2019146127127+2.75 %+3.13 %12/9/2024MinneapolisOffice$127 / sqft64 %364Senior Loan6/28/2022675143136+4.60 %+5.06 %7/9/2029AustinMixed-Use$118 / sqft53 %3
6565Senior Loan11/18/2021126126126+3.25 %+3.51 %10/21/2026London - UKOther$173 / sqft65 %265Senior Loan3/28/2022150127126+3.05 %+3.35 %4/9/2027MiamiOffice$345 / sqft69 %3
6666Senior Loan12/20/2019126126125+3.10 %+3.32 %12/18/2026London - UKOffice$636 / sqft75 %266Senior Loan4/3/2018126125125+2.86 %+3.03 %4/9/2024DallasRetail$761 / sqft64 %3
6767Senior Loan4/3/2018126125125+2.75 %+2.92 %4/9/2024DallasRetail$761 / sqft64 %367Senior Loan4/6/2021123121121+3.20 %+3.52 %4/9/2026Los AngelesOffice$503 / sqft65 %3
6868Senior Loan3/28/2022150124123+3.05 %+3.35 %4/9/2027MiamiOffice$341 / sqft69 %368Senior Loan6/1/2021120120120+2.96 %+3.17 %6/9/2026MiamiMulti$298,507 / unit61 %2
6969Senior Loan6/30/2022122122121+3.75 %+3.93 %9/30/2025Canberra - AUHospitality$493 / sqft60 %369Senior Loan4/29/2022118118117+3.50 %+3.77 %2/18/2027Napa ValleyHospitality$1,240,799 / key66 %2
7070Senior Loan6/1/2021120120120+2.85 %+3.05 %6/9/2026MiamiMulti$298,507 / unit61 %270Senior Loan3/29/2021126121120+4.02 %+4.61 %3/29/2026Diversified - UKMulti$52,836 / unit61 %3
7171Senior Loan4/6/2021123120119+3.20 %+3.52 %4/9/2026Los AngelesOffice$505 / sqft65 %371Senior Loan5/20/2021150120120+3.76 %+4.19 %6/9/2026San JoseOffice$308 / sqft65 %4
7272Senior Loan4/29/2022118118117+3.50 %+3.77 %2/18/2027Napa ValleyHospitality$1,235,602 / key66 %272Senior Loan6/28/2019125117117+2.87 %+3.13 %2/1/2024Los AngelesStudio$591 / sqft48 %3
7373Senior Loan6/28/2019125117117+2.75 %+2.91 %2/1/2024Los AngelesOffice$591 / sqft48 %373Senior Loan7/15/2019138117116+3.01 %+3.43 %8/9/2024HoustonOffice$211 / sqft58 %3
7474Senior Loan7/15/2019138117116+3.01 %+3.43 %8/9/2024HoustonOffice$211 / sqft58 %374Senior Loan8/27/2021122116116+3.00 %+3.29 %9/9/2026San DiegoRetail$438 / sqft58 %3
7575Senior Loan5/20/2021148115114+3.60 %+4.00 %6/9/2026San JoseOffice$295 / sqft65 %375Senior Loan10/21/2021114114114+3.01 %+3.26 %11/9/2025Fort LauderdaleMulti$334,311 / unit64 %2
7676Senior Loan8/27/2021122115114+3.00 %+3.29 %9/9/2026San DiegoRetail$434 / sqft58 %376Senior Loan2/20/2019167122122+4.07 %+4.65 %2/19/2024London - UKOffice$600 / sqft61 %3
7777Senior Loan10/21/2021114114114+2.90 %+3.15 %11/9/2025Fort LauderdaleMulti$334,311 / unit64 %177Senior Loan12/21/2021120113112+2.70 %+3.00 %1/9/2027Washington, DCOffice$386 / sqft68 %3
7878Senior Loan12/21/2021120111110+2.70 %+3.00 %1/9/2027Washington, DCOffice$380 / sqft68 %378Senior Loan3/17/2022268126124+3.87 %+5.00 %6/30/2025London - UKOffice$565 / sqft62 %3
7979Senior Loan2/25/2022110110109+4.00 %+4.31 %2/25/2027Copenhagen - DKIndustrial$78 / sqft69 %279Senior Loan3/13/2018123108108+3.00 %+3.27 %4/9/2027HonoluluHospitality$167,020 / key50 %3
8080Senior Loan3/29/2021114109108+3.90 %+4.49 %3/29/2026Diversified - UKMulti$47,517 / unit61 %380Senior Loan11/8/2022109109108+3.88 %+4.53 %11/8/2027London - UKMulti$169,538 / unit60 %2
8181Senior Loan3/13/2018123106106+3.00 %+3.27 %4/9/2027HonoluluHospitality$163,717 / key50 %381Senior Loan11/27/2019109107106+2.86 %+3.20 %12/9/2024MinneapolisOffice$107 / sqft64 %3
8282Senior Loan2/15/2022106104103+2.85 %+3.19 %3/9/2027TampaMulti$238,308 / unit73 %382Senior Loan2/15/2022106104104+2.85 %+3.19 %3/9/2027TampaMulti$239,257 / unit73 %3
8383Senior Loan6/28/202267510497+4.60 %+5.04 %7/9/2029AustinMixed-Use$86 / sqft53 %383
Senior Loan(4)
11/10/202136214629+4.00 %+4.76 %12/9/2026San FranciscoLife Sciences$277 / sqft66 %3
8484Senior Loan3/17/2022242101100+3.75 %+4.51 %6/30/2025London - UKOffice$456 / sqft62 %384Senior Loan12/29/2021110103103+2.85 %+3.06 %1/9/2027PhoenixMulti$177,670 / unit64 %3
8585Senior Loan12/29/202111010099+2.85 %+3.06 %1/9/2027PhoenixMulti$260 / sqft64 %385Senior Loan3/29/2022103101100+2.70 %+2.96 %4/9/2027MiamiMulti$281,192 / unit75 %3
8686Senior Loan12/21/2018108100100+2.60 %+2.85 %1/9/2024ChicagoOffice$194 / sqft72 %386Senior Loan7/1/20211049999+3.10 %+3.35 %7/9/2026Diversified - USRetail$281 / sqft61 %2
8787Senior Loan3/29/20221039999+2.70 %+2.96 %4/9/2027MiamiMulti$276,762 / unit75 %387Senior Loan10/1/20211019999+2.86 %+3.13 %10/1/2026PhoenixMulti$230,081 / unit77 %3
8888Senior Loan7/1/20211049999+3.10 %+3.35 %7/9/2026Diversified - USRetail$281 / sqft61 %288Senior Loan6/18/2021999998+2.71 %+2.95 %7/9/2026New YorkIndustrial$51 / sqft55 %1
8989Senior Loan10/1/20211019998+2.75 %+3.02 %10/1/2026PhoenixMulti$228,201 / unit77 %389Senior Loan12/15/2021147106105+3.47 %+4.52 %12/9/2026Dublin - IEMulti$266,711 / unit79 %3
9090Senior Loan6/18/2021999998+2.60 %+2.83 %7/9/2026New YorkIndustrial$52 / sqft55 %190Senior Loan12/10/2021135102102+3.11 %+3.46 %1/9/2027MiamiOffice$342 / sqft49 %3

continued…




7471




Loan Type(1)
Origination
Date(2)
Total
Loan(3)(4)
Principal
Balance(4)
Net Book
Value
Cash
Coupon(5)
 
All-in
Yield(5)
 
Maximum
Maturity(6)
LocationProperty TypeLoan Per
SQFT / Unit / Key
Origination
LTV(2)
Risk
Rating
Loan Type(1)
Origination
Date(2)
Total
Loan(3)(4)
Principal
Balance(4)
Net Book
Value
Cash
Coupon(5)
 
All-in
Yield(5)
 
Maximum
Maturity(6)
LocationProperty TypeLoan Per
SQFT / Unit / Key
Origination
LTV(2)
Risk
Rating
9191Senior Loan10/16/2018$106 $97 $97 +3.25 %+3.52 %11/9/2024San FranciscoHospitality$211,959 / key72 %491Senior Loan3/28/2019$97 $97 $97 +4.36 %+4.36 %1/9/2024New YorkHospitality$249,463 / key63 %3
9292Senior Loan2/20/20191519796+3.95 %+6.00 %2/19/2024London - UKOffice$475 / sqft61 %392Senior Loan10/28/2021969695+3.00 %+3.35 %11/9/2026PhiladelphiaMulti$353,704 / unit79 %3
9393Senior Loan3/28/2019979797+3.25 %+3.25 %1/9/2024New YorkHospitality$249,463 / key63 %493Senior Loan3/25/2020969696+2.40 %+2.58 %3/31/2025Diversified - NLMulti$117,556 / unit65 %2
9494Senior Loan10/28/2021969695+2.90 %+3.25 %11/9/2026PhiladelphiaMulti$353,704 / unit79 %394Senior Loan6/14/20211009393+3.81 %+4.16 %7/9/2024MiamiOffice$196 / sqft65 %3
9595Senior Loan12/10/20211359392+3.00 %+3.37 %1/9/2027MiamiOffice$311 / sqft49 %395Senior Loan10/27/2021939392+2.61 %+2.81 %11/9/2026OrlandoMulti$155,612 / unit75 %3
9696Senior Loan10/27/2021939392+2.50 %+2.69 %11/9/2026OrlandoMulti$155,612 / unit75 %396Senior Loan3/3/2022929292+3.45 %+3.76 %3/9/2027BostonHospitality$418,182 / key64 %3
9797Senior Loan6/14/20211009392+3.70 %+4.04 %7/9/2024MiamiOffice$195 / sqft65 %397Senior Loan12/21/2018989191+2.71 %+2.95 %1/9/2024ChicagoOffice$177 / sqft72 %3
9898Senior Loan3/3/2022929291+3.45 %+3.76 %3/9/2027BostonHospitality$418,182 / key64 %398Senior Loan12/22/2021919190+3.18 %+3.44 %1/9/2027Las VegasMulti$205,682 / unit65 %3
9999Senior Loan12/22/2021919190+3.18 %+3.44 %1/9/2027Las VegasMulti$205,682 / unit65 %399Senior Loan10/16/20181009191+3.36 %+4.05 %11/9/2024San FranciscoHospitality$197,536 / key72 %4
100100Senior Loan12/15/2021918887+2.85 %+3.10 %1/9/2027CharlotteMulti$251,107 / unit76 %3100Senior Loan12/15/2021918989+2.96 %+3.22 %1/9/2027CharlotteMulti$255,428 / unit76 %3
101101Senior Loan3/25/20201058787+2.40 %+2.78 %3/31/2025Diversified - NLMulti$106,309 / unit65 %2101Senior Loan12/10/2018898989+4.57 %+5.28 %12/3/2024London - UKOffice$425 / sqft72 %3
102102Senior Loan6/25/2021858585+2.75 %+3.10 %7/1/2026St. LouisMulti$80,339 / unit70 %3102Senior Loan6/25/2021858585+2.86 %+3.31 %7/1/2026St. LouisMulti$80,339 / unit70 %3
103103Senior Loan3/31/2017898484+4.30 %+4.54 %4/9/2023New YorkOffice$403 / sqft64 %4103Senior Loan3/31/2017898484+4.30 %+4.30 %4/9/2023New YorkOffice$403 / sqft64 %5
104104Senior Loan7/30/2021878282+2.50 %+2.84 %8/9/2026Los AngelesMulti$162,678 / unit70 %3104Senior Loan4/1/20211028685+3.41 %+3.85 %4/9/2026San JoseOffice$575 / sqft67 %3
105105Senior Loan12/10/2018998180+3.45 %+3.95 %12/3/2024London - UKOffice$384 / sqft72 %3105Senior Loan7/30/2021878384+2.61 %+2.95 %8/9/2026Los AngelesMulti$165,520 / unit70 %2
106106Senior Loan3/9/2022928079+2.90 %+3.43 %3/9/2025BostonOffice$211 / sqft68 %3106Senior Loan7/29/2021828281+2.76 %+3.14 %6/9/2026CharlotteMulti$222,630 / unit78 %3
107107Senior Loan6/14/20221068079+2.95 %+3.30 %7/9/2027San FranciscoIndustrial$167 / sqft76 %3107Senior Loan3/9/2022928181+2.90 %+3.43 %3/9/2025BostonOffice$215 / sqft68 %3
108108Senior Loan4/1/20211028079+3.30 %+3.74 %4/9/2026San JoseOffice$535 / sqft67 %3108Senior Loan6/14/20221068079+2.95 %+3.30 %7/9/2027San FranciscoMixed-Use$166 / sqft76 %3
109109Senior Loan6/27/2019887979+2.75 %+2.66 %7/9/2024West Palm BeachOffice$270 / sqft70 %2109Senior Loan12/15/2021878786+4.00 %+4.29 %12/15/2026Melbourne - AUMulti$63,620 / unit38 %2
110110Senior Loan7/29/2021827878+2.65 %+3.02 %6/9/2026CharlotteMulti$214,126 / unit78 %3110Senior Loan6/27/2019888383+2.75 %+3.04 %7/9/2024West Palm BeachOffice$285 / sqft70 %2
111111Senior Loan11/23/2021927776+2.75 %+3.08 %12/9/2026Los AngelesIndustrial$219 / sqft66 %3111Senior Loan1/30/20201048281+2.96 %+3.17 %2/9/2026HonoluluHospitality$261,951 / key63 %3
112112Senior Loan8/27/2021797776+3.85 %+4.43 %9/9/2026Diversified - USHospitality$113,865 / key67 %3112Senior Loan8/27/2021797777+3.85 %+4.43 %9/9/2026Diversified - USHospitality$114,628 / key67 %3
113113Senior Loan1/30/20201047574+2.85 %+3.31 %2/9/2026HonoluluHospitality$239,478 / key63 %3113Senior Loan11/23/2021927776+2.85 %+3.17 %12/9/2026Los AngelesIndustrial$219 / sqft66 %3
114114
Senior Loan(4)
12/30/20212287314+4.35 %+5.17 %1/9/2028Los AngelesMulti$132,635 / unit50 %3114Senior Loan12/23/20213188883+4.25 %+5.14 %6/24/2028London - UKMulti$96,833 / unit59 %3
115115Senior Loan12/15/20211337270+3.46 %+4.44 %12/15/2026Dublin - IEMulti$179,745 / unit79 %3115
Senior Loan(4)
12/30/20212287314+4.35 %+5.50 %1/9/2028Los AngelesMulti$209,770 / unit50 %3
116116
Senior Loan(4)
11/10/20213627114+4.00 %+4.63 %12/9/2026San FranciscoOffice$134 / sqft66 %3116Senior Loan12/21/2021747271+2.70 %+3.06 %1/9/2027TampaMulti$211,172 / unit77 %2
117117Senior Loan10/28/2021696969+2.55 %+2.74 %11/9/2026TacomaMulti$209,864 / unit70 %3117Senior Loan10/28/2021696969+2.66 %+2.86 %11/9/2026TacomaMulti$209,864 / unit70 %3
118118Senior Loan1/26/20223386966+4.10 %+4.56 %2/9/2027SeattleOffice$145 / sqft56 %3118Senior Loan1/26/20223388279+4.10 %+4.66 %2/9/2027SeattleOffice$172 / sqft56 %3
119119Senior Loan12/21/2021746867+2.70 %+3.06 %1/9/2027TampaMulti$199,635 / unit77 %2119Senior Loan8/17/2022776968+3.35 %+3.83 %8/17/2027Dublin - IEIndustrial$107 / sqft72 %3
120120Senior Loan9/22/2021676767+3.00 %+3.16 %4/1/2024JacksonvilleMulti$181,081 / unit62 %2120Senior Loan9/22/2021676767+3.00 %+3.16 %4/1/2024JacksonvilleMulti$181,081 / unit62 %2
continued…




7572




Loan Type(1)
Origination
Date(2)
Total
Loan(3)(4)
Principal
Balance(4)
Net Book
Value
Cash
Coupon(5)
 
All-in
Yield(5)
 
Maximum
Maturity(6)
LocationProperty TypeLoan Per
SQFT / Unit / Key
Origination
LTV(2)
Risk
Rating
Loan Type(1)
Origination
Date(2)
Total
Loan(3)(4)
Principal
Balance(4)
Net Book
Value
Cash
Coupon(5)
 
All-in
Yield(5)
 
Maximum
Maturity(6)
LocationProperty TypeLoan Per
SQFT / Unit / Key
Origination
LTV(2)
Risk
Rating
121121Senior Loan3/24/2022$65 $65 $65 +3.50 %+3.59 %4/1/2027FairfieldMulti$406,250 / unit70 %3121Senior Loan3/24/2022$65 $65 $65 +3.50 %+3.59 %4/1/2027FairfieldMulti$406,250 / unit70 %3
122122Senior Loan8/22/2019656565+2.55 %+2.69 %9/9/2024Los AngelesOffice$389 / sqft63 %3122Senior Loan3/31/2022706464+2.80 %+3.14 %4/9/2027Las VegasMulti$140,423 / unit71 %3
123123Senior Loan3/31/2022706363+2.80 %+3.14 %4/9/2027Las VegasMulti$139,018 / unit71 %3123Senior Loan8/14/2019706362+2.56 %+2.78 %9/9/2024Los AngelesOffice$608 / sqft57 %3
124124Senior Loan12/15/2021836362+5.25 %+6.17 %12/15/2026Melbourne - AUMulti$45,675 / unit38 %3124Senior Loan3/31/2021626262+3.73 %+3.86 %4/1/2024BostonMulti$316,327 / unit75 %3
125125Senior Loan8/17/2022706262+3.35 %+3.83 %8/17/2027Dublin - IEIndustrial$98 / sqft72 %3125Senior Loan7/30/2021626262+2.86 %+3.06 %8/9/2026Salt Lake CityMulti$224,185 / unit73 %3
126126Senior Loan3/31/2021626262+3.73 %+3.86 %4/1/2024BostonMulti$316,327 / unit75 %2126Senior Loan12/23/2021616161+2.18 %+2.99 %9/1/2023New YorkOffice$239 / sqft71 %3
127127Senior Loan7/30/2021626262+2.75 %+2.94 %8/9/2026Salt Lake CityMulti$224,185 / unit73 %3127Senior Loan6/30/2021656060+2.95 %+3.23 %7/9/2026NashvilleOffice$246 / sqft71 %3
128128Senior Loan12/23/2021626261+2.18 %+2.99 %9/1/2023New YorkOffice$143 / sqft71 %3128Senior Loan4/15/2021666060+3.06 %+3.34 %5/9/2026AustinOffice$291 / sqft73 %3
129129Senior Loan8/14/2019706060+2.56 %+2.78 %9/9/2024Los AngelesOffice$684 / sqft57 %3129Senior Loan12/17/2021666161+4.35 %+4.83 %1/9/2026Diversified - USOther$4,623 / unit37 %1
130130Senior Loan12/23/20212886055+4.25 %+5.46 %6/24/2028London - UKMulti$65,799 / unit59 %3130Senior Loan9/29/2021585858+2.85 %+3.02 %10/1/2025HoustonMulti$52,968 / unit61 %3
131131Senior Loan6/30/2021655959+2.90 %+3.19 %7/9/2026NashvilleOffice$242 / sqft71 %3131Senior Loan12/17/2021585858+2.65 %+2.85 %1/9/2027PhoenixMulti$209,601 / unit69 %3
132132Senior Loan4/15/2021665858+3.00 %+3.30 %5/9/2026AustinOffice$282 / sqft73 %3132Senior Loan7/16/2021585858+2.75 %+3.03 %8/1/2025OrlandoMulti$195,750 / unit74 %2
133133Senior Loan9/29/2021625858+2.85 %+3.02 %10/1/2025HoustonMulti$52,968 / unit61 %3133Senior Loan8/22/2019545454+2.66 %+3.01 %9/9/2024Los AngelesOffice$312 / sqft63 %3
134134Senior Loan12/17/2021585858+2.65 %+2.85 %1/9/2027PhoenixMulti$209,601 / unit69 %3134Senior Loan12/10/2020615656+3.30 %+3.56 %1/9/2026Fort LauderdaleOffice$194 / sqft68 %3
135135Senior Loan7/16/2021585858+2.75 %+3.03 %8/1/2025OrlandoMulti$195,750 / unit74 %2135Senior Loan12/22/2021555554+2.82 %+2.96 %1/1/2027Los AngelesMulti$272,500 / unit68 %3
136136Senior Loan12/10/2020615656+3.25 %+3.54 %1/9/2026Fort LauderdaleOffice$192 / sqft68 %3136Senior Loan12/14/2018545454+3.01 %+3.27 %1/9/2024Diversified - USIndustrial$40 / sqft57 %1
137137Senior Loan10/5/2018555555+5.50 %+5.92 %12/20/2022Sydney - AUOffice$584 / sqft78 %3137Senior Loan7/30/2021595453+2.86 %+3.07 %8/9/2026TampaMulti$129,293 / unit71 %2
138138Senior Loan12/22/2021555554+2.82 %+2.96 %1/1/2027Los AngelesMulti$272,500 / unit68 %3138Senior Loan1/21/2022685453+3.70 %+4.09 %2/9/2027DenverOffice$318 / sqft65 %3
139139Senior Loan12/14/2018605353+2.90 %+3.14 %1/9/2024Diversified - USIndustrial$39 / sqft57 %1139Senior Loan8/16/2022655857+4.75 %+5.17 %8/16/2027London - UKHospitality$429,633 / key64 %3
140140Senior Loan7/30/2021595352+2.75 %+2.96 %8/9/2026TampaMulti$131,486 / unit71 %3140Senior Loan11/11/2021545454+4.07 %+4.86 %8/12/2026London - UKHospitality$191,445 / key40 %3
141141Senior Loan12/17/2021665352+4.35 %+4.93 %1/9/2026Diversified - USOther$3,693 / unit37 %2141Senior Loan12/9/2021515151+2.75 %+2.89 %1/1/2027PortlandMulti$241,825 / unit65 %3
142142Senior Loan11/30/2016615252+3.10 %+3.22 %12/9/2023ChicagoRetail$1,014 / sqft54 %4142Senior Loan8/5/2021575251+2.96 %+3.24 %8/9/2026DenverOffice$195 / sqft70 %3
143143Senior Loan12/9/2021515151+2.75 %+2.89 %1/1/2027PortlandMulti$241,825 / unit65 %3143Senior Loan2/17/2021535151+3.66 %+3.86 %3/9/2026MiamiMulti$290,985 / unit64 %2
144144Senior Loan2/17/2021535151+3.55 %+3.75 %3/9/2026MiamiMulti$290,985 / unit64 %2144Senior Loan2/20/2019505050+3.50 %+3.72 %3/9/2024Calgary - CANOffice$137 / sqft52 %2
145145Senior Loan11/5/2019565050+3.85 %+3.90 %2/21/2025Diversified - ITOffice$1,758 / sqft66 %3145Senior Loan9/23/2021494949+2.75 %+2.86 %10/1/2026PortlandMulti$232,938 / unit65 %3
146146Senior Loan1/21/2022685049+3.70 %+4.11 %2/9/2027DenverOffice$296 / sqft65 %3146Senior Loan11/30/2016574948+3.18 %+3.40 %12/9/2023ChicagoRetail$946 / sqft54 %4
147147Senior Loan8/5/2021575050+2.90 %+3.04 %8/9/2026DenverOffice$188 / sqft70 %3147Senior Loan7/20/2021484847+2.86 %+3.21 %8/9/2026Los AngelesMulti$366,412 / unit60 %3
148148Senior Loan9/23/2021494949+2.75 %+2.86 %10/1/2026PortlandMulti$232,938 / unit65 %3148Senior Loan7/28/2021534949+2.75 %+3.14 %8/9/2026Los AngelesMulti$277,281 / unit71 %3
149149Senior Loan6/28/2021494949+3.60 %+4.86 %2/15/2023Diversified - SpainHospitality$123,899 / key56 %3149Senior Loan6/26/2019624848+3.47 %+3.78 %6/20/2024London - UKOffice$538 / sqft61 %3
150150Senior Loan2/20/2019484848+3.50 %+3.72 %3/9/2024Calgary - CANOffice$134 / sqft52 %2150Senior Loan12/29/2021474746+2.85 %+2.96 %1/1/2027DallasMulti$155,000 / unit73 %3

continued…



7673







 
Loan Type(1)
Origination
Date(2)
Total
Loan(3)(4)
Principal
Balance(4)
Net Book
Value
Cash
Coupon(5)
 
All-in
Yield(5)
 
Maximum
Maturity(6)
LocationProperty TypeLoan Per
SQFT / Unit / Key
Origination
LTV(2)
Risk
Rating
151 - 205
Senior Loan(4)
Various2,2061,7851,753+3.04 %+3.48 %3.2 yrsVariousVariousVarious61 %2.6
CECL reserve(144)
Loans receivable, net$31,059 $26,136 $24,279 +3.31 %+3.68 %3.3 yrs64 %2.8
 
Loan Type(1)
Origination
Date(2)
Total
Loan(3)(4)
Principal
Balance(4)
Net Book
Value
Cash
Coupon(5)
 
All-in
Yield(5)
 
Maximum
Maturity(6)
LocationProperty TypeLoan Per
SQFT / Unit / Key
Origination
LTV(2)
Risk
Rating
151 - 199
Senior Loan(4)
Various1,8921,5661,498+3.15 %+3.57 %2.8 yrsVariousVariousVarious63 %2.5
CECL reserve(337)
Loans receivable, net$30,757 $26,743 $24,560 +3.38 %+3.77 %2.9 yrs64 %2.9

(1)Senior loans include senior mortgages and similar credit quality loans, including related contiguous subordinate loans and pari passu participations in senior mortgage loans.
(2)Date loan was originated or acquired by us, and the LTV as of such date. Origination dates are subsequently updated to reflect material loan modifications.
(3)Total loan amount reflects outstanding principal balance as well as any related unfunded loan commitment.
(4)In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements. As of September 30, 2022,March 31, 2023, eight loans in our portfolio have been financed with an aggregate $1.6$1.7 billion of non-consolidated senior interest, which are included in the table above.
(5)The weighted-average cash coupon and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include SOFR, USD LIBOR, SOFR, SONIA, EURIBOR, and other indices as applicable to each loan. As of September 30, 2022,March 31, 2023, substantially all of our loans by total loan exposure earned a floating rate of interest, primarily indexed to SOFR and USD LIBOR. 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 one loanloans accounted for under the cost-recovery method.
(6)Maximum maturity assumes all extension options are exercised, however our loans may be repaid prior to such date.
(7)Loan is accounted for under the cost-recovery method.
7774


ITEM 3.    QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
Interest Rate Risk
Investment Portfolio Net Interest Income
Generally, our business model is such that rising interest rates will increase our net income, while declining interest rates will decrease net income. As of September 30, 2022,March 31, 2023, substantially all of our investments by total loan exposure earned a floating rate of interest and were financed with liabilities that pay interest at floating rates, which resulted in an amount of net equity that is positively correlated to rising interest rates, subject to the impact of interest rate floors on certain of our floating rate loans.

LIBOR
For information on financial reference rate reforms, refer to “Part I. Item 2. Management’s Discussion and certain other floating rate benchmark indices to which our floating rate loansAnalysis of Financial Condition and other loan agreements are tied, including, without limitation, the Euro Interbank Offered Rate, or EURIBOR, the Stockholm Interbank Offered Rate, or STIBOR, the Australian Bank Bill SwapResults of Operations – Reference Rate or BBSY, the Canadian Dollar Offered Rate, or CDOR, the Swiss Average Rate Overnight, or SARON,Reform” of this report and the Copenhagen Interbank Offering Rate, or CIBOR, or collectively, IBORs, are the subject of recent national, international and regulatory guidance and proposals for reform. As of December 31, 2021, the ICE Benchmark Association, or IBA, ceased publication of all non-USD LIBOR and the one-week and two-month USD LIBOR and, as and previously announced, intends to cease publication of remaining U.S. dollar LIBOR settings immediately after June 30, 2023. Further, on March 15, 2022, the Consolidated Appropriations Act of 2022, which includes the Adjustable Interest Rate (LIBOR) Act, was signed into law in the U.S. This legislation establishes a uniform benchmark replacement process for financial contracts maturing after June 30, 2023 that do not contain clearly defined or practicable fallback provisions. The legislation also creates a safe harbor that shields lenders from litigation if they choose to utilize a replacement rate recommended by the Board of Governors of the Federal Reserve.

The U.S. Federal Reserve, in conjunction with the Alternative Reference Rates Committee, a steering committee composed of large U.S. financial institutions, has identified the Secured Overnight Financing Rate, or SOFR, a new index calculated using short-term repurchase agreements backed by U.S. Treasury securities, as its preferred alternative rate for USD LIBOR. As of September 30, 2022, one-month SOFR is utilized as the floating benchmark rate on 49 of our loans, the financing provided on the 2020 FL3 and 2020 FL2 CLOs, one of our asset-specific financings, certain borrowings under nine of our credit facilities, and our B-4 Term Loan. As of September 30, 2022, the one-month SOFR was 3.04% and one-month USD LIBOR was 3.14%. Additionally, market participants have transitioned from GBP LIBOR to the Sterling Overnight Index Average, or SONIA, in line with guidance from the U.K. regulators. As of September 30, 2022, daily compounded SONIA is utilized as the floating benchmark rate for all of our floating rate British Pound Sterling loans and related financings.

At this time, it is not possible to predict how markets will respond to SOFR, SONIA, or other alternative reference rates as the transition away from USD LIBOR and GBP LIBOR proceeds. Despite the LIBOR transition in other markets, benchmark rate methodologies in Europe, Australia, Canada, Switzerland, and Denmark have been reformed and rates such as EURIBOR, STIBOR, BBSY, CDOR, SARON, and CIBOR may persist as International Organization of Securities Commissions, or IOSCO, compliant reference rates moving forward. However, multi-rate environments may persist in these markets as regulators and working groups have suggested market participants adopt alternative reference rates.

Refer to “Part I. Item 1A. Risk Factors—Risks Related to Our Lending and Investment Activities—The recent and expected discontinuation of currently used financial reference rates and use of alternative replacement reference rates may adversely affect net interest income related to our loans and investments or otherwise adversely affect our results of operations, cash flows and the market value of our investments.”investments” of our Annual Report on Form 10-K filed with the SEC on February 9, 2022.8, 2023.
78


The following table projects the earnings impact on our interest income and expense, net of incentive fees, for the twelve-month period following September 30, 2022,March 31, 2023, of an increase in the various floating-rate indices referenced by our portfolio, assuming no change in credit spreads, portfolio composition, or asset performance, relative to the average indices during the three monthsyear ended September 30, 2022March 31, 2023 ($ in thousands):
Assets (Liabilities) Sensitive to Changes in Interest Rates(1)
Interest Rate Sensitivity as of September 30, 2022(2)
Assets (Liabilities) Sensitive to Changes in Interest Rates(1)
Interest Rate Sensitivity as of March 31, 2023(2)
Increase in RatesDecrease in Rates Increase in RatesDecrease in Rates
50 Basis Points
100 Basis Points
150 Basis Points
200 Basis Points
50 Basis Points
50 Basis Points
100 Basis Points
50 Basis Points100 Basis Points
Floating rate assetsFloating rate assets$26,098,506 $103,170 $206,419 $309,668 $412,916 $(99,839)Floating rate assets$26,703,081 $102,978 $205,957 $(102,863)$(205,441)
Floating rate liabilities(3)
Floating rate liabilities(3)
(20,633,483)(82,471)(165,005)(247,539)(330,073)80,862 
Floating rate liabilities(3)
(21,649,409)(86,598)(173,195)86,598173,156
Net exposureNet exposure$5,465,023 $20,699 $41,414 $62,129 $82,843 $(18,977)Net exposure$5,053,672 $16,380 $32,762 $(16,265)$(32,285)

(1)Reflects the USD equivalent value of floating rate assets and liabilities denominated in foreign currencies.
(2)Increases (decreases) in interest income and expense are presented net of incentive fees. Refer to Note 14 to our consolidated financial statements for additional details of our incentive fee calculation.
(3)Includes amounts outstanding under secured debt, securitizations, asset-specific financings, and term loans.
Investment Portfolio Value
As of September 30, 2022,March 31, 2023, substantially all of our portfolio earned a floating rate of interest, and so the value of our investments is generally not impacted by changes in market interest rates. Additionally, we generally hold all of our loans to maturity and so do not expect to realize gains or losses resulting from any mark to market valuation adjustments on our loan portfolio.

Risk of Non-Performance
In addition to the risks related to fluctuations in cash flows and asset values associated with movements in interest rates, there is also the risk of non-performance on floating rate assets. In the case of a significant increase in interest rates, the cash flows of the collateral real estate assets may not be sufficient to pay debt service due under our loans, which may contribute to non-performance or, in severe cases, default. This risk is partially mitigated by our consideration of rising rate stress-testing during our underwriting process, which generally includes a requirement for our borrower to purchase an interest rate cap contract with an unaffiliated third-party, provide an interest reserve deposit, and/or provide other structural guarantees.
Credit Risks
Our loans are also subject to credit risk.risk, including the risk of default. The performance and value of our loans depend upon the sponsors’ ability to operate the properties that serve as our collateral so that they produce cash flows adequate to pay interest and principal due to us. To monitor this risk, our asset management team reviews our loan portfolios and, in certain
75


instances, is in regular contact with our borrowers, monitoring performance of the collateral and enforcing our rights as necessary.
In addition, we are exposed to the risks generally associated with the commercial real estate market, including variances in occupancy rates, capitalization rates, absorption rates, and other macroeconomic factors beyond our control. We seek to manage these risks through our underwriting and asset management processes.
We maintain a robust asset management relationship with our borrowers and utilize these relationships to maximize the performance of our portfolio, including during periods of volatility. We believe that we will benefit from these relationships and from our long-standing core business model of originating senior loans collateralized by large assets in major markets with experienced, well-capitalized institutional sponsors. Our loan portfolio’s low origination weighted-average LTV of 63.8% as of September 30, 2022March 31, 2023 reflects significant equity value that we expect our sponsors arewill be motivated to protect through periods of cyclical disruption. While we believe the principal amounts of our loans are generally adequately protected by underlying collateral value, there is a risk that we will not realize the entire principal value of certain loans.
79


Our portfolio monitoring and asset management operations benefit from the deep knowledge, experience, and information advantages derived from our position as part of Blackstone’s real estate platform. Blackstone has built the world's preeminent global real estate business, with a proven track record of successfully navigating market cycles and emerging stronger through periods of volatility. The market-leading real estate expertise derived from the strength of the Blackstone platform deeply informs our credit and underwriting process, and we believe gives us the tools to expertly asset manage our portfolio and work with our borrowers throughout periods of economic stress and uncertainty.
This year hasThe three months ended March 31, 2023 have been characterized by steep declines and significantcontinued volatility in global markets, driven by investor concerns over inflation, rising interest rates, slowing economic growth, and geopolitical uncertainty. Inflation across many key economies reached generational highs, prompting central banksRecent bank failures and consolidations, and other events affecting financial institutions, have also contributed to take monetary policy tightening actions that are likely to create headwinds to economic growth.volatility in global markets and resulted in diminished liquidity and credit availability in the market broadly. The ongoing and potential future impacts of the war between Russia and Ukraine is also contributing to mounting inflationary pressure.economic and geopolitical uncertainty.

Inflation continuesContinued inflation has prompted central banks to rise and has caused the Federal Reserve to continuetake monetary policy tightening actions, including raising interest rates, which has created further uncertainty for the economy and for our borrowers. Although our business model is such that rising interest rates will, all else being equal, correlate to increases in our net income, increases in interest rates may adversely affect our existing borrowers.borrowers and lead to nonperformance. Additionally, rising rates and increasing costs may dampen consumer spending and slow corporate profit growth, which may negatively impact the collateral underlying certain of our loans. While there is debate among economists as to whether such factors, coupled with economic contraction in the U.S. in 2022, indicate that the U.S. has entered, or in the near term will enter, a recession, itIt remains difficult to predict the full impact of recent changesevents and any future changes in interest rates or inflation.

Capital Market Risks
We are exposed to risks related to the equity capital markets, and our related ability to raise capital through the issuance of our class A common stock or other equity instruments. We are also exposed to risks related to the debt capital markets, and our related ability to finance our business through borrowings under credit facilities or other debt instruments. As a REIT, we are required to distribute a significant portion of our taxable income annually, which constrains our ability to accumulate operating cash flow and therefore requires us to utilize debt or equity capital to finance our business. We seek to mitigate these risks by monitoring the debt and equity capital markets to inform our decisions on the amount, timing, and terms of capital we raise.
Margin call provisions under our credit facilities do not permit valuation adjustments based on capital markets events, and are limited to collateral-specific credit marks generally determined on a commercially reasonable basis.
Counterparty Risk
The nature of our business requires us to hold our cash and cash equivalents and obtain financing from various financial institutions. This exposes us to the risk that these financial institutions may not fulfill their obligations to us under these various contractual arrangements. We mitigate this exposure by depositing our cash and cash equivalents and entering into financing agreements with high credit-quality institutions.
The nature of our loans also exposes us to the risk that our counterparties do not make required interest and principal payments on scheduled due dates. We seek to manage this risk through a comprehensive credit analysis prior to making a loan and active monitoring of the asset portfolios that serve as our collateral, as further discussed above.
76


Currency Risk
Our loans that are denominated in a foreign currency are also subject to risks related to fluctuations in currency rates. We generally mitigate this exposure by matching the currency of our assets to the currency of the financing for our assets. As a result, we substantially reduce our exposure to changes in portfolio value related to changes in foreign currency rates. In addition, substantially all of our net asset exposure to foreign currencies has been hedged with foreign currency forward contracts as of September 30, 2022.

80


March 31, 2023.
The following table outlines our assets and liabilities that are denominated in a foreign currency (amounts in thousands):

September 30, 2022 March 31, 2023
EURGBP
All Other(2)
EURGBP
All Other(2)
Foreign currency assetsForeign currency assets2,770,998 £2,869,542 $2,032,144 Foreign currency assets2,705,291 £2,883,733 $2,126,269 
Foreign currency liabilitiesForeign currency liabilities(2,047,845)(2,169,689)(1,548,087)Foreign currency liabilities(1,972,873)(2,153,497)(1,665,689)
Foreign currency contracts – notionalForeign currency contracts – notional(701,392)(684,613)(476,110)Foreign currency contracts – notional(708,691)(713,215)(452,273)
Net exposure to exchange rate fluctuationsNet exposure to exchange rate fluctuations21,761 £15,240 $7,947 Net exposure to exchange rate fluctuations23,727 £17,021 $8,307 
Net exposure to exchange rate fluctuations in USD(1)
Net exposure to exchange rate fluctuations in USD(1)
$21,331 $17,022 $7,947 
Net exposure to exchange rate fluctuations in USD(1)
$25,718 $20,999 $8,307 

(1)Represents the U.S. Dollar equivalent as of September 30, 2022.March 31, 2023.
(2)Includes Swedish Krona, Australian Dollar, Canadian Dollar, Swiss Franc, and Danish Krone currencies.
ITEM 4.    CONTROLS AND PROCEDURES
Evaluation of Disclosure Controls and Procedures
The company maintains disclosure controls and procedures (as that term is defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) that are designed to ensure that information required to be disclosed in the company’s reports under the Exchange Act is recorded, processed, and summarized and reported within the time periods specified in the SEC’s rules and forms, and that such information is accumulated and communicated to the company’s management, including its Chief Executive Officer and Chief Financial Officer, as appropriate, to allow timely decisions regarding required disclosures. Any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives. An evaluation of the effectiveness of the design and operation of our disclosure controls and procedures as of the end of the period covered by this quarterly reportQuarterly Report on Form 10-Q was made under the supervision and with the participation of our management, including our Chief Executive Officer and Chief Financial Officer. Based upon this evaluation, our Chief Executive Officer and Chief Financial Officer have concluded that our disclosure controls and procedures (a) are effective to ensure that information required to be disclosed by us in reports filed or submitted under the Exchange Act is recorded, processed, summarized and reported within the time periods specified by SEC rules and forms and (b) include, without limitation, controls and procedures designed to ensure that information required to be disclosed by us in reports filed or submitted under the Exchange Act is accumulated and communicated to our management, including our Chief Executive Officer and Chief Financial Officer, as appropriate to allow timely decisions regarding required disclosure.
Changes in Internal Control over Financial Reporting
There have been no changes in our “internal control over financial reporting” (as defined in Rule 13a–15(f) of the Exchange Act) that occurred during the period covered by this quarterly reportQuarterly Report on Form 10-Q that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

8177



PART II. OTHER INFORMATION

ITEM 1.     LEGAL PROCEEDINGS
From time to time, we may be involved in various claims and legal actions arising in the ordinary course of business. As of September 30, 2022,March 31, 2023, we were not involved in any material legal proceedings.
ITEM 1A.     RISK FACTORS
There have been no material changes to the risk factors previously disclosed under Part''Part I, Item 1A1A. Risk Factors" of our Annual Report on Form 10-K for the year ended December 31, 2021.2022.
ITEM 2.     UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS
None.
ITEM 3.     DEFAULTS UPON SENIOR SECURITIES
None.
ITEM 4.     MINE SAFETY DISCLOSURES
Not applicable.
ITEM 5.     OTHER INFORMATION
None.
Section 13(r) Disclosure



































Pursuant to Section 219 of the Iran Threat Reduction and Syria Human Rights Act of 2012, which added Section 13(r) of the Exchange Act, we hereby incorporate by reference herein Exhibit 99.1 of this report, which includes disclosures regarding activities at Atlantia S.p.A., which may be, or may have been at the time considered to be, an affiliate of Blackstone and, therefore, our affiliate.
8278


ITEM 6.EXHIBITS

3.1
10.1
10.2
31.1
31.2
32.1 +
32.2 +
99.1
101.INSXBRL Instance Document – the instance document does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document
101.SCHInline XBRL Taxonomy Extension Schema Document
101.CALInline XBRL Taxonomy Extension Calculation Linkbase Document
101.LABInline XBRL Taxonomy Extension Label Linkbase Document
101.PREInline XBRL Taxonomy Extension Presentation Linkbase Document
101.DEFInline XBRL Taxonomy Extension Definition Linkbase Document
104Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101)
___________

+ This exhibit shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”) or otherwise subject to the liability of that Section. Such exhibit shall not be deemed incorporated into any filing under the Securities Act of 1933, as amended, or the Exchange Act.

The agreements and other documents filed as exhibits to this report are not intended to provide factual information or other disclosure other than with respect to the terms of the agreements or other documents themselves, and you should not rely on them for that purpose. In particular, any representations and warranties made by us in these agreements or other documents were made solely within the specific context of the relevant agreement or document and may not describe the actual state of affairs as of the date they were made or at any other time.

8379


SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.
BLACKSTONE MORTGAGE TRUST, INC.
OctoberApril 26, 20222023/s/ Katharine A. Keenan
DateKatharine A. Keenan
Chief Executive Officer
(Principal Executive Officer)
OctoberApril 26, 20222023/s/ Anthony F. Marone, Jr.
DateAnthony F. Marone, Jr.
Chief Financial Officer
(Principal Financial Officer and
Principal Accounting Officer)
8480