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 March 31, 2022

~~FOR THE QUARTERLY PERIOD ENDED SEPTEMBER 30, 2017~~

☐
☐			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

Blackstone Mortgage Trust, Inc.

(Exact name of Registrant as specified in its charter)


Maryland						94-6181186
(State or other jurisdiction of incorporation or organization)						(I.R.S. Employer Identification No.)

345 Park Avenue, ~~42nd~~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 ~~formal~~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 share

BXMT

New York Stock Exchange

Indicate by check mark whether the ~~Registrant~~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~~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 ~~and posted on its corporate Web site, if any,~~ every Interactive Data File required to be submitted ~~and posted~~ 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 ~~and post~~ such files). Yes ☒ No ☐

Indicate by check mark whether the ~~Registrant~~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

☐

~~☐ (Do not check if a smaller reporting company)~~

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~~registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No ☒

The number of the ~~Registrant’s outstanding~~registrant’s shares of class A common stock, par value $0.01 per share, outstanding as of ~~October 17, 2017~~April 20, 2022 was ~~94,828,437.~~

170,285,852.

TABLE OF CONTENTS


					Page
PART I.					FINANCIAL INFORMATION
ITEM 1.		FINANCIAL ST ATEMENTS			3
		Consolidated Financial Statements (Unaudited):

~~ITEM 1.~~	~~FINANCIAL STATEMENTS~~			2

	~~Consolidated Financial Statements (Unaudited):~~

	Consolidated Balance Sheets as of ~~September 30, 2017~~March 31, 202 2 and December 31, ~~2016~~202 1					2	3

	Consolidated Statements of Operations for the Three ~~and Nine~~ Months Ended ~~September 30, 2017~~March 31, 2022 and ~~2016~~2021					3	4

	Consolidated Statements of Comprehensive Income for the Three ~~and Nine~~ Months Ended ~~September 30, 2017~~March 31, 202 2 and ~~2016~~202 1					4	5

	Consolidated Statements of Changes in Equity for the ~~Nine~~Three Months Ended ~~September 30, 2017~~March 31, 202 2 and ~~2016~~202 1					5	6

	Consolidated Statements of Cash Flows for the ~~Nine~~Three Months Ended ~~September 30, 2017~~March 31, 202 2 and ~~2016~~202 1					6	7

	Notes to Consolidated Financial Statements					8	9

ITEM 2.			MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS					37	47

ITEM 3.			QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK					54	76

ITEM 4.			CONTROLS AND PROCEDURES					56	79

PART II.			OTHER INFORMATION						80

ITEM 1.			LEGAL PROCEEDINGS					57	80

ITEM 1A.			RISK FACTORS					57	80

ITEM 2.			UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS	80
ITEM 3.		DEFAULTS UPON SENIOR SECURITIES			57 80
ITEM 4.		MINE SAFETY DISCLOSURES			80
ITEM 5.		OTHER INFORMATION			80
ITEM 6.		EXHIBITS			81
SIGNATURES					82

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)


	March 31, 2022		December 31, 2021
Assets
Cash and cash equivalents	$	309,425	$	551,154
Loans receivable	23,708,990		22,003,017
Current expected credit loss reserve	(122,221)		(124,679)
Loans receivable, net	23,586,769		21,878,338
Other assets	172,647		273,797
Total Assets	$	24,068,841	$	22,703,289
Liabilities and Equity
Secured debt, net	$	13,092,408	$	12,280,042
Securitized debt obligations, net	2,839,818		2,838,062
Asset-specific debt, net	463,097		393,824
Loan participations sold, net	243,760		—
Term loans, net	1,325,222		1,327,406
Senior secured notes, net	394,303		394,010
Convertible notes, net	850,084		619,876
Other liabilities	190,312		231,358
Total Liabilities	19,399,004		18,084,578
Commitments and contingencies	—		—
Equity
Class A common stock, $0.01 par value, 400,000,000 shares authorized, 170,283,071 and 168,179,798 shares issued and outstanding as of March 31, 2022 and December 31, 2021, respectively	1,703		1,682
Additional paid-in capital	5,431,627		5,373,029
Accumulated other comprehensive income	8,600		8,308
Accumulated deficit	(798,992)		(794,832)
Total Blackstone Mortgage Trust, Inc. stockholders’ equity	4,642,938		4,588,187
Non-controlling interests	26,899		30,524
Total Equity	4,669,837		4,618,711
Total Liabilities and Equity	$	24,068,841	$	22,703,289


~~ITEM 3.~~		~~DEFAULTS UPON SENIOR SECURITIES~~		57

~~ITEM 4.~~	~~MINE SAFETY DISCLOSURES~~		57

~~ITEM 5.~~	~~OTHER INFORMATION~~		57

~~ITEM 6.~~	~~EXHIBITS~~		58

~~SIGNATURES~~			59

~~PART I. FINANCIAL INFORMATION~~

~~ITEM 1. FINANCIAL STATEMENTS~~

~~Blackstone Mortgage Trust, Inc.~~

~~Consolidated Balance Sheets (Unaudited)~~

~~(in thousands, except share data)~~

   September 30, December 31,
   2017 2016
Assets

Cash and cash equivalents
   $ 61,221 $ 75,567
Restricted cash
   32,864 —
Loans receivable, net
   9,637,152 8,692,978
Other assets
   45,680 44,070


Total Assets
   $ 9,776,917 $ 8,812,615


Liabilities and Equity

Secured debt agreements, net
   $ 6,079,135 $ 5,716,354
Loan participations sold, net
   33,193 348,077
Securitized debt obligations, net
   474,298 —
Convertible notes, net
   562,741 166,762
Other liabilities
   101,758 87,819


Total Liabilities
   7,251,125 6,319,012


Commitments and contingencies
   —   —
Equity

Class A common stock, $0.01 par value, 200,000,000 shares authorized, 94,828,007 and 94,540,263 shares issued and outstanding as of September 30, 2017 and December 31, 2016, respectively
   948 945
Additional paid-in capital
   3,109,094 3,089,997
Accumulated other comprehensive loss
   (32,362 ) (56,202 )
Accumulated deficit
   (558,066 ) (541,137 )


Total Blackstone Mortgage Trust, Inc. stockholders’ equity
   2,519,614 2,493,603
Non-controlling interests
   6,178 —


Total Equity
   2,525,792 2,493,603


Total Liabilities and Equity
   $     9,776,917 $     8,812,615

Note: The consolidated balance ~~sheet~~sheets as of ~~September 30, 2017 includes~~March 31, 2022 and December 31, 2021 include assets of a consolidated variable interest ~~entity,~~entities, or ~~VIE,~~VIEs, that can only be used to settle obligations of ~~the~~each respective VIE, and liabilities of a consolidated ~~VIE~~VIEs for which creditors do not have recourse to Blackstone Mortgage Trust, Inc. As of ~~September 30, 2017,~~both March 31, 2022 and December 31, 2021, assets of the ~~VIE~~consolidated VIEs totaled ~~$500.8 million~~$3.5 billion, and liabilities of the ~~VIE~~consolidated VIEs totaled ~~$474.9 million. We did not consolidate any VIEs as of December 31, 2016.~~$2.8 billion. Refer to Note 1618 for additional discussion of the ~~VIE.~~

VIEs.

See accompanying notes to consolidated financial statements.

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,
   2017 2016 2017 2016
Income from loans and other investments

Interest and related income
   $ 146,446 $ 128,190 $ 391,787 $ 381,686
Less: Interest and related expenses
   67,891 45,373 168,917 139,819


Income from loans and other investments, net
   78,555 82,817 222,870 241,867
Other expenses

Management and incentive fees
   13,243 13,701 40,557 43,161
General and administrative expenses
   7,419 7,414 22,219 20,990


Total other expenses
   20,662 21,115 62,776 64,151
Gain on investments at fair value
   —   2,824 —   13,413
Income from equity investment in unconsolidated subsidiary
   —   2,060 —   2,192


Income before income taxes
   57,893 66,586 160,094 193,321
Income tax provision
   83 194 265 281


Net income
   57,810 66,392 159,829 193,040


Net income attributable to non-controlling interests
   (88 ) (1,598 ) (88 ) (8,119 )


Net income attributable to Blackstone Mortgage Trust, Inc.
   $ 57,722 $ 64,794 $ 159,741 $ 184,921


Net income per share of common stock basic and diluted
   $ 0.61 $ 0.69 $ 1.68 $ 1.97


Weighted-average shares of common stock outstanding, basic and diluted
     95,013,087 94,071,537   95,004,188 94,067,923


Dividends declared per share of common stock
   $ 0.62 $ 0.62 $ 1.86 $ 1.86

Three Months Ended
March 31,
2022 2021
Income from loans and other investments
Interest and related income $ 234,432 $ 187,524
Less: Interest and related expenses 100,714 78,372
Income from loans and other investments, net 133,718 109,152
Other expenses
Management and incentive fees 23,486 19,207
General and administrative expenses 12,360 10,597
Total other expenses 35,846 29,804
Decrease in current expected credit loss reserve 2,537 1,293
Income before income taxes 100,409 80,641
Income tax provision 146 101
Net income 100,263 80,540
Net income attributable to non-controlling interests (576) (638)
Net income attributable to Blackstone Mortgage Trust, Inc. $ 99,687 $ 79,902
Net income per share of common stock
Basic $ 0.59 $ 0.54
Diluted $ 0.58 $ 0.54
Weighted-average shares of common stock outstanding
Basic 169,254,059 147,336,936
Diluted 175,602,905 147,336,936

See accompanying notes to consolidated financial statements.

Blackstone Mortgage Trust, Inc.

Consolidated Statements of Comprehensive Income (Unaudited)

(in thousands)

   Three Months Ended
September 30, Nine Months Ended
September 30,
   2017 2016 2017 2016
Net income
   $ 57,810 $ 66,392 $ 159,829 $ 193,040
Other comprehensive income

Unrealized gain (loss) on foreign currency remeasurement
   16,175 (10,128 ) 43,990 (25,472 )
Realized and unrealized (loss) gain on derivative financial instruments
   (8,029 ) 5,882 (20,150 ) 11,841


Other comprehensive income (loss)
   8,146 (4,246 ) 23,840 (13,631 )


Comprehensive income
   65,956 62,146 183,669 179,409
Comprehensive income attributable to non-controlling interests
   (88 ) (1,598 ) (88 ) (8,119 )


Comprehensive income attributable to Blackstone Mortgage Trust, Inc.
   $     65,868 $     60,548 $     183,581 $     171,290

Three Months Ended
March 31,
2022 2021
Net income $ 100,263 $ 80,540
Other comprehensive (loss) income
Unrealized loss on foreign currency translation (45,222) (34,957)
Realized and unrealized gain on derivative financial instruments 45,514 35,071
Other comprehensive income 292 114
Comprehensive income 100,555 80,654
Comprehensive income attributable to non-controlling interests (576) (638)
Comprehensive income attributable to Blackstone Mortgage Trust, Inc. $ 99,979 $ 80,016

See accompanying notes to consolidated financial statements.

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
(Loss) Income Accumulated
Deficit Stockholders’
Equity Non-controlling
Interests Total
Equity
Balance at December 31, 2015
$ 937 $ 3,070,200 $ (32,758 ) $ (545,791 ) $ 2,492,588 $ 13,143 $ 2,505,731
Shares of class A common stock issued, net
2 —   —   —   2 —   2
Restricted class A common stock earned
—   14,190 —   —   14,190 —   14,190
Dividends reinvested
—   276 —   (256 ) 20 —   20
Deferred directors’ compensation
—   282 —   —   282 —   282
Other comprehensive loss
—   —   (13,631 ) —   (13,631 ) —   (13,631 )
Net income
—   —   —   184,921 184,921 8,119 193,040
Dividends declared on common stock
—   —   —   �� (174,678 ) (174,678 ) —   (174,678 )
Distributions to non-controlling interests
—   —   —   —   —   (20,158 ) (20,158 )

Balance at September 30, 2016
$ 939 $ 3,084,948 $ (46,389 ) $ (535,804 ) $ 2,503,694 $ 1,104 $ 2,504,798

Balance at December 31, 2016
$ 945 $ 3,089,997 $ (56,202 ) $ (541,137 ) $ 2,493,603 $ —   $ 2,493,603
Shares of class A common stock issued, net
3 —   —   —   3 —   3
Restricted class A common stock earned
—   17,493 —   —   17,493 —   17,493
Issuance of convertible notes
—   964 —   —   964 —   964
Dividends reinvested
—   327 —   (296 ) 31 —   31
Deferred directors’ compensation
—   313 —   —   313 —   313
Other comprehensive income
—   —   23,840 —   23,840 —   23,840
Net income
—   —   —   159,741 159,741 88 159,829
Contributions from non-controlling interests
—   —   —   —   —   6,090 6,090
Dividends declared on common stock
—   —   —   (176,374 ) (176,374 ) —   (176,374 )

Balance at September 30, 2017
$ 948 $   3,109,094 $ (32,362 ) $ (558,066 ) $ 2,519,614 $ 6,178 $   2,525,792

Blackstone Mortgage Trust, Inc.

Class A
Common
Stock
Additional Paid-
In Capital
Accumulated Other
Comprehensive
(Loss) Income
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
Shares of class A common stock issued, net 2 — — — 2 — 2
Restricted class A common stock earned — 7,958 — — 7,958 — 7,958
Dividends reinvested — 204 — — 204 — 204
Deferred directors’ compensation — 125 — — 125 — 125
Net income — — — 79,902 79,902 638 80,540
Other comprehensive income — — 114 — 114 — 114
Dividends declared on common stock and deferred stock units, $0.62 per share — — — (91,349) (91,349) — (91,349)
Contributions from non-controlling interests — — — — — 13,448 13,448
Distributions to non-controlling interests — — — — — (11,180) (11,180)
Balance at March 31, 2021 $ 1,470 $ 4,711,000 $ 11,284 $ (840,731) $ 3,883,023 $ 21,070 $ 3,904,093
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, net 21 52,138 — — 52,159 — 52,159
Restricted class A common stock earned — 8,472 — — 8,472 — 8,472
Dividends reinvested — 246 — — 246 — 246
Deferred directors’ compensation — 173 — — 173 — 173
Net income — — — 99,687 99,687 576 100,263
Other comprehensive income — — 292 — 292 — 292
Dividends declared on common stock and deferred stock units, $0.62 per share — — — (105,801) (105,801) — (105,801)
Contributions from non-controlling interests — — — — — 5,040 5,040
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

See accompanying notes to consolidated financial statements.

Blackstone Mortgage Trust, Inc.

Consolidated Statements of Cash Flows (Unaudited)

(in thousands)

   Nine Months Ended
September 30,
   2017 2016
Cash flows from operating activities

Net income
   $ 159,829 $ 193,040
Adjustments to reconcile net income to net cash provided by operating activities

Non-cash compensation expense
   17,809 16,517
Amortization of deferred fees on loans
   (28,887 ) (31,594 )
Amortization of deferred financing costs and premiums/discount on debt obligations
   16,356 15,129
Income from equity investment in unconsolidated subsidiary
   —   (2,192 )
Distributions of income from unconsolidated subsidiary
   —   8,167
Gain on investments at fair value
   —   (13,413 )
Changes in assets and liabilities, net

Other assets
   (219 ) 8,315
Other liabilities
   11,651 (6,405 )


Net cash provided by operating activities
   176,539 187,564


Cash flows from investing activities

Origination and fundings of loans receivable
   (2,314,721 ) (2,300,636 )
Principal collections and sales proceeds from loans receivable and other assets
       1,976,271     3,054,821
Origination and exit fees received on loans receivable
   38,434 35,388
Receipts under derivative financial instruments
   6,115 —
Payments under derivative financial instruments
   (18,115 ) —
Return of collateral deposited under derivative agreements
   8,980 —
Collateral deposited under derivative agreements
   (16,651 ) —


Net cash (used in) provided by investing activities
   (319,687 ) 789,573


	Three Months Ended March 31,
	2022		2021
Cash flows from operating activities
Net income	$	100,263	$	80,540
Adjustments to reconcile net income to net cash provided by operating activities

Non-cash compensation expense	8,650		8,085
Amortization of deferred fees on loans and debt securities	(18,573)		(14,212)
Amortization of deferred financing costs and premiums/ discount on debt obligations	10,530		9,162
Decrease in current expected credit loss reserve	(2,537)		(1,293)
Unrealized gain on assets denominated in foreign currencies, net	(21)		(9,325)
Unrealized loss on derivative financial instruments, net	684		3,755
Realized (gain) loss on derivative financial instruments, net	(2,437)		3,799
Changes in assets and liabilities, net
Other assets	(10,319)		(359)
Other liabilities	3,858		2,896
Net cash provided by operating activities	90,098		83,048
Cash flows from investing activities
Principal fundings of loans receivable	(2,924,418)		(1,405,119)
Principal collections and sales proceeds from loans receivable and debt securities	1,179,632		862,204
Origination and exit fees received on loans receivable	29,775		17,475
Receipts under derivative financial instruments	28,981		7,287
Payments under derivative financial instruments	(2,720)		(56,488)
Collateral deposited under derivative agreements	—		(35,860)
Return of collateral deposited under derivative agreements	—		86,910
Net cash used in investing activities	(1,688,750)		(523,591)

continued…

See accompanying notes to consolidated financial statements.

Blackstone Mortgage Trust, Inc.

Consolidated Statements of Cash Flows (Unaudited)

(in thousands)

   Nine Months Ended
September 30,
   2017 2016
Cash flows from financing activities

Borrowings under secured debt agreements
   $ 2,776,058 $ 2,225,895
Repayments under secured debt agreements
   (2,481,250 ) (2,988,217 )
Proceeds from sale of loan participations
   33,193 54,441
Repayment of loan participations
   (381,310 ) (92,000 )
Payment of deferred financing costs
   (13,591 ) (12,564 )
Receipts under derivative financial instruments
   —   31,668
Payments under derivative financial instruments
   —   (14,266 )
Contributions from non-controlling interests
   6,090 —
Distributions to non-controlling interests
   —   (20,158 )
Net proceeds from issuance of convertible notes
   394,074 —
Net proceeds from issuance of class A common stock
   31 20
Dividends paid on class A common stock
   (176,195 ) (174,549 )


Net cash provided by (used in) financing activities
   157,100 (989,730 )


Net increase (decrease) in cash, cash equivalents, and restricted cash
   13,952 (12,593 )
Cash, cash equivalents, and restricted cash at beginning of period
   75,567 106,005
Effects of currency translation on cash, cash equivalents, and restricted cash
   4,566 1,526


Cash, cash equivalents, and restricted cash at end of period
   $ 94,085 $ 94,938


Supplemental disclosure of cash flows information

Payments of interest
   $ (141,124 ) $ (123,564 )


Payments of income taxes
   $ (220 ) $ (131 )


Supplemental disclosure of non-cash investing and financing activities

Dividends declared, not paid
   $ (58,793 ) $ (58,388 )


Loan principal payments held by servicer, net
   $ 513 $ 9,515


Consolidation of loans receivable of a VIE
   $ 500,000 $ —


Consolidation of securitized debt obligations of a VIE
   $ (474,620 ) $ —

Three Months Ended March 31,
2022 2021
Cash flows from financing activities
Borrowings under secured debt $ 2,093,695 $ 1,222,548
Repayments under secured debt (1,205,929) (878,030)
Repayment of securitized debt obligations — (48,853)
Borrowings under asset-specific debt 147,726 38,734
Repayments under asset-specific debt (78,659) —
Proceeds from sale of loan participations 245,278 —
Net proceeds from issuance of term loans — 198,500
Repayments of term loans (3,435) (3,191)
Payment of deferred financing costs (11,616) (9,279)
Contributions from non-controlling interests 5,040 13,448
Distributions to non-controlling interests (9,241) (11,180)
Net proceeds from issuance of convertible notes 294,000 —
Repayment of convertible notes (64,650) —
Net proceeds from issuance of class A common stock 52,155 —
Dividends paid on class A common stock (104,271) (91,004)
Net cash provided by financing activities 1,360,093 431,693
Net decrease in cash and cash equivalents (238,559) (8,850)
Cash and cash equivalents at beginning of period 551,154 289,970
Effects of currency translation on cash and cash equivalents (3,170) (994)
Cash and cash equivalents at end of period $ 309,425 $ 280,126
Supplemental disclosure of cash flows information
Payments of interest $ (81,984) $ (67,410)
(Payments) receipts of income taxes $ (161) $ 264
Supplemental disclosure of non-cash investing and financing activities
Dividends declared, not paid $ (105,576) $ (91,159)
Loan principal payments held by servicer, net $ 4,635 $ 2,578

See accompanying notes to consolidated financial ~~statements.~~

statements

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements

~~(Unaudited)~~

1. ORGANIZATION

References herein to “Blackstone Mortgage Trust,” “Company,” “we,” “us” or “our” refer to Blackstone Mortgage Trust, Inc. and its subsidiaries unless the context specifically requires otherwise.

Blackstone Mortgage Trust is a real estate finance company that originates ~~and purchases~~ senior loans collateralized by ~~properties~~commercial real estate in North America, Europe, and ~~Europe.~~Australia. Our portfolio is composed primarily of loans secured by high-quality, institutional assets in major markets, sponsored by experienced, well-capitalized real estate investment owners and operators. These senior loans are capitalized by accessing a variety of financing options, including borrowing under our credit facilities, issuing CLOs or single-asset securitizations, and syndicating senior loan participations, depending on our view of the most prudent financing option available for each of our investments. We are not in the business of buying or trading securities, and the only securities we own are the retained interests from our securitization financing transactions, which we have not financed. We are externally managed by BXMT Advisors L.L.C., or our Manager, a subsidiary of ~~The~~ Blackstone ~~Group L.P.~~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.” WeOur principal executive offices are ~~headquartered in~~located at 345 Park Avenue, 24th Floor, New York, ~~City.~~

New York 10154. We were incorporated in Maryland in 1998, when we reorganized from a California common law business trust into a Maryland corporation.

We conduct our operations as a REIT for U.S. federal income tax purposes. We generally will not be subject to U.S. federal income taxes on our taxable income to the extent that we annually distribute all of our net taxable income to stockholders and maintain our qualification as a REIT. We also operate our business in a manner that permits us to maintain an exclusion from registration under the Investment Company Act of 1940, as amended. We are organized as a holding company and conduct our business primarily through our various subsidiaries.

2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

The accompanying unaudited consolidated financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America, or GAAP, for interim financial information and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. The consolidated financial statements, including the notes thereto, are unaudited and exclude some of the disclosures required in ~~annual~~audited financial statements. ~~Management believes it has~~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 ~~its~~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, ~~2016~~2021 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 to conform to the current period presentation.

Principles of Consolidation

We consolidate all entities that we control through either majority ownership or voting rights. In addition, we consolidate all VIEs of which we are considered the primary beneficiary. VIEs are defined as entities in which equity investors (i) do not have the characteristics of a controlling financial interest and/or (ii) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support from other parties. The entity that consolidates a VIE is known as its primary beneficiary and is generally the entity with (i) the power to direct the activities that most significantly affect the VIE’s economic performance and (ii) the right to receive benefits from the VIE or the obligation to absorb losses of the VIE that could be significant to the VIE.

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

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Notes to Consolidated Financial Statements (continued) (Unaudited)

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 balance sheets. During the three months ended March 31, 2022, the 2018 Single Asset Securitization was liquidated upon full repayment of its collateral and all senior securities outstanding. Refer to Note 1618 for additional discussion of our ~~consolidated VIE.~~

VIEs.

In April 2017, we entered into a joint venture, or our Multifamily Joint Venture, with Walker & Dunlop Inc. to originate, hold, and finance multifamily bridge loans. Pursuant to the terms of the agreements governing the joint venture, Walker & Dunlop contributed 15% of the venture’s equity capital and we contributed 85%. We consolidate the Multifamily Joint Venture as we have a controlling financial interest. The non-controlling interests included on our consolidated balance sheets represent the equity interests in our Multifamily Joint Venture that are owned by Walker & Dunlop. A portion of our Multifamily Joint Venture’s consolidated equity and results of operations are allocated to these non-controlling interests based on Walker & Dunlop’s ~~pro-rata~~pro rata ownership of our Multifamily Joint Venture.

~~Blackstone Mortgage Trust, Inc.~~

~~Notes to Consolidated Financial Statements (continued)~~

~~(Unaudited)~~

Use of Estimates

The preparation of consolidated financial statements in conformity with GAAP requires us to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the consolidated financial statements and the reported amounts of revenues and expenses during the reporting period. As the novel coronavirus, or COVID-19, pandemic has evolved from its emergence in early 2020, so has its global impact. During the course of the pandemic, many countries have re-instituted, or strongly encouraged, varying levels of quarantines and restrictions on travel and in some cases have at times limited operations of certain businesses and taken other restrictive measures designed to help slow the spread of COVID-19 and its variants. Governments and businesses have also instituted vaccine mandates and testing requirements for employees. While vaccine availability and uptake has increased, the longer-term macro-economic effects on global supply chains, inflation, labor shortages and wage increases continue to impact many industries, including the collateral underlying certain of our loans. Moreover, with the potential for new strains of COVID-19 to emerge, governments and businesses may re-impose aggressive measures to help slow its spread in the future. For this reason, among others, as the COVID-19 pandemic continues, the potential global impacts are uncertain and difficult to assess. We believe the estimates and assumptions underlying our consolidated financial statements are reasonable and supportable based on the information available as of March 31, 2022, however uncertainty over the ultimate impact of COVID-19 on the global economy generally, and our business in particular, makes any estimates and assumptions as of March 31, 2022 inherently less certain than they would be absent the current and potential impacts of COVID-19 and geopolitical events. 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 ~~until the loan is advanced~~ and ~~is then~~ recorded over the term of the loan or debt security as an adjustment to yield. Income accrual is generally suspended for loans at the earlier of the date at which payments become 90 days past due or when, in the opinion of our Manager, recovery of income and principal becomes doubtful. ~~Income~~Interest received is then recorded onas a reduction in the ~~basis of cash received~~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;~~income, however expenses related to loans we acquire are included in general and administrative expenses as incurred.

Cash and Cash Equivalents ~~and Restricted Cash~~

Cash and cash equivalents represent cash held in banks ~~cash on hand,~~ 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~~ As of both March 31, 2022 and December 31, 2021, we had no restricted cash ~~represents~~on our consolidated balance sheets.

Through our subsidiaries, we have oversight of certain servicing accounts held with third-party servicers, or Servicing Accounts, which relate to borrower escrows and other cash ~~held~~balances aggregating $421.8 million and $531.2 million as of March 31, 2022 and December 31, 2021, respectively. This cash is maintained in a segregated bank ~~account related to a letter of credit.~~

~~The following table provides a reconciliation of cash, cash equivalents,~~accounts, and ~~restricted cash~~these amounts are not included in the assets and liabilities presented in our consolidated balance ~~sheets~~sheets. Cash in these Servicing Accounts will be transferred by the respective third-party servicer to the ~~total amount shown in our consolidated statements~~borrower or us under the terms of ~~cash flows ($ in thousands):~~

   September 30, 2017    September 30, 2016
Cash and cash equivalents
   $ 61,221    $ 94,061
Restricted cash
   32,864    877




Total cash, cash equivalents, and restricted cash shown in our consolidated statements of cash flows
   $ 94,085    $ 94,938

the applicable

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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 ~~and Provision for Loan Losses~~

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

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

We estimate our CECL reserve primarily using the Weighted Average Remaining Maturity, or WARM method, which has been identified as an acceptable loss-rate method for estimating CECL reserves in the Financial Accounting Standards Board, 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 ~~these~~our loans over their expected remaining term, taking into consideration expected economic conditions over the relevant timeframe. We apply the WARM method for ~~possible impairment. Impairment~~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 February 28, 2022. 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.

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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 ~~write down~~record the ~~loan through~~impairment as a ~~charge to~~component of our CECL reserve by applying the ~~provision~~practical expedient for ~~loan losses. Impairment of these loans, which are~~ collateral dependent loans. The CECL reserve is ~~measured~~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 ~~necessary~~relevant by our Manager. Actual losses, if any, could ultimately differ materially from these estimates.

~~Blackstone Mortgage Trust, Inc.~~

~~Notes~~ We only expect to ~~Consolidated Financial Statements (continued)~~

~~(Unaudited)~~

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

Credit Quality Indicator

Our risk rating is our primary credit quality indicator in assessing our current expected credit loss reserve. Our Manager performs a quarterly risk review of our portfolio of ~~loans. In conjunction with this review, our Manager assesses the risk factors of~~loans, and assigns each loan ~~and assigns~~ a risk rating based on a variety of factors, including, without limitation, ~~loan-to-value ratio, or~~ LTV, debt yield, property type, geographic and local market dynamics, physical condition, cash flow volatility, leasing and tenant profile, loan structure and exit plan, and project sponsorship. Based on a 5-point scale, our loans are rated ~~“1”~~“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.~~

~~During~~

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 ~~second quarter~~WARM method computations and probability-weighted models described above, our CECL reserve is also adjusted to reflect our estimation of ~~2015,~~the current and future economic conditions that impact the performance of the commercial real estate assets securing our loans. These estimations include unemployment rates, interest rates, and other macroeconomic factors impacting the likelihood and magnitude of potential credit losses for our loans during their anticipated term. In addition to the CMBS data we ~~acquired a portfolio~~have licensed from Trepp LLC, we have also licensed certain macroeconomic financial forecasts to inform our view of ~~loans from General Electric Capital Corporation and certain of its affiliates, or~~ the ~~GE portfolio, for a total purchase price of $4.7 billion. We allocated the aggregate purchase price between each~~potential future impact that broader economic conditions may have on our loan portfolio’s performance. These estimations require significant judgments about future events that, while

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

based on ~~its fair value relative~~the information available to the overall portfolio, which allocation resulted in purchase discounts or premiums determined on an asset-by-asset basis. Each loan accretes from its allocated purchase price to its expected collection value over the lifeus as of the ~~loan, consistent with~~balance sheet date, are ultimately indeterminate and the ~~other loans in~~actual economic condition impacting our ~~portfolio.~~

~~Equity Investment in Unconsolidated Subsidiary~~

~~Our carried interest in CT Opportunity Partners I, LP, or CTOPI, was accounted for using~~portfolio could vary significantly from the equity method. CTOPI’s assets and liabilities were not consolidated into our financial statements due to our determination that (i) it was not a VIE and (ii) the other investors in CTOPI had sufficient rights to preclude consolidation by us. As such,estimates we ~~reported our allocable percentage of the net assets of CTOPI on our consolidated balance sheets. The investment was fully realized~~made as of ~~December~~March 31, ~~2016 and we no longer have any equity investments in unconsolidated subsidiaries in our consolidated financial statements.~~

2022.

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. ~~Changes~~Our net investment hedges are assessed using a method based on changes in spot exchange rates. Gains and losses, representing hedge components excluded from the assessment of effectiveness, are recognized in interest income on our consolidated statements of operations over the contractual term of our net investment hedges on a systematic and rational basis, as documented at hedge inception in accordance with our accounting policy election. All other changes in the fair value of our derivative instruments that qualify as hedges are reported as a component of accumulated other comprehensive income (loss) on our consolidated financial statements. Deferred gains and losses are reclassified out of accumulated other comprehensive income (loss) and into net income in the same period or periods during which the hedged transaction affects earnings, and are presented in the same line item as the earnings effect of the hedged item. For cash flow hedges, this is typically when the periodic swap settlements are made, while for net investment hedges, this occurs when the hedged item is sold or substantially liquidated. To the extent a derivative does not qualify for hedge accounting and is deemed a non-designated hedge, the changes in its fair value are included in net income concurrently.

~~Blackstone Mortgage Trust, Inc.~~

~~Notes to Consolidated Financial Statements (continued)~~

~~(Unaudited)~~

Secured Debt ~~Agreements~~

~~Where applicable, we~~and Asset-Specific Debt

We record investments financed with ~~repurchase agreements~~secured debt or asset-specific debt as separate assets and the related borrowings under any ~~repurchase agreements~~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 ~~repurchase agreements~~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 not the non-consolidated senior interest we sold.

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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

~~The “Debt~~

In August 2020, the FASB issued ASU 2020-06 “Debt—Debt with Conversion and Other ~~Options” Topic of~~Options (Subtopic 470-20) and Derivatives and Hedging—Contracts in Entity’s Own Equity (Subtopic 815-40): Accounting for Convertible Instruments and Contracts in an Entity’s Own Equity,” or ASU 2020-06. ASU 2020-06 simplifies the ~~Financial Accounting Standards Board, or FASB, Accounting Standards Codification, or ASC, requires the liability and equity components of~~accounting for convertible debt ~~instruments that may~~by eliminating the beneficial conversion and cash conversion accounting models. ASU 2020-06 also updates the earnings per share calculation and requires entities to assume share settlement when the convertible debt can be settled in cash ~~upon conversion, including partial cash settlement,~~or shares. ASU 2020-06 is effective for fiscal years beginning after December 15, 2021 and is to be ~~separately accounted for~~adopted through a cumulative-effect adjustment to the opening balance of retained earnings either at the date of adoption or in the first comparative period presented. We adopted ASU 2020-06 on January 1, 2022, using the modified retrospective method of transition. Subsequent to adoption of ASU 2020-06, convertible debt proceeds, unless issued with a ~~manner that reflects~~substantial premium or an embedded conversion feature, will no longer be allocated between debt and equity components. This reduces the ~~issuer’s nonconvertible debt borrowing rate. The initial proceeds from the sale~~issue discount and results in less non-cash interest expense in our consolidated financial statements. Additionally, subsequent to adoption of ASU 2020-06, shares issuable under our convertible notes are ~~allocated between a liability component~~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 ~~an equity component in a manner that reflects interest expense at~~amortized through the ~~rate of similar nonconvertible debt that could have been issued at such time. The equity component represents the excess initial proceeds received over the fair value~~maturity date of the ~~liability component of the notes as of the date of issuance. We measured the estimated fair value of the debt component of our~~ convertible notes as of the respective issuance dates based on our nonconvertible debt borrowing rate. The equity component of each series of our convertible notes is reflected within additional paid-in capital on our consolidated balance sheet, and the resulting debt discount is amortized over the period during which such convertible notes are expected to be outstanding (through the maturity date) as additional non-cash interest expense. The additional non-cash interest expense attributable to such convertible notes will increase in subsequent periods through the maturity date as the notes accrete to their par value over the same period.

Deferred Financing Costs

The deferred financing costs that are included as a reduction in the net book value of the related liability on our consolidated balance sheets include issuance and other costs related to our debt obligations. These costs are amortized as interest expense using the effective interest method over the life of the related obligations.

Fair Value of Financial Instruments

The “Fair Value Measurements and Disclosures” Topic of the FASB, or ASC 820, defines fair value, establishes a framework for measuring fair value, and requires certain disclosures about fair value measurements under GAAP. Specifically, this guidance defines fair value based on exit price, or the price that would be received upon the sale of an asset or the transfer of a liability in an orderly transaction between market participants at the measurement date.

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.

~~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

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

management of third-parties when determining fair value and generally represent anything that does not meet the criteria of Levels 1 and 2.

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

Certain of our other assets are reported at fair value, as of quarter-end, either (i) on a recurring basis ~~as of each quarter-end,~~ or (ii) on a nonrecurring basis, as a result of impairment or other events. Our assets that are recorded at fair value are discussed further in Note ~~15.~~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-party dealers. For collateral-dependent loans that are identified as impaired, we measure impairment by comparing our Manager’s estimation of the fair value of the underlying collateral, less costs to sell, to the book value of the respective loan. These valuations ~~may~~ 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 ~~necessary~~relevant by our Manager.

During the year ended December 31, 2021, we charged-off $14.4 million of the $14.8 million asset-specific CECL reserve, and reversed the remaining $360,000 CECL reserve, related to one of our loans receivable. As of March 31, 2022, we had a $54.9 million CECL reserve specifically related to one of our loans receivable with an outstanding principal balance of $286.3 million, net of cost-recovery proceeds. The CECL reserve was recorded based on our Manager’s estimation of the fair value of the loan’s underlying collateral as of March 31, 2022. This loan receivable is therefore measured at fair value on a nonrecurring basis using significant unobservable inputs, and is classified as a Level 3 asset in the fair value hierarchy. The significant unobservable inputs used to estimate the fair value of this loan receivable include the exit capitalization rate assumption of 4.80% used to forecast the future sale price of the underlying real estate collateral and the unlevered discount rate of 8.30%, in addition to reviewing comparable sales on a per-key basis.

We are also required by GAAP to disclose fair value information about financial instruments, ~~that~~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.

~~Restricted cash: The carrying amount of restricted cash approximates fair value.~~

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

•Debt securities held-to-maturity: The fair value of ~~market~~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 ~~other market participants.~~

their internal pricing models to determine the reported price.

•Derivative financial instruments: The fair value of our foreign currency and interest rate contracts was estimated using advice from a third-party derivative specialist, based on contractual cash flows and observable inputs comprising foreign currency rates and credit spreads.

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

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

•Securitized debt obligations, net: 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.

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.

~~Blackstone Mortgage Trust, Inc.~~

~~Notes to Consolidated Financial Statements (continued)~~

~~(Unaudited)~~

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 1315 for additional information.

Stock-Based Compensation

Our stock-based compensation consists of awards issued to our Manager and certain individuals employed by an affiliate of our Manager that vest over the life of the awards, as well as deferred stock units issued to certain members of our ~~Board~~board of ~~Directors.~~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 1416 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 ~~treasury stock~~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, 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.~~units, and shares of class A common stock issuable under our convertible notes. Refer to Note 1113 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

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).

Underwriting Commissions and Offering Costs

Underwriting commissions and offering costs incurred in connection with common stock offerings are reflected as a reduction of additional paid-in capital. Costs incurred that are not directly associated with the completion of a common stock offering are expensed when incurred.

Recent Accounting Pronouncements

In ~~August 2017,~~March 2022, the FASB issued ASU ~~2017-12 “Derivatives~~2022-02 "Financial Instruments-Credit Losses (Topic 326): Troubled Debt Restructurings and ~~Hedging Topic 815: Targeted Improvements to Accounting for Hedging Activities,”~~Vintage Disclosures," or ASU ~~2017-12.~~2022-02. ASU ~~2017-12 is intended~~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 better align an entity’s financial reporting for hedging activities with the economic objectives of those activities. Upon adoption of ASU 2017-12, the cumulative ineffectiveness that has previously been recognized on existing cash flowloan refinancings and ~~net investment hedges will be adjusted and removed from beginning retained earnings and placed in accumulated other comprehensive income (loss). We adopted ASU 2017-12~~restructurings in the ~~third quarter~~form of ~~2017, which did not have an impact on our~~principal forgiveness, interest rate concessions, other-than-insignificant payment delays, or term extensions when the borrower is experiencing financial statements as we had not previously recognized any hedge ineffectiveness related to our existing cash flow and net investment hedges. In future periods, for hedges that are deemed effective, we will no longer need to bifurcate hedges into an effective and ineffective portion, and all gains or losses on effective hedges will be recognized in other comprehensive income (loss).

~~Blackstone Mortgage Trust, Inc.~~

~~Notes to Consolidated Financial Statements (continued)~~

~~(Unaudited)~~

~~In November 2016, the FASB issued~~difficulties. ASU 2016-18 “Statement of Cash Flows (Topic 230): Restricted Cash,” or ASU 2016-18. ASU 2016-18 is intended to clarify how entities present restricted cash in the statement of cash flows. The guidance requires entities to show the changes in the total of cash and cash equivalents and restricted cash in the statement of cash flows. As a result, entities will no longer present transfers between cash and cash equivalents and restricted cash in the statement of cash flows. We adopted ASU 2016-18 in the second quarter of 2017 and applied the guidance retrospectively to our prior period consolidated statement of cash flows.

In June 2016, the FASB issued ASU 2016-13 “Financial Instruments – Credit Losses – Measurement of Credit Losses on Financial Instruments (Topic 326),” or ASU 2016-13. ASU 2016-13 significantly changes how entities will measure credit losses for most financial assets and certain other instruments that are not measured at fair value through net income. ASU 2016-13 will replace the “incurred loss” model under existing guidance with an “expected loss” model for instruments measured at amortized cost, and require entities to record allowances for available-for-sale debt securities rather than reduce the carrying amount, as they do today under the other-than-temporary impairment model. It also simplifies the accounting model for purchased credit-impaired debt securities and loans. ASU 2016-132022-02 is effective for fiscal years beginning after December 15, ~~2019~~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 ~~be adopted through~~apply a modified retrospective transition method, resulting in a cumulative-effect adjustment to retained earnings asin the period of ~~the beginning of the first reporting period in which the guidance is effective. While we~~adoption. We are currently evaluating the impact ASU ~~2016-13~~2022-02 will have on our consolidated financial statements, we expect that the adoption will result in an increased amount of provisions for potential loan losses as well as the recognition of such provisions earlier in the lending cycle. We currently do not have any provision for loan losses on our consolidated financial statements.

In ~~May 2014,~~March 2020, the FASB issued ASU ~~2014-09, “Revenue from Contracts with Customers~~2020-04 “Reference Rate Reform (Topic ~~606)~~,848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting,” or ASU ~~2014-09.~~2020-04. ASU ~~2014-09 broadly amends~~2020-04 provides optional expedients and exceptions to GAAP requirements for modifications on debt instruments, leases, derivatives, and other contracts, related to the expected market transition from LIBOR, and certain other floating rate benchmark indices, or collectively, IBORs, to alternative reference rates. ASU 2020-04 generally considers contract modifications related to reference rate reform to be an event that does not require contract remeasurement at the modification date nor a reassessment of a previous accounting determination. In January 2021, the FASB issued ASU 2021-01 “Reference Rate Reform (Topic 848): Scope,” or ASU 2021-01. ASU 2021-01 clarifies that the practical expedients in ASU 2020-04 apply to derivatives impacted by changes in the interest rate used for margining, discounting, or contract price alignment. The guidance in ASU 2020-04 is optional and may be elected over time, through December 31, 2022, as reference rate reform activities occur. Once ASU 2020-04 is elected, the guidance must be applied prospectively for ~~revenue recognition. ASU 2014-09 is effective for~~all eligible contract modifications. In the first ~~interim or annual period beginning after December 15, 2017,~~quarter of 2020, we have elected to apply the hedge accounting expedients, related to probability and isthe assessments of effectiveness, for future IBOR-indexed cash flows, to assume that the index upon which future hedged transactions will be ~~applied retrospectively.~~based matches the index on the corresponding derivatives. Application of these expedients preserves the presentation of derivatives consistent with our past presentation. We ~~do not anticipate that~~continue to evaluate the impact of ASU 2020-04 and may apply other elections, as applicable, as the market transition from IBORs to alternative reference rates continues to develop.

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 ~~2014-09 will have~~2020-06 decreased our diluted earnings per share by $0.01 for the three months ended March 31, 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, 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 ~~material impact on our consolidated~~uniform benchmark replacement process for financial ~~statements.~~

contracts that mature after June 30, 2023 which 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.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

The U.S. Federal Reserve, in conjunction with the Alternative Reference Rates Committee, a steering committee comprised 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 Treasury securities, as its preferred alternative rate for USD LIBOR. Additionally, market participants have started to transition from GBP LIBOR to the Sterling Overnight Index Average, or SONIA, in line with guidance from the U.K. regulators. As of March 31, 2022, one-month SOFR is utilized as the floating benchmark rate on 37 of our loans, the financing provided on the 2020 FL3 and 2020 FL2 CLOs, and certain borrowings under 8 of our credit facilities. As of March 31, 2022, the one-month SOFR was 0.30% and one-month USD LIBOR was 0.45%. Additionally, as of March 31, 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.

3. LOANS RECEIVABLE, NET

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

   September 30, 2017 December 31, 2016
Number of loans
   111 107
Principal balance
   $     9,681,055 $ 8,727,218
Net book value
   $ 9,637,152 $ 8,692,978
Unfunded loan commitments⁽¹⁾
   $ 1,622,216 $ 882,472
Weighted-average cash coupon⁽²⁾
   5.30 % 5.01 %
Weighted-average all-in yield⁽²⁾
   5.68 % 5.36 %
Weighted-average maximum maturity (years)⁽³⁾
   3.4 3.2


	March 31, 2022		December 31, 2021
Number of loans	203		188
Principal balance	$	23,873,563	$	22,156,437
Net book value	$	23,586,769	$	21,878,338
Unfunded loan commitments(1)	$	4,545,691	$	4,180,128
Weighted-average cash coupon(2)	+ 3.22%		+ 3.19%
Weighted-average all-in yield(2)	+ 3.57%		+ 3.52%
Weighted-average maximum maturity (years)(3)	3.5		3.4


~~(1)~~

(1)Unfunded commitments will primarily be funded to finance our borrowers’ construction or development of real estate-related assets, capital improvements of existing assets, or lease-related expenditures. These commitments will generally be funded over the term of each loan, subject in certain cases to an expiration date.

(2)The weighted-average cash coupon and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR, SOFR, SONIA, GBP LIBOR, EURIBOR, and other indices, as applicable to each loan. As of March 31, 2022, 99.6% of our loans by principal balance earned a floating rate of interest, primarily indexed to USD LIBOR. The other 0.4% of our loans earned a fixed rate of interest. As of December 31, 2021, 99.5% of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR. The other 0.5% of our loans earned a fixed rate of interest. We reflect our fixed rate loans as a spread over the relevant floating benchmark rates, as of March 31, 2022 and December 31, 2021, respectively, for purposes of the weighted-averages. In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees. Excludes 1 loan accounted for under the cost-recovery method.

(3)Maximum maturity assumes all extension options are exercised by the borrower, however our loans may be repaid prior to such date. As of March 31, 2022, 59% of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and 41% were open to repayment by the borrower without penalty. As of December 31, 2021, 56% of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and 44% were open to repayment by the borrower without penalty.

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 March 31, 2022 ($ in thousands):


	Loans Receivable Principal Balance
Index Rate Floors	USD		Non-USD(1)		Total
Fixed Rate	$	37,500	$	57,068	$	94,568
0.00% or no floor(2)	3,922,099		6,544,292		10,466,391
0.01% to 0.25% floor	7,931,023		479,462		8,410,485
0.26% to 1.00% floor	1,320,187		51,856		1,372,043
1.01% or more floor	3,417,288		112,788		3,530,076
Total(3)	$	16,628,097	$	7,245,466	$	23,873,563

	Unfunded commitments will primarily be funded to finance property improvements or lease-related expenditures by the borrowers. These future commitments will be funded over the term of each loan, subject in certain cases to an expiration date.
~~(2)~~		As of September 30, 2017, our floating rate loans were indexed to various benchmark rates, with 91% of floating rate loans by principal balance indexed to USD LIBOR. In addition, $273.9 million of our floating rate loans earned interest based on floors that are above the applicable index, with an average floor of 1.24%, as of September 30, 2017. As of December 31, 2016, our floating rate loans were indexed to various benchmark rates, with 84% of floating rate loans indexed to USD LIBOR. In addition, $216.3 million of our floating rate loans earned interest based on floors that are above the applicable index, with an average floor of 1.27%, as of December 31, 2016. 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. Cash coupon and all-in yield assume applicable floating benchmark rates for weighted-average calculation.
~~(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, 2017, 72% of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and 28% were open to repayment by the borrower without penalty. As of December 31, 2016, 64% of our loans were subject to yield maintenance or other prepayment restrictions and 36% were open to repayment by the borrower without penalty.

(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 March 31, 2022, the weighted-average index rate floor of our loan portfolio was 0.33%. Excluding 0.0% index rate floors, the weighted-average index rate floor was 0.58%.

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

   Principal
Balance    Deferred Fees /
Other Items⁽¹⁾    Net Book
Value
December 31, 2016
   $     8,727,218    $     (34,240)    $     8,692,978
Loan fundings
   2,789,341    —      2,789,341
Loan repayments
   (1,970,743 )    —      (1,970,743 )
Unrealized gain (loss) on foreign currency translation
   135,239    (116 )    135,123
Deferred fees and other items
   —      (38,434 )    (38,434 )
Amortization of fees and other items
   —      28,887    28,887






September 30, 2017
   $ 9,681,055    $ (43,903 )    $ 9,637,152


	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
Loan fundings	2,924,418		—		2,924,418
Loan repayments and sales	(1,047,736)		—		(1,047,736)


Unrealized (loss) gain on foreign currency translation	(159,556)		1,165		(158,391)
Deferred fees and other items	—		(29,775)		(29,775)
Amortization of fees and other items	—		17,457		17,457
Loans Receivable, as of March 31, 2022	$	23,873,563	$	(164,573)	$	23,708,990
CECL reserve					(122,221)
Loans Receivable, net, as of March 31, 2022					$	23,586,769


~~(1)~~				~~Other items primarily consist of purchase discounts or premiums, exit fees, and deferred origination expenses.~~

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

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, 2017
Property Type
   Number of
Loans    Net Book
Value    Total Loan
Exposure⁽¹⁾    Percentage of
Portfolio
Office
     55    $   5,781,675    $   5,814,214      54%
Hotel
     14    1,713,162    1,784,893      17
Retail
       7    539,752    982,270        9
Multifamily
     17    762,969    767,875        7
Condominium
       2    129,421    273,112        3
Manufactured housing
       7    232,148    231,856        2
Other
       9    478,025    814,457        8








   111    $ 9,637,152    $   10,668,677    100%








Geographic Location
   Number of
Loans    Net Book
Value    Total Loan
Exposure⁽¹⁾    Percentage of
Portfolio
United States

Northeast
     26    $ 2,680,546    $   2,694,018      25%
West
     28    2,470,097    2,629,456      24
Southeast
     21    1,964,534    2,414,994      23
Midwest
       8    890,546    894,564        8
Southwest
       8    291,792    290,393        3
Northwest
       2    249,118    251,422        2








Subtotal
     93    8,546,633    9,174,847      85
International

United Kingdom
       7    486,794    838,763        8
Canada
       7    462,832    458,619        4
Belgium
       1    72,544    73,247        1
Germany
       1    12,114    66,810        1
Netherlands
       2    56,235    56,391        1








Subtotal
     18    1,090,519    1,493,830      15








Total
   111    $ 9,637,152    $   10,668,677    100%


March 31, 2022
Property Type	Number of Loans	Net Book Value		Total Loan Exposure(1)		Percentage of Portfolio
Office	66	$	9,801,292	$	10,851,461	42%
Multifamily	85	6,529,190		6,584,594		26
Hospitality	27	3,894,062		4,009,562		16
Industrial	7	1,205,970		1,290,660		5
Retail	9	1,124,256		1,164,740		4
Other	9	1,154,220		1,726,571		7
Total loans receivable	203	$	23,708,990	$	25,627,588	100%
CECL reserve		(122,221)
Loans receivable, net		$	23,586,769

Geographic Location	Number of Loans	Net Book Value		Total Loan Exposure(1)		Percentage of Portfolio
United States
Sunbelt	77	$	6,539,286	$	6,925,148	27%
Northeast	40	5,064,458		5,386,993		21
West	34	3,597,537		4,384,370		17
Midwest	10	998,899		1,105,755		5
Northwest	6	317,179		321,937		1
Subtotal	167	16,517,359		18,124,203		71
International
United Kingdom	20	2,859,326		3,112,309		12
Spain	4	1,332,371		1,338,394		5
Ireland	2	1,192,974		1,198,452		5
Australia	4	539,090		543,807		2
Sweden	1	524,566		528,975		2
Canada	1	48,317		48,443		—
Other Europe	4	694,987		733,005		3
Subtotal	36	7,191,631		7,503,385		29
Total loans receivable	203	$	23,708,990	$	25,627,588	100%
CECL reserve		(122,221)
Loans receivable, net		$	23,586,769


~~(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 $987.6 million of such non-consolidated senior interests as of September 30, 2017.

(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 $1.8 billion of such non-consolidated senior interests as of March 31, 2022.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

December 31, 2016

Property Type

Number of
Loans
   Net Book
Value    Total Loan
Exposure⁽¹⁾    Percentage of
Portfolio
Office
     55    $   4,800,609    $   4,889,456      50%
Hotel
     18    1,889,732    1,957,334      20
Retail
       9    769,813    1,173,592      12
Multifamily
       8    521,097    523,529        5
Manufactured housing
       9    296,290    296,252        3
Condominium
       2    66,070    258,360        3
Other
       6    349,367    658,211        7








   107    $ 8,692,978    $ 9,756,734    100%








Geographic Location

Number of
Loans
   Net Book
Value    Total Loan
Exposure⁽¹⁾    Percentage of
Portfolio
United States

Northeast
     26    $ 2,548,257    $ 2,562,149      26%
Southeast
     21    1,492,530    1,899,748      19
West
     22    1,628,811    1,828,667      19
Midwest
       7    695,713    698,093        7
Southwest
       8    380,639    379,766        4
Northwest
       3    227,747    293,564        3








Subtotal
     87    6,973,697    7,661,987      78
International

United Kingdom
       9    977,136    1,305,816      13
Canada
       8    487,835    483,923        5
Germany
       1    204,241    254,644        3
Netherlands
       2    50,069    50,364        1








Subtotal
     20    1,719,281    2,094,747      22








Total
   107    $ 8,692,978    $ 9,756,734    100%


December 31, 2021
Property Type	Number of Loans	Net Book Value		Total Loan Exposure(1)(2)		Percentage of Portfolio
Office	65	$	9,473,039	$	10,425,026	44%
Multifamily	75	5,721,260		5,771,517		24
Hospitality	25	3,427,245		3,540,391		15
Industrial	6	1,102,452		1,185,606		5
Retail	8	871,241		909,970		4
Other	9	1,407,780		1,836,601		8
Total loans receivable	188	$	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
Sunbelt	71	$	5,907,230	$	6,206,216	26%
Northeast	37	4,615,076		4,934,295		21
West	33	3,520,942		4,199,208		18
Midwest	10	1,063,202		1,113,959		5
Northwest	5	251,121		252,700		1
Subtotal	156	15,357,571		16,706,378		71
International
United Kingdom	17	2,342,146		2,598,033		11
Spain	4	1,374,364		1,380,763		6
Ireland	1	1,210,375		1,216,864		5
Sweden	1	546,319		551,149		2
Australia	4	504,668		509,885		2
Canada	2	68,558		68,478		—
Other Europe	3	599,016		637,561		3
Subtotal	32	6,645,446		6,962,733		29
Total loans receivable	188	$	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 $1.0 billion of such non-consolidated senior interests as of December 31, 2016.

(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, our Manager evaluates our loan portfolio on a quarterly basis. In conjunction with our quarterly loan portfolio review, our Manager assesses the risk factors of each loan, and assigns a risk rating based on several factors. Factors considered in the assessment include, but are not limited to, risk of loss, current LTV, debt yield, collateral performance, structure, exit plan, and sponsorship. Loans are rated “1” (less risk) through “5” (greater risk), which ratings are defined in Note 2.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

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

September 30, 2017    December 31, 2016
Risk Rating
   Number of Loans    Net Book Value    Total Loan Exposure⁽¹⁾    Risk Rating    Number of Loans    Net Book Value    Total Loan Exposure⁽¹⁾
1          4    $ 421,313    $ 421,628    1          8    $ 361,100    $ 361,574
2        49    3,701,801    3,708,603    2        52    4,011,992    4,083,678
3        57    5,493,409    6,517,829    3        46    4,299,026    5,290,668
4          1    20,629    20,617    4          1    20,860    20,814
5      —      —      —      5      —      —      —












   111    $ 9,637,152    $ 10,668,677       107    $ 8,692,978    $ 9,756,734


	March 31, 2022					December 31, 2021
Risk Rating	Number of Loans	Net Book Value		Total Loan Exposure(1)		Number of Loans	Net Book Value		Total Loan Exposure(1)(2)
1	5	$	426,984	$	429,779	8	$	642,776	$	645,854
2	39	5,982,543		6,456,584		28	5,200,533		5,515,250
3	148	14,827,128		16,261,775		141	13,604,027		14,944,045
4	10	2,187,526		2,193,141		10	2,270,872		2,277,653
5	1	284,809		286,309		1	284,809		286,309
Total loans receivable	203	$	23,708,990	$	25,627,588	188	$	22,003,017	$	23,669,111
CECL reserve		(122,221)					(124,679)
Loans receivable, net		$	23,586,769				$	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 $987.6 million and $1.0 billion of such non-consolidated senior interests as of September 30, 2017 and December 31, 2016, respectively.

(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 $1.8 billion and $1.5 billion of such non-consolidated senior interests as of March 31, 2022 and December 31, 2021, respectively.

(2)Excludes investment exposure to the 2018 Single Asset Securitization of $379.3 million as of December 31, 2021. See Note 4 for details of the subordinate position we own in the 2018 Single Asset Securitization.

The weighted-average risk rating of our total loan exposure was ~~2.6 and 2.5~~2.8 as of ~~September 30, 2017~~both March 31, 2022 and December 31, ~~2016, respectively.~~ 2021.

Current Expected Credit Loss Reserve

The ~~increase~~CECL reserve required under GAAP reflects our current estimate of potential credit losses related to the loans and debt securities included in ~~weighted-average~~our consolidated balance sheets. Refer to Note 2 for further discussion of our CECL reserve. The following table presents the activity in our loans receivable CECL reserve by investment pool for the three months ended March 31, 2022 and 2021 ($ in thousands):


	U.S. Loans		Non-U.S. Loans		Unique Loans		Impaired Loans		Total
Loans Receivable, Net
CECL reserve as of December 31, 2020	$	42,995	$	27,734	$	33,159	$	69,661	$	173,549
Increase (decrease) in CECL reserve	1,539		(3,134)		146		—		(1,449)
CECL reserve as of March 31, 2021	$	44,534	$	24,600	$	33,305	$	69,661	$	172,100

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

Changes to the CECL reserve are recognized through net income on our consolidated statements of operations. During the three months ended March 31, 2022, we recorded a decrease of $2.5 million in the current expected credit loss reserve against our loans receivable portfolio, bringing our total CECL reserve to $122.2 million as of March 31, 2022. During the three months ended March 31, 2021, we recorded a decrease of $1.4 million in the current expected credit loss reserve against our loans receivable portfolio, bringing our total CECL reserve to $172.1 million as of March 31, 2021.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

$360,000 CECL reserve. We have no remaining asset-specific CECL reserve against this loan as of March 31, 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 three months ended March 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, as of March 31, 2022. As of March 31, 2022, the CECL reserve on this loan was $54.9 million. No income was recorded on this loan during both the three months ended March 31, 2022 and 2021. This loan has an outstanding principal balance of $286.3 million, net of cost-recovery proceeds, as of March 31, 2022. The CECL reserve was recorded based on our estimation of the fair value of the loan’s underlying collateral as of March 31, 2022.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Our primary credit quality indicator is our risk ratings, which are further discussed above. The following tables present the net book value of our loan portfolio as of March 31, 2022 and December 31, 2021, respectively, by year of origination, investment pool, and risk rating ($ in thousands):


	Net Book Value of Loans Receivable by Year of Origination(1)
	As of March 31, 2022
Risk Rating	2022		2021		2020		2019		2018		Prior		Total
U.S. loans
1	$	—	$	126,675	$	—	$	255,374	$	—	$	44,935	$	426,984
2	108,484		1,556,681		522,982		318,298		1,203,257		222,119		3,931,821
3	1,523,319		6,772,686		261,356		949,205		1,106,959		520,228		11,133,753
4	—		—		—		96,542		541,449		150,316		788,307
5	—		—		—		—		—		—		—
Total U.S. loans	$	1,631,803	$	8,456,042	$	784,338	$	1,619,419	$	2,851,665	$	937,598	$	16,280,865
Non-U.S. loans
1	$	—	$	—	$	—	$	—	$	—	$	—	$	—
2	—		672,049		97,912		1,280,761		—		—		2,050,722
3	754,810		1,493,249		—		921,706		275,192		—		3,444,957
4	—		—		—		337,867		—		—		337,867
5	—		—		—		—		—		—		—
Total Non-U.S. loans	$	754,810	$	2,165,298	$	97,912	$	2,540,334	$	275,192	$	—	$	5,833,546
Unique loans
1	$	—	$	—	$	—	$	—	$	—	$	—	$	—
2	—		—		—		—		—		—		—
3	—		—		—		—		191,385		57,033		248,418
4	—		—		—		313,633		747,719		—		1,061,352
5	—		—		—		—		—		—		—
Total unique loans	$	—	$	—	$	—	$	313,633	$	939,104	$	57,033	$	1,309,770
Impaired loans
1	$	—	$	—	$	—	$	—	$	—	$	—	$	—
2	—		—		—		—		—		—		—
3	—		—		—		—		—		—		—
4	—		—		—		—		—		—		—
5	—		—		—		—		284,809		—		284,809
Total impaired loans	$	—	$	—	$	—	$	—	$	284,809	$	—	$	284,809
Total loans receivable
1	$	—	$	126,675	$	—	$	255,374	$	—	$	44,935	$	426,984
2	108,484		2,228,730		620,894		1,599,059		1,203,257		222,119		5,982,543
3	2,278,129		8,265,935		261,356		1,870,911		1,573,536		577,261		14,827,128
4	—		—		—		748,042		1,289,168		150,316		2,187,526
5	—		—		—		—		284,809		—		284,809
Total loans receivable	$	2,386,613	$	10,621,340	$	882,250	$	4,473,386	$	4,350,770	$	994,631	$	23,708,990
CECL reserve													(122,221)
Loans receivable, net													$	23,586,769

(1)Date loan was ~~primarily driven~~originated or acquired by ~~repayments~~us. Origination dates are subsequently updated to reflect material loan modifications.

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 Rating	2021		2020		2019		2018		2017		Prior		Total
U.S. loans
1	$	125,873	$	—	$	196,017	$	72,752	$	248,134	$	—	$	642,776
2	876,536		427,839		221,513		1,134,176		354,775		82,274		3,097,113
3	7,511,883		358,448		1,109,170		1,116,872		292,520		228,264		10,617,157
4	—		—		96,539		534,938		63,358		89,439		784,274
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	$	—	$	—	$	—	$	—	$	—	$	—	$	—
2	698,130		98,412		1,306,878		—		—		—		2,103,420
3	1,403,110		—		932,939		394,949		—		—		2,730,998
4	—		—		343,030		—		—		—		343,030
5	—		—		—		—		—		—		—
Total Non-U.S. loans	$	2,101,240	$	98,412	$	2,582,847	$	394,949	$	—	$	—	$	5,177,448
Unique loans
1	$	—	$	—	$	—	$	—	$	—	$	—	$	—
2	—		—		—		—		—		—		—
3	—		—		—		197,018		—		58,854		255,872
4	—		—		322,787		820,781		—		—		1,143,568
5	—		—		—		—		—		—		—
Total unique loans	$	—	$	—	$	322,787	$	1,017,799	$	—	$	58,854	$	1,399,440
Impaired loans
1	$	—	$	—	$	—	$	—	$	—	$	—	$	—
2	—		—		—		—		—		—		—
3	—		—		—		—		—		—		—
4	—		—		—		—		—		—		—
5	—		—		—		284,809		—		—		284,809
Total impaired loans	$	—	$	—	$	—	$	284,809	$	—	$	—	$	284,809
Total loans receivable
1	$	125,873	$	—	$	196,017	$	72,752	$	248,134	$	—	$	642,776
2	1,574,666		526,251		1,528,391		1,134,176		354,775		82,274		5,200,533
3	8,914,993		358,448		2,042,109		1,708,839		292,520		287,118		13,604,027
4	—		—		762,356		1,355,719		63,358		89,439		2,270,872
5	—		—		—		284,809		—		—		284,809
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 ~~loans with lower risk ratings, and not rating downgrades~~our held-to-maturity debt securities which represents our subordinate position we own in the ~~existing portfolio.~~

~~We did not have any impaired loans, nonaccrual loans, or loans~~2018 Single Asset Securitization, and is included in ~~maturity default as~~other assets on our consolidated balance sheets. See Note 4 for details of ~~September 30, 2017 or December 31, 2016.~~

the subordinate position we own in the 2018 Single Asset Securitization.

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, 2017,~~March 31, 2022 and December 31, 2021, our Multifamily Joint Venture held ~~$146.1~~$833.2 million and $746.9 million of loans, respectively, which are included in the loan disclosures above. Refer to Note 2 for additional discussion of our Multifamily Joint Venture.

~~4. EQUITY INVESTMENT IN UNCONSOLIDATED SUBSIDIARY~~

Our equity investment in unconsolidated subsidiary consisted solely of our carried interest in CTOPI, a fund formerly sponsored and managed by an affiliate of our Manager. The investment was fully realized as of December 31, 2016 and we no longer have any investments in unconsolidated subsidiaries on our consolidated financial statements.

Our carried interest in CTOPI entitled us to earn promote revenue in an amount equal to 17.7% of the fund’s profits, after a 9% preferred return and 100% return of capital to the CTOPI partners. We recognized $2.1 million and $2.2 million of promote income from CTOPI in respect of our carried interest and recorded such amounts in our consolidated statements of operations during the three and nine months ended September 30, 2016, respectively.

~~CTOPI Incentive Management Fee Grants~~

In January 2011, we created a management compensation pool for employees equal to 45% of the CTOPI promote distributions received by us. During the nine months ended September 30, 2016, we recognized $1.1 million of expenses under the CTOPI incentive plan. Such amounts were recognized as a component of general and administrative expenses in our consolidated statement of operations.

~~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, 2017      December 31, 2016
Accrued interest receivable
   $ 34,715    $ 32,871
Collateral deposited under derivative agreements
   7,750    79
Derivative assets
   1,628    4,086
Loan portfolio payments held by servicer⁽¹⁾
   845    5,765
Prepaid expenses
   469    803
Prepaid taxes
   34    16
Other
   239    450




Total
   $     45,680    $     44,070


	March 31, 2022		December 31, 2021
Accrued interest receivable	$	94,939	$	86,101
Derivative assets	51,884		30,531
Loan portfolio payments held by servicer(1)	23,034		77,624
Accounts receivable and other assets	2,153		572
Prepaid expenses	637		956

Debt securities held-to-maturity(2)	—		78,083
CECL reserve	—		(70)
Debt securities held-to-maturity, net	—		78,013

Total	$	172,647	$	273,797

(1)Represents loan principal, interest payments, and related loan fees 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 three months ended March 31, 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.

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 months ended March 31, 2022 and 2021 ($ in thousands):


~~(1)~~	~~Represents loan principal and interest payments held by our third-party loan servicer~~Debt Securities Held-To-Maturity Total
CECL reserve as of ~~the balance sheet date which were remitted to us during the subsequent remittance cycle.~~ December 31, 2020	$	1,723
Decrease in CECL reserve	(834)
CECL reserve as of March 31, 2021	$	889

CECL reserve as of December 31, 2021	$	70
Decrease in CECL reserve	(70)
CECL reserve as of March 31, 2022	$	—

Changes to the CECL reserve are recognized through net income on our consolidated statements of operations. During the three months ended March 31, 2022, our debt securities held-to-maturity repaid and, therefore, we recorded a decrease of $70,000 in the CECL reserve against our debt securities held-to-maturity, bringing our total CECL reserve to zero as of March 31, 2022. During the three months ended March 31, 2021, we recorded a decrease of $834,000 in the CECL reserve against our debt securities held-to-maturity, bringing our total CECL reserve to $889,000 as of March 31, 2021.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Other Liabilities

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

     September��30, 2017      December 31, 2016
Accrued dividends payable
   $ 58,793    $ 58,615
Accrued interest payable
   19,922    9,049
Accrued management and incentive fees payable
   13,243    12,798
Derivative liabilities
   7,167    210
Accounts payable and other liabilities
   2,633    1,775
Secured debt repayments pending servicer remittance⁽¹⁾
   —      5,372




Total
   $     101,758    $     87,819


	March 31, 2022		December 31, 2021
Accrued dividends payable	$	105,576	$	104,271
Accrued interest payable	37,479		29,851
Accrued management and incentive fees payable	23,486		28,373
Accounts payable and other liabilities	11,005		9,046
Current expected credit loss reserve for unfunded loan commitments(1)	6,254		6,263
Derivative liabilities	6,241		5,890
Secured debt repayments pending servicer remittance(2)	271		47,664
Total	$	190,312	$	231,358


~~(1)~~				~~Represents pending transfers from our third-party loan servicer that were remitted to our banking counterparties during the subsequent remittance cycle.~~

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

(2)Represents pending transfers from our third-party loan servicer that were remitted to our banking counterparties during the subsequent remittance cycle.

Current Expected Credit Loss Reserve for Unfunded Loan Commitments

As of March 31, 2022, we had unfunded commitments of $4.5 billion related to 126 loans receivable. The expected credit losses over the contractual period of our loans are subject to the obligation to extend credit through our unfunded loan commitments. See Note 2 for further discussion of the CECL reserve related to our unfunded loan commitments, and Note 20 for further discussion of our unfunded loan commitments. The following table presents the activity in the CECL reserve related to our unfunded loan commitments by investment pool for the three months ended March 31, 2022 and March 31, 2021 ($ in thousands):


	U.S. Loans		Non-U.S. Loans		Unique Loans		Impaired Loans		Total
Unfunded Loan Commitments
CECL reserve as of December 31, 2020	$	6,953	$	2,994	$	84	$	—	$	10,031
Increase (decrease) in CECL reserve	216		778		(4)		—		990
CECL reserve as of March 31, 2021	$	7,169	$	3,772	$	80	$	—	$	11,021

CECL reserve as of December 31, 2021	$	4,072	$	2,191	$	—	$	—	$	6,263
Increase (decrease) in CECL reserve	209		(218)		—		—		(9)
CECL reserve as of March 31, 2022	$	4,281	$	1,973	$	—	$	—	$	6,254

Changes to the CECL reserve are recognized through net income on our consolidated statements of operations. During the three months ended March 31, 2022, we recorded a decrease of $9,000 in the current expected credit loss reserve against our loans receivable portfolio, bringing our total CECL reserve to $6.3 million as of March 31, 2022. During the three months ended March 31, 2021, we recorded an increase of $990,000 in the current expected credit loss reserve against our loans receivable portfolio, bringing our total CECL reserve to $11.0 million as of March 31, 2021. The CECL reserve for unfunded loan commitments is updated quarterly to reflect the expected timing of future funding obligations over the estimated life of the loan.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

5. SECURED DEBT, ~~AGREEMENTS,~~ NET

Our secured debt ~~agreements include~~includes our secured credit facilities and acquisition facility. During the ~~GE portfolio acquisition~~three months ended March 31, 2022, we obtained approval for $2.1 billion of new borrowings against $2.7 billion of collateral assets. Additionally, during the three months ended March 31, 2022, we (i) entered into 1 new secured credit facility ~~asset-specific financings,~~providing $1.0 billion of credit capacity and ~~a revolving~~(ii) increased the size of 3 existing secured credit ~~agreement.~~facilities providing an aggregate $417.8 million of additional credit capacity. The following table details our secured debt ~~agreements~~ ($ in thousands):

   Secured Debt Agreements
   Borrowings Outstanding
     September 30, 2017      December 31, 2016
Credit facilities
   $ 4,386,645    $ 3,572,837
GE portfolio acquisition facility
   1,090,946    1,479,582
Asset-specific financings
   517,256    679,207
Revolving credit agreement
   101,750    —




Total secured debt agreements
   $ 6,096,597    $ 5,731,626




Deferred financing costs⁽¹⁾
   (17,462 )    (15,272 )




Net book value of secured debt
   $ 6,079,135    $ 5,716,354


	Secured Debt Borrowings Outstanding
	March 31, 2022		December 31, 2021
Secured credit facilities	$	13,117,249	$	12,299,580
Acquisition facility	—		—
Total secured debt	$	13,117,249	$	12,299,580
Deferred financing costs(1)	(24,841)		(19,538)
Net book value of secured debt	$	13,092,408	$	12,280,042


~~(1)~~				Costs incurred in connection with our secured debt agreements are recorded on our consolidated balance sheet when incurred and recognized as a component of interest expense over the life of each related agreement.

(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.

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.

The following table details our secured credit facilities by spread over the applicable base rates as of March 31, 2022 ($ in thousands):


March 31, 2022
									Recourse Limitation
Currency	Lenders(1)	Borrowings		Wtd Avg. Maturity(2)	Loan Count	Collateral(3)		Wtd Avg. Maturity(4)	Wtd. Avg.	Range
USD	14	$	7,961,788	12/13/2025	153	$	11,890,070	2/5/2026	35%	25% - 100%
EUR	6	2,288,852		7/6/2025	10	3,060,991		7/13/2025	46%	25% - 100%
GBP	6	1,901,230		10/16/2025	17	2,511,880		11/5/2025	26%	25% - 50%
Others(5)	4	965,379		6/2/2025	7	1,247,765		7/24/2025	25%	25%
Total	14	$	13,117,249	10/23/2025	185	$	18,710,706	12/8/2025	35%	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)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.

(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 Swedish Krona, Australian Dollar, Canadian Dollar, Swiss Franc, and Danish Krone 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.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

~~Credit Facilities~~

During the nine months ended September 30, 2017, we added two new credit facilities related to our Multifamily Joint Venture, providing an aggregate additional $450.0 million of credit capacity, increased the maximum facility size of two of our existing credit facilities, providing an additional £250.0 million and €250.0 million of credit capacity, respectively, and converted one of our asset-specific financings to a $500.0 million credit facility.

The following tables detail the spread of our ~~credit facilities~~secured debt as of March 31, 2022 and December 31, 2021 ($ in thousands):

   September 30, 2017
   Maximum    Collateral    Credit Borrowings
Lender
   Facility Size⁽¹⁾    Assets⁽²⁾    Potential⁽³⁾    Outstanding    Available⁽³⁾
Wells Fargo
   $ 2,000,000    $ 2,232,117    $ 1,724,227    $ 1,398,224    $ 326,003
MetLife
   1,000,000    1,030,148    807,164    807,164    —
Bank of America
   750,000    818,359    641,066    641,066    —
Citibank⁽⁴⁾
   795,350    596,119    464,849    356,751    108,098
JP Morgan⁽⁵⁾
   500,000    453,121    344,656    295,984    48,672
Deutsche Bank
   500,000    393,564    295,743    295,743    —
Société Générale⁽⁶⁾
   472,560    332,761    266,000    266,000    —
Morgan Stanley⁽⁷⁾
   669,900    422,332    331,037    211,105    119,932
Bank of America - Multi. JV⁽⁸⁾
   200,000    87,000    69,600    69,600    —
Goldman Sachs - Multi. JV⁽⁸⁾
   250,000    59,125    45,008    45,008    —










   $     7,137,810    $     6,424,646    $     4,989,350    $     4,386,645    $     602,705

   December 31, 2016
   Maximum    Collateral    Credit Borrowings
Lender
   Facility Size⁽¹⁾    Assets⁽²⁾    Potential⁽³⁾    Outstanding    Available⁽³⁾
Wells Fargo
   $ 2,000,000    $ 1,718,874    $ 1,339,942    $ 1,107,733    $ 232,209
MetLife
   1,000,000    1,106,017    862,454    862,454    —
Bank of America
   750,000    794,881    617,694    617,694    —
JP Morgan⁽⁵⁾
   500,000    550,560    420,414    316,219    104,195
Morgan Stanley⁽⁷⁾
   308,500    344,056    272,221    231,930    40,291
Citibank⁽⁴⁾
   500,000    508,989    394,677    229,629    165,048
Société Générale⁽⁶⁾
   420,680    274,351    207,178    207,178    —










   $     5,479,180    $     5,297,728    $     4,114,580    $     3,572,837    $     541,743


	Three Months Ended March 31, 2022		March 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)(6)		Net Interest Margin(7)
+ 1.50% or less	$	1,267,118	$	8,320,043	+1.51	%	$	11,497,642	+3.18	%	+1.67	%
+ 1.51% to + 1.75%	283,924		2,825,032		+1.87	%	4,124,634		+3.60	%	+1.73	%
+ 1.76% to + 2.00%	74,596		1,060,611		+2.17	%	1,623,549		+4.35	%	+2.18	%
+ 2.01% or more	26,091		911,563		+2.52	%	1,464,881		+4.79	%	+2.27	%
Total	$	1,651,729	$	13,117,249	+1.71	%	$	18,710,706	+3.50	%	+1.79	%


	Year Ended December 31, 2021		December 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)(6)		Net Interest Margin(7)
+ 1.50% or less	$	5,306,925	$	7,746,026	+1.52	%	$	10,193,801	+3.18	%	+1.66	%
+ 1.51% to + 1.75%	1,477,177		2,710,587		+1.88	%	3,977,492		+3.55	%	+1.67	%
+ 1.76% to + 2.00%	668,470		998,781		+2.13	%	1,458,074		+4.28	%	+2.15	%
+ 2.01% or more	310,991		844,186		+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	%


~~(1)~~				~~Maximum facility size represents the largest amount of borrowings available under a given facility once sufficient collateral assets have been approved by the lender and pledged by us.~~
~~(2)~~

(1)The spread, all-in cost, and all-in yield are expressed over the relevant floating benchmark rates, which include USD LIBOR, SOFR, SONIA, GBP LIBOR, EURIBOR, and other indices as applicable.

(2)Represents borrowings outstanding as of March 31, 2022 and December 31, 2021, respectively, for new financings during the three months ended March 31, 2022 and year ended December 31, 2021, 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.

(4)Represents the weighted-average all-in cost as of March 31, 2022 and December 31, 2021, respectively, and is not necessarily indicative of the spread applicable to recent or future borrowings.

(5)Represents the principal ~~balance of the collateral assets.~~

~~(3)~~

Potential borrowings represents the total amount we could draw under each facility based on collateral already approved and pledged. When undrawn, these amounts are immediately available to us at our sole discretion under the terms of each credit facility.

~~(4)~~

As of September 30, 2017, the Citibank maximum facility size was composed of a general $500.0 million facility size denominated in U.S. Dollars plus a general €250.0 million ($295.4 million) facility size that contemplated British Pound Sterling and Euro borrowings. As of December 31, 2016, the maximum facility size was composed of a general $500.0 million facility.

~~(5)~~

As of September 30, 2017 and December 31, 2016, the JP Morgan maximum facility size was composed of a general $500.0 million facility size, under which U.S. Dollars and British Pound Sterling borrowings are contemplated.

~~(6)~~

As of September 30, 2017 and December 31, 2016, the Société Générale maximum facility size was composed of a €400.0 million facility size that was translated to $472.6 million and $420.7 million, respectively. Borrowings denominated in U.S. Dollars, British Pound Sterling, and Euro are contemplated under this facility.

~~(7)~~

As of September 30, 2017, the Morgan Stanley maximum facility size was composed of a £500.0 million facility size that was translated to $669.9 million. As of December 31, 2016, the maximum facility size was composed of a £250.0 million facility size that was translated to $308.5 million. Borrowings denominated in U.S. Dollars, British Pound Sterling, and Euro are contemplated under this facility.

~~(8)~~

~~These facilities finance the loan investments of our consolidated Multifamily Joint Venture. Refer to Note 2 for additional discussion of our Multifamily Joint Venture.~~

~~Blackstone Mortgage Trust, Inc.~~

~~Notes to Consolidated Financial Statements (continued)~~

~~(Unaudited)~~

~~The weighted-average outstanding~~ balance of ~~our~~the collateral assets.

(6)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.

(7)Represents the difference between the weighted-average all-in yield and weighted-average all-in cost.

Our secured credit facilities ~~was $4.0 billion for~~generally permit us to increase or decrease the ~~nine months ended September 30, 2017.~~amount advanced against the pledged collateral in our discretion within certain maximum/minimum amounts and frequency limitations. As of ~~September 30, 2017, we had~~March 31, 2022, there was an aggregate ~~borrowings of $4.4~~$1.2 billion ~~outstanding~~available to be drawn at our discretion under our credit ~~facilities, with~~facilities.

Acquisition Facility

We have a weighted-average cash coupon of LIBOR plus 1.88% per annum, a weighted-average all-in cost of credit, including associated fees and expenses, of LIBOR plus 2.09% per annum, and a weighted-average advance rate of 78.8%. As of September 30, 2017, outstanding borrowings under these facilities had a weighted-average maturity, excluding extension options and term-out provisions, of 1.5 years.

The weighted-average outstanding balance of our credit facilities was $2.9 billion for the nine months ended September 30, 2016. As of December 31, 2016, we had aggregated borrowings of $3.6 billion outstanding under our credit facilities, with a weighted-average cash coupon of LIBOR plus 1.82% per annum, a weighted-average all-in cost of credit, including associated fees and expenses, of LIBOR plus 2.02% per annum, and a weighted-average advance rate of 79.1%. As of December 31, 2016, outstanding borrowings under these facilities had a weighted-average maturity, excluding extension options and term-out provisions, of 1.5 years.

Borrowings under each facility are subject to the initial approval of eligible collateral loans by the lender and the maximum advance rate and pricing rate of individual advances are determined with reference to the attributes of the respective collateral loan.

~~The following tables outline the key terms of our credit facilities as of September 30, 2017:~~


~~Lender~~	~~Currency~~	~~Guarantee~~⁽¹⁾	~~Margin Call~~⁽²⁾	~~Term/Maturity~~
~~Wells Fargo~~	$	~~25%~~	~~Collateral marks only~~	~~Term matched~~⁽³⁾
~~MetLife~~	$	~~50%~~	~~Collateral marks only~~	~~April 21, 2023~~⁽⁴⁾
~~Bank of America~~	$	~~50%~~	~~Collateral marks only~~	~~May 21, 2021~~⁽⁵⁾
~~Société Générale~~	~~$ / £ / €~~	~~25%~~	~~Collateral marks only~~	~~Term matched~~⁽³⁾
~~Deutsche Bank~~	$	~~35%~~	~~Collateral marks only~~	~~Term matched~~⁽³⁾
~~Citibank~~	~~$ / £ / €~~	~~25%~~	~~Collateral marks only~~	~~Term matched~~⁽³⁾
~~Morgan Stanley~~	~~$ / £ / €~~	~~25%~~	~~Collateral marks only~~	~~March 3, 2020~~
~~JP Morgan~~	~~$ / £~~	~~50%~~	~~Collateral marks only~~	~~January 7, 2020~~
~~Bank of America - Multi. JV~~⁽⁶⁾	$	~~43%~~	~~Collateral marks only~~	~~July 19, 2021~~
~~Goldman Sachs - Multi. JV~~⁽⁶⁾	$	~~25%~~	~~Collateral marks only~~	~~July 12, 2020~~


~~(1)~~		~~Other than amounts guaranteed based on specific collateral asset types, borrowings under our credit facilities are non-recourse to us.~~
~~(2)~~		~~Margin call provisions under our credit facilities do not permit valuation adjustments based on capital markets events, and are limited to collateral-specific credit marks.~~
~~(3)~~		These credit facilities have various availability periods during which new advances can be made and which are generally subject to each lender’s discretion. Maturity dates for advances outstanding are tied to the term of each respective collateral asset.
~~(4)~~		~~Includes five one-year extension options which may be exercised at our sole discretion.~~
~~(5)~~		~~Includes two one-year extension options which may be exercised at our sole discretion.~~
~~(6)~~		~~These facilities finance the loan investments of our consolidated Multifamily Joint Venture. Refer to Note 2 for additional discussion of our Multifamily Joint Venture.~~

Currency
   Outstanding
Borrowings    Potential
Borrowings⁽¹⁾                        Index                         Rate⁽²⁾    Advance
Rate⁽³⁾
$    $  4,123,064    $  4,610,777    1-month USD LIBOR    L+1.86%    78.8%
€    €       66,186    €       87,786    3-month EURIBOR    L+2.24%    80.0%
£    £     138,371    £     205,152    3-month GBP LIBOR    L+2.24%    78.6%








   $  4,386,645    $  4,989,350       L+1.88%    78.8%


~~(1)~~		Potential borrowings represents the total amount we could draw under each facility based on collateral already approved and pledged. When undrawn, these amounts are immediately available to us at our sole discretion under the terms of each credit facility.
~~(2)~~		~~Represents weighted-average cash coupon based on borrowings outstanding.~~
~~(3)~~		~~Represents weighted-average advance rate based on the outstanding principal balance of the collateral assets pledged.~~

~~Blackstone Mortgage Trust, Inc.~~

~~Notes to Consolidated Financial Statements (continued)~~

~~(Unaudited)~~

~~GE Portfolio Acquisition Facility~~

During the second quarter of 2015, concurrently with our acquisition of the GE portfolio, we entered into an agreement with Wells Fargo to provide us with secured financing for the acquired portfolio. As of September 30, 2017, this facility provided for $1.2 billion of financing, of which $1.1 billion was outstanding and an additional $129.4$250.0 million was available to finance future loan fundings in the GE portfolio. The GE portfolio acquisition facility is non-revolving and consists of a single master repurchase agreement providing for asset-specific borrowings for each collateral asset.

The asset-specific borrowings under the GE portfolio acquisition facility were advanced at a weighted-average rate of 80% of our purchase price of the collateral assets and are repaid pro rata from collateral asset repayment proceeds. The asset-specific borrowings are currency matched to the collateral assets and accrue interest at a rate equal to the sum of (i) the applicable base rate plus (ii) a margin of 1.75%, which will increase to 1.80% and 1.85% in year four and year five, respectively. As of September 30, 2017, those borrowings were denominated in U.S. Dollars, Canadian Dollars, and British Pounds Sterling. The asset-specific borrowings are term matched to the underlying collateral assets with an outside maturity date of May 20, 2020, which may be extended pursuant to two one-year extension options. We guarantee obligations under the GE portfolio acquisition facility in an amount equal to the greater of (i) 25% of outstanding asset-specific borrowings, and (ii) $250.0 million. We had outstanding asset-specific borrowings under the GE portfolio acquisition facility of $1.1 billion and a weighted-average all-in cost of credit, including associated fees and expenses, of LIBOR plus 1.75% per annum as of September 30, 2017, compared to $1.5 billion of outstanding asset-specific borrowings and a weighted-average all-in cost of credit, including associated fees and expenses, of LIBOR plus 1.83% per annum as of December 31, 2016.

~~Asset-Specific Financings~~

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

   September 30, 2017
Asset-Specific Financings
   Count    Principal
Balance    Book Value    Wtd. Avg.
Yield/Cost⁽¹⁾ Guarantee⁽²⁾    Wtd. Avg.
Term⁽³⁾
Collateral assets
   5    $     662,223    $     659,152    L+4.70 % n/a    Dec. 2020
Financing provided⁽⁴⁾
   5    $ 517,256    $ 516,537    L+2.48 % $ 162,517    Dec. 2020


~~(1)~~		These floating rate loans and related liabilities are indexed to the various benchmark rates relevant in each arrangement in terms of currency and payment frequency. Therefore the net exposure to each benchmark rate is in direct proportion to our net assets indexed to that rate. In addition to cash coupon, yield/cost includes the amortization of deferred origination fees / financing costs.
~~(2)~~		~~Other than amounts guaranteed on an asset-by-asset basis, borrowings under our asset-specific financings are non-recourse to us.~~
~~(3)~~		The weighted-average term is determined based on the maximum maturity of the corresponding loans, assuming all extension options are exercised by the borrower. Each of our asset-specific financings are term-matched to the corresponding collateral loans.
~~(4)~~		~~Borrowings of $394.8 million under these asset specific financings are cross collateralized with related credit facilities with the same lenders.~~

   December 31, 2016
Asset-Specific Financings
   Count    Principal
Balance    Book Value    Wtd. Avg.
Yield/Cost⁽¹⁾ Guarantee⁽²⁾    Wtd. Avg.
Term⁽³⁾
Collateral assets
   7    $     876,083    $     869,417    L+4.84 % n/a    Aug. 2020
Financing provided⁽⁴⁾
   7    $ 679,207    $ 676,333    L+2.60 % $ 231,585    Aug. 2020


~~(1)~~		These floating rate loans and related liabilities are indexed to the various benchmark rates relevant in each arrangement in terms of currency and payment frequency. Therefore the net exposure to each benchmark rate is in direct proportion to our net assets indexed to that rate. In addition to cash coupon, yield/cost includes the amortization of deferred origination fees / financing costs.
~~(2)~~		~~Other than amounts guaranteed on an asset-by-asset basis, borrowings under our asset-specific financings are non-recourse to us.~~
~~(3)~~		The weighted-average term is determined based on the maximum maturity of the corresponding loans, assuming all extension options are exercised by the borrower. Each of our asset-specific financings are term-matched to the corresponding collateral loans.
~~(4)~~		~~Borrowings of $392.3 million under these asset specific financings are cross collateralized with related credit facilities with the same lenders.~~

~~Blackstone Mortgage Trust, Inc.~~

~~Notes to Consolidated Financial Statements (continued)~~

~~(Unaudited)~~

The weighted-average outstanding balance of our asset-specific financings was $596.2 million for the nine months ended September 30, 2017 and $557.9 million for the nine months ended September 30, 2016.

~~Revolving Credit Agreement~~

~~During the second quarter of 2017, we increased the borrowing capacity under our secured revolving credit agreement with Barclays by $125.0 million to $250.0 million. This~~ full recourse secured credit facility that is designed to finance eligible first mortgage originations for up to ~~six~~nine months as a bridge to term financing ~~or syndication. Advances~~without obtaining discretionary lender approval. The cost of borrowing under the agreement are subject to availability under a specified borrowing base and accrue interest at a per annum pricing rate equal to the sum of (i) an applicable base rate or Eurodollar rate and (ii) an applicable margin, in each case,facility is variable, dependent on the ~~applicable~~ type of loan ~~collateral. The~~collateral, and its maturity date ~~of the facility~~ is April 4, ~~2020.~~

2023.

During the ~~nine~~three months ended ~~September 30, 2017, the weighted-average outstanding~~March 31, 2022, we had no borrowings under the ~~revolving credit agreement were $23.5 million~~acquisition facility and we recorded interest expense of ~~$1.7 million,~~$306,000, including ~~$575,000~~$87,000 of amortization of deferred fees and expenses. ~~As of September 30, 2017,~~

During the year ended December 31, 2021, we had ~~$101.8 million of borrowings outstanding under the agreement.~~

~~During the nine months ended September 30, 2016, the weighted-average outstanding~~no borrowings under the ~~revolving credit agreement were $19.5 million~~acquisition facility and we recorded interest expense of ~~$915,000,~~$1.2 million, including ~~$248,000~~$354,000 of amortization of deferred fees and expenses. ~~As of December 31, 2016 we had no outstanding borrowings under~~

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Financial Covenants

We are subject to the ~~agreement.~~

~~Debt Covenants~~

~~Each of the guarantees~~following financial covenants related to our secured ~~debt agreements contain the following uniform financial covenants:~~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 ~~$1.9~~$3.5 billion as of each measurement date plus 75% to 85% of the net cash proceeds of future equity issuances subsequent to ~~September 30, 2017;~~March 31, 2022; (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, 2017~~March 31, 2022 and December 31, ~~2016,~~2021, we were in compliance with these covenants.

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 ($ in thousands):


	March 31, 2022
Securitized Debt Obligations		Count	Principal Balance		Book Value		Wtd. Avg. Yield/Cost(1)(2)		Term(3)
2021 FL4 Collateralized Loan Obligation
Collateral assets		33	$	1,000,000	$	1,000,000	+ 3.54	%	March 2025
Financing provided		1	803,750		797,870		+ 1.56	%	May 2038
2020 FL3 Collateralized Loan Obligation
Collateral assets		16	1,000,000		1,000,000		+ 3.18	%	September 2024
Financing provided		1	808,750		804,658		+ 2.03	%	November 2037
2020 FL2 Collateralized Loan Obligation
Collateral assets		18	1,500,000		1,500,000		+ 3.29	%	August 2024
Financing provided		1	1,243,125		1,237,290		+ 1.39	%	February 2038
Total
Collateral assets		67	$	3,500,000	$	3,500,000	+ 3.33	%
Financing provided(4)		3	$	2,855,625	$	2,839,818	+ 1.62	%

(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 USD LIBOR and one-month SOFR, as applicable to each securitized debt obligation. As of March 31, 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%. As of March 31, 2022, one-month SOFR was 0.30% and one-month USD LIBOR was 0.45%.

(3)Loan term represents weighted-average final maturity, assuming all extension options are exercised by the borrower. Repayments of securitized debt obligations are tied to timing of the related collateral loan asset repayments. The term of these obligations represents the rated final distribution date of the securitizations.

(4)During the three months ended March 31, 2022, we recorded $11.0 million of interest expense related to our securitized debt obligations.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)


	December 31, 2021
Securitized Debt Obligations		Count	Principal Balance		Book Value		Wtd. Avg. Yield/Cost(1)(2)		Term(3)
2021 FL4 Collateralized Loan Obligation
Collateral assets		34	$	1,000,000	$	1,000,000	+ 3.42	%	October 2024
Financing provided		1	803,750		797,373		+ 1.66	%	May 2038
2020 FL3 Collateralized Loan Obligation
Collateral assets		18	1,000,000		1,000,000		+ 3.06	%	May 2024
Financing provided		1	808,750		804,096		+ 2.10	%	November 2037
2020 FL2 Collateralized Loan Obligation
Collateral assets		21	1,500,000		1,500,000		+ 3.15	%	March 2024
Financing provided		1	1,243,125		1,236,593		+ 1.45	%	February 2038
Total
Collateral assets		73	$	3,500,000	$	3,500,000	+3.20	%
Financing provided(4)		3	$	2,855,625	$	2,838,062	+1.69	%

(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 USD LIBOR. As of December 31, 2021, 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%. As of December 31, 2021, one-month SOFR was 0.05% and one-month USD LIBOR was 0.10%.

(4)During the three months ended March 31, 2021, we recorded $12.1 million of interest expense related to our securitized debt obligations.

7. ASSET-SPECIFIC DEBT, NET

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


	March 31, 2022
Asset-Specific Debt		Count	Principal Balance		Book Value		Wtd. Avg. Yield/Cost(1)		Wtd. Avg. Term(2)
Collateral assets		2	$	520,527	$	510,190	+ 4.45	%	July 2025
Financing provided		2	$	469,766	$	463,097	+ 3.24	%	July 2025

	December 31, 2021
Asset-Specific Debt		Count	Principal Balance		Book Value		Wtd. Avg. Yield/Cost(1)		Wtd. Avg. Term(2)
Collateral assets		4	$	446,276	$	435,727	+ 4.04	%	March 2025
Financing provided		4	$	400,699	$	393,824	+ 2.78	%	March 2025

(1)These floating rate loans and related liabilities are indexed to the various benchmark rates relevant in each arrangement in terms of currency and payment frequency. Therefore the net exposure to each benchmark rate is in direct proportion to our net assets indexed to that rate. In addition to cash coupon, yield/cost includes the amortization of deferred origination fees / financing costs.

(2)The weighted-average term is determined based on the maximum maturity of the corresponding loans, assuming all extension options are exercised by the borrower. Each of our asset-specific debt is term-matched to the corresponding collateral loans.

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

~~Blackstone Mortgage Trust, Inc.~~

~~Notes to Consolidated Financial Statements (continued)~~

~~(Unaudited)~~

The following tables detail our loan participations sold ($ in thousands):

   September 30, 2017
Loan Participations Sold
   Count    Principal
Balance    Book Value    Yield/Cost⁽¹⁾ Guarantee⁽²⁾    Term
Total loan
   1    $ 93,710    $ 91,498    L+5.96 % n/a    Feb. 2022
Senior participation⁽³⁾
   1      33,193    33,193    L+4.00 % n/a    Feb. 2022
   December 31, 2016
Loan Participations Sold
   Count    Principal
Balance    Book Value    Yield/Cost⁽¹⁾ Guarantee⁽²⁾    Term
Total loan
   1    $   419,560    $ 416,233    L+4.48 % n/a    Dec. 2019
Senior participation⁽³⁾⁽⁴⁾
   1    349,633      348,077    L+2.72 % $   29,616    Dec. 2019


	March 31, 2022
Loan Participations Sold		Count	Principal Balance		Book Value		Wtd. Avg. Yield/Cost(1)		Term(2)
Total Loan		1	$	305,459	$	302,423	+ 4.86	%	March 2027
Senior Participation		1	$	244,367	$	243,760	+ 3.20	%	March 2027

(1)The loan and related participation sold is indexed to SONIA. 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 / 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.

We did not have any loan participations sold as of December 31, 2021.

9. TERM LOANS, NET

As of March 31, 2022, the following senior term loan facilities, or Term Loans, were outstanding ($ in thousands):

Term Loans

Face Value

Interest Rate(1)

All-in Cost(1)(2)

Maturity

B-1 Term Loan

927,500

+ 2.25

+ 2.53

April 23, 2026

B-2 Term Loan

418,337

+ 2.75

+ 3.42

April 23, 2026


~~(1)~~		Our floating rate loans and related liabilities are indexed to the various benchmark rates relevant in each arrangement in terms of currency and payment frequency. Therefore the net exposure to each benchmark rate is in direct proportion to our net assets indexed to that rate. In addition to cash coupon, yield/cost includes the amortization of deferred fees / financing costs.
~~(2)~~	As of September 30, 2017, our loan participation sold was non-recourse to us. As of December 31, 2016, our loan participation was subject to a related guarantee agreement for £24.0 million ($29.6 million as of December 31, 2016).
~~(3)~~	During the three and nine months ended September 30, 2017, we recorded $4.0 million and $9.3 million, respectively, of interest expense related to our loan participations sold, of which $2.6 million and $7.7 million was paid in cash. During the three and nine months ended September 30, 2016, we recorded $3.4 million and $10.7 million, respectively, of interest expense related to our loan participations sold, of which $3.2 million and $10.3 million was paid in cash.
~~(4)~~	~~The difference between principal balance and book value of loan participations sold is due to deferred financing costs of $1.6 million as of December 31, 2016.~~

~~8. SECURITIZED DEBT OBLIGATIONS, NET~~

~~In the second quarter~~

(1)The B-2 Term Loan borrowing is subject to a LIBOR floor of 2017, we financed one of our loans through a single asset securitization vehicle, or the Securitization, which is consolidated in our financial statements. The Securitization has issued securitized debt obligations0.50%.

(2)Includes issue discount and transaction expenses that are ~~non-recourse~~amortized through interest expense over the life of the Term Loans.

The Term Loans are partially amortizing, with an amount equal to ~~us. Refer to Note 16 for further discussion~~1.0% per annum of ~~our Securitization.~~

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, which will be amortized into interest expense over the life of the B-1 Term Loan. The issue discount and transaction expenses of the B-2 Term Loan were $9.6 million and $5.4 million, respectively, which will be amortized into interest expense over the life of the B-2 Term Loan.

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

   September 30, 2017
Securitized Debt Obligations
   Count    Principal
Balance    Book Value    Yield/Cost⁽¹⁾ Term⁽²⁾
Total loan
   1    $   644,788    $ 641,262    L+3.60 % June 2023
Securitized debt obligations⁽³⁾
   1    474,620    474,298    L+1.94 % June 2033


	March 31, 2022		December 31, 2021
Face value	$	1,345,837	$	1,349,271
Unamortized discount	(8,683)		(9,209)
Deferred financing costs	(11,932)		(12,656)
Net book value	$	1,325,222	$	1,327,406

The guarantee under our Term Loans contains the financial covenant that our indebtedness shall not exceed 83.33% of our total assets. As of March 31, 2022 and December 31, 2021, we were in compliance with this covenant. Refer to Note 2 for additional discussion of our accounting policies for the Term Loans.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

10. SENIOR SECURED NOTES, NET

As of March 31, 2022, the following Senior Secured Notes, were outstanding ($ in thousands):


Senior Secured Notes	Face Value		Interest Rate		All-in Cost(1)		Maturity
Senior Secured Notes	$	400,000	3.75	%	4.04	%	January 15, 2027


~~(1)~~		~~In addition to cash coupon, yield/cost includes the amortization of deferred origination fees / financing costs.~~
~~(2)~~	Loan term represents final maturity, assuming all extension options are exercised by the borrower. Repayments of securitized debt obligations are tied to timing of the related collateral loan asset repayments. The term of these obligations represents the rated final distribution date of the securitization.
~~(3)~~	~~During the three and nine months ended September 30, 2017, we recorded $3.8 million of interest expense related to our securitized debt obligations.~~

~~We did~~

(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 be amortized into interest expense over the life of the Senior Secured Notes.

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


	March 31, 2022		December 31, 2021
Face value	$	400,000	$	400,000
Deferred financing costs	(5,697)		(5,990)
Net book value	$	394,303	$	394,010

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 ~~have any securitized debt obligations~~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 March 31, 2022 and December 31, ~~2016.~~

2021, we were in compliance with these covenants.

~~Blackstone Mortgage Trust, Inc.~~

~~Notes to Consolidated Financial Statements (continued)~~

~~(Unaudited)~~

11. CONVERTIBLE NOTES, NET

During the three months ended March 31, 2022, we issued $300.0 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 $1,000 principal amount. As of ~~September 30, 2017,~~March 31, 2022, the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands):

Convertible Notes Issuance
   Face Value    Coupon Rate All-in Cost⁽¹⁾ Conversion Rate⁽²⁾    Maturity
November 2013
   $     172,500    5.25 % 5.87 % 36.1380    December 1, 2018
May 2017
   402,500    4.38 % 4.85 % 28.0324    May 5, 2022


Convertible Notes Issuance	Face Value		Interest Rate	All-in Cost(1)	Conversion Price(2)	Maturity
May 2017	$	337,850	4.38%	4.85%	$35.67	May 5, 2022
March 2018	$	220,000	4.75%	5.33%	$36.23	March 15, 2023
March 2022	$	300,000	5.50%	5.94%	$36.27	March 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)~~

(1)Includes issuance costs that are amortized through interest expense over the life of the Convertible Notes using the effective interest method.

(2)Represents the ~~shares of class A common stock per $1,000 principal amount of Convertible Notes, which is equivalent to a conversion~~ price ~~of $27.67 and $35.67 per share~~ of class A common stock per share based on a conversion rate of 28.0324, 27.6052, and 27.5702, respectively, for the November 2013 and May 2017 convertible notes. As a result of exceeding the cumulative dividend threshold, as defined in the November 2013 convertible notes supplemental indenture, the conversion rate on the November 2013 convertible notes was most recently adjusted on June 28, 2017 from the prior conversion rate of 35.7236 shares of class A common stock per $1,000 principal amount of convertible notes, which was equivalent to a conversion price of $27.99 per share of class A common stock. The cumulative dividend threshold as defined in the May 2017 convertible notes supplemental indenture has not been exceeded as of September 30, 2017.

In May 2017 we issued $287.5 million of convertible notes. In the third quarter of 2017, we issued an additional $115.0 million of convertible notes under the same indenture and with the same terms as the May 2017, March 2018, and March 2022 convertible notes. ~~Accordingly,~~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 May 2017, March 2018, and March 2022 convertible notes supplemental indentures have not been exceeded as of ~~September 30, 2017,~~March 31, 2022.

Other than as provided by the ~~May 2017~~optional redemption provisions with respect to our March 2022 convertible notes, ~~had an aggregate outstanding face value of $402.5 million.~~

we may not redeem the Convertible Notes prior to maturity. The Convertible Notes are convertible at the holders’ option into shares of our class A common stock, only under specific circumstances, prior to the close of business on ~~August 31,~~December 14, 2022 and December 14, 2026 for the March 2018 and ~~January 31,~~March 2022 ~~for the November 2013 and May 2017~~ convertible notes, respectively, at the applicable conversion rate in effect on the conversion date. Thereafter, the Convertible Notes are convertible at the option of the holder at any time until the second scheduled trading day immediately preceding the maturity date. ~~Neither series~~The May 2017 convertible notes are currently convertible at the option of the ~~Convertible Notes were~~holder at any time until the second scheduled trading day immediately preceding the maturity date. We have elected to settle the May 2017 convertible ~~as of September 30, 2017. We may not redeem the Convertible Notes prior to maturity.~~notes in cash. The last reported sale price of our class A common stock of ~~$31.02~~$31.79 on ~~September 29, 2017, the last trading day in the quarter ended September 30, 2017,~~March 31, 2022 was ~~greater than the per share conversion price of the November 2013 convertible notes but~~ less than the per share conversion price of the May 2017, March 2018, and March 2022 convertible notes. ~~We have the intent and ability to settle each series of the Convertible Notes in cash and, as a result, the Convertible Notes did not have any impact on our diluted earnings per share.~~

Upon our issuance of the November 2013 convertible notes, we recorded a $9.1 million discount based on the implied value of the conversion option and an assumed effective interest rate of 6.50%, as well as $4.1 million of initial issuance costs. Including the amortization of this discount and the issuance costs, our total cost of the November 2013 convertible notes issuance is 7.16% per annum. Upon our issuance of the May 2017 convertible notes, including our additional issuance in the third quarter of 2017, we recorded a $979,000 discount based on the implied value of the conversion option and an assumed effective interest rate of 4.57%, as well as $8.4 million of initial debt discount and issuance costs. Including the amortization of the discount and issuance costs, our total cost of the May 2017 convertible notes issuance is 4.91% per annum.

~~The following table details our interest expense related to the Convertible Notes ($ in thousands):~~

   Three Months Ended September 30,    Nine Months Ended September 30,
   2017    2016    2017    2016
Cash coupon
   $ 6,247    $ 2,264    $ 12,732    $ 6,792
Discount and issuance cost amortization
   1,202    691    2,869    2,038








Total interest expense
   $     7,449    $     2,955    $     15,601    $     8,830

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

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, 2017    December 31, 2016
Face value
   $     575,000    $     172,500
Unamortized discount
   (11,386 )    (5,532 )
Deferred financing costs
   (873 )    (206 )




Net book value
   $ 562,741    $ 166,762


	March 31, 2022		December 31, 2021
Face value	$	857,850	$	622,500
Unamortized discount	(7,679)		(2,472)
Deferred financing costs	(87)		(152)
Net book value	$	850,084	$	619,876

The following table details our interest expense related to the Convertible Notes ($ in thousands):


	Three Months Ended March 31,
	2022		2021
Cash coupon	$	7,252	$	7,015
Discount and issuance cost amortization	788		852
Total interest expense	$	8,040	$	7,867

Accrued interest payable for the Convertible Notes was ~~$9.0~~$6.7 million and ~~$755,000~~$6.0 million as of ~~September 30, 2017~~March 31, 2022 and December 31, ~~2016,~~2021, respectively. Refer to Note 2 for additional discussion of our accounting policies for the Convertible Notes.

~~10.~~

12. DERIVATIVE FINANCIAL INSTRUMENTS

The ~~sole~~ objective of our use of derivative financial instruments is to minimize the risks and/or costs associated with our investments and/or financing transactions. These derivatives may or may not qualify as net investment, cash flow, or fair value hedges under the hedge accounting requirements of ASC 815 – “Derivatives and Hedging.” Derivatives not designated as hedges are not speculative and are used to manage our exposure to interest rate movements and other identified risks. ~~For more information on~~Refer to Note 2 for additional discussion of the accounting for designated and non-designated ~~hedges, refer to Note 2.~~

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. ~~We do not anticipate that any of the counterparties will fail to meet their obligations.~~

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.~~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.~~

dollar.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Designated Hedges of Foreign Currency Risk

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

September 30, 2017

December 31, 2016

Foreign Currency
Derivatives

Number of
Instruments
        Notional
Amount
Foreign Currency Derivatives
   Number of
Instruments         Notional
Amount
Sell GBP Forward
   1         £ 112,700    Sell GBP Forward    2         £ 141,900
Sell CAD Forward
   1         C$     102,000    Sell CAD Forward    2         C$     122,900
              Sell EUR Forward    1         € 44,900

~~Cash Flow~~


March 31, 2022				December 31, 2021
Foreign Currency Derivatives	Number of Instruments	Notional Amount		Foreign Currency Derivatives	Number of Instruments	Notional Amount
Buy USD / Sell SEK Forward	1	kr	995,700	Buy USD / Sell SEK Forward	1	kr	999,500
Buy USD / Sell EUR Forward	10	€	718,782	Buy USD / Sell EUR Forward	7	€	731,182
Buy USD / Sell GBP Forward	9	£	609,787	Buy USD / Sell GBP Forward	2	£	489,204
Buy USD / Sell AUD Forward	4	A$	213,200	Buy USD / Sell AUD Forward	3	A$	188,600
Buy USD / Sell DKK Forward	1	kr.	163,800	Buy USD / Sell CAD Forward	2	C$	22,100
Buy USD / Sell CAD Forward	1	C$	15,600	Buy USD / Sell CHF Forward	1	CHF	5,200
Buy USD / Sell CHF Forward	1	CHF	5,200

Non-designated Hedges of ~~Interest Rate~~Foreign Currency Risk

~~Certain~~

The following table details our outstanding foreign exchange derivatives that were non-designated hedges of our financing transactions expose us to a fixed versus floating rate mismatch between our assets and liabilities. We use derivative financial instruments, which include interest rate caps and swaps, and may also include interest rate options, floors, and other interest rate derivative contracts, to hedge interest rateforeign currency risk ~~associated with our borrowings where there is potential for an index mismatch.~~

(notional amount in thousands):


March 31, 2022				December 31, 2021
Non-designated Hedges	Number of Instruments	Notional Amount		Non-designated Hedges	Number of Instruments	Notional Amount
Buy DKK / Sell USD Forward	1	kr.	341,000	Buy GBP / Sell USD Forward	3	£	170,600
Buy USD / Sell DKK Forward	1	kr.	341,000	Buy USD / Sell GBP Forward	3	£	170,600
Buy EUR / Sell USD Forward	2	€	50,400	Buy EUR / Sell USD Forward	2	€	165,560
Buy USD / Sell EUR Forward	2	€	50,400	Buy USD / Sell EUR Forward	3	€	165,560
Buy GBP / Sell USD Forward	1	£	19,900	Buy CHF / Sell USD Forward	1	CHF	20,300
Buy USD / Sell GBP Forward	1	£	19,900	Buy USD / Sell CHF Forward	1	CHF	20,300
Buy GBP / Sell EUR Forward	1	€	8,410	Buy GBP / Sell EUR Forward	1	€	8,410
Buy CAD / Sell USD Forward	1	C$	6,500
Buy USD / Sell CAD Forward	1	C$	6,500

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

~~The following tables detail our outstanding interest rate derivatives that were designated as cash flow hedges~~

Financial Statement Impact of ~~interest rate risk (notional amount in thousands):~~

September 30, 2017
Interest Rate Derivatives
Number of
Instruments Notional
Amount Strike Index Wtd.-Avg.
Maturity (Years)
Interest Rate Swaps
  4 C$ 108,183 1.0% CDOR 1.7
Interest Rate Caps
  9 $     204,248 2.4% USD LIBOR 1.7
Interest Rate Caps
  3 C$ 23,370 2.0% CDOR 0.6
December 31, 2016
Interest Rate Derivatives
Number of
Instruments Notional
Amount Strike Index Wtd.-Avg.
Maturity (Years)
Interest Rate Swaps
  4 C$ 108,271 1.0% CDOR 2.4
Interest Rate Caps
21 $ 802,256 2.0% USD LIBOR 0.4
Interest Rate Caps
  5 C$ 400,035 2.0% CDOR 0.4
Interest Rate Cap
  1 £ 15,142 2.0% GBP LIBOR 0.3

Amounts reported in accumulated other comprehensive income (loss) related to derivatives will be reclassified to interest expense as interest payments are made on our floating rate debt. During the twelve months following September 30, 2017, we estimate that an additional $561,000 will be reclassified from accumulated other comprehensive income (loss) as an increase to interest income.

~~Non-designated~~ Hedges

~~During the three and nine months ended September 30, 2017, we recorded losses~~ of $42,000 and $355,000, respectively, related to non-designated hedges that were reported as a component of interest expense in our consolidated financial statements. During the three and nine months ended September 30, 2016, we recorded losses of $528,000 and $2.2 million, respectively.

~~The following tables summarize our non-designated hedges (notional amount in thousands):~~

September 30, 2017

Non-designated Hedges
   Number of
Instruments    Notional
Amount
Buy USD / Sell GBP Forward
   1    £ 35,000
Buy GBP / Sell USD Forward
   1    £ 35,000
Buy USD / Sell CAD Forward
   1    C$ 15,000
Buy CAD / Sell USD Forward
   1    C$ 15,000
Buy GBP / Sell EUR Forward
   1    € 12,857
December 31, 2016

Non-designated Hedges
   Number of
Instruments    Notional
Amount
Interest Rate Caps
   3    $ 256,875
Interest Rate Caps
   2    C$ 37,221
Buy GBP / Sell EUR Forward
   1    € 12,857

Foreign Currency Risk

~~Blackstone Mortgage Trust, Inc.~~

~~Notes to Consolidated Financial Statements (continued)~~

~~(Unaudited)~~

~~Valuation of Derivative Instruments~~

~~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
   September 30, 2017    December 31, 2016    September 30, 2017    December 31, 2016
Derivatives designated as hedging instruments:

Foreign exchange contracts
   $ —      $ 3,268    $ 5,617    $ 210
Interest rate derivatives
   1,238    331    —      —








Total derivatives designated as hedging instruments
   $ 1,238    $ 3,599    $ 5,617    $ 210








Derivatives not designated as hedging instruments:

Foreign exchange contracts
   $ 390    $ 487    $ 1,550    $ —
Interest rate derivatives
   —      —      —      —








Total derivatives not designated as hedging instruments
   $ 390    $ 487    $ 1,550    $ —








Total Derivatives
   $ 1,628    $ 4,086    $ 7,167    $ 210

~~(1)~~

~~Included in other assets in our consolidated balance sheets.~~

~~(2)~~

~~Included in other liabilities in our consolidated balance sheets.~~

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

   Amount of Gain (Loss)
Recognized in
OCI on Derivatives    Location of
Gain (Loss)
Reclassified from
Accumulated
OCI into Income Amount of Gain
(Loss) Reclassified from
Accumulated OCI into Income
Derivatives in Hedging Relationships
   Three Months
Ended
September 30,
2017    Nine Months
Ended
September 30,
2017    Three Months
Ended
September 30,
2017    Nine Months
Ended
September 30,
2017
Net Investment Hedges

Foreign exchange contracts⁽¹⁾
   $ (8,524 )    $ (21,757 )    Interest Expense $ —      $ —
Cash Flow Hedges

Interest rate derivatives
   536    707
Interest Income
(Expense)⁽²⁾

41    (900 )








Total
   $     (7,988 )    $        (21,050 )    $     41    $       (900 )


		Increase (Decrease) to Net Interest Income Recognized from Foreign Exchange Contracts
Foreign Exchange Contracts in Hedging Relationships	Location of Income (Expense) Recognized	Three Months Ended March 31, 2022		Three Months Ended March 31, 2021
Designated Hedges	Interest Income(1)	$	1,744	$	2,049
Non-Designated Hedges	Interest Income(1)	(1)		(275)
Non-Designated Hedges	Interest Expense(2)	10		(9,328)
Total		$	1,753	$	(7,554)


~~(1)~~

(1)Represents the forward points earned on our foreign currency forward contracts, which reflect the interest rate differentials between the applicable base rate for our foreign currency investments and USD LIBOR. These forward contracts effectively convert the rate exposure to USD LIBOR, resulting in additional interest income earned in U.S. dollar terms.

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

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
Foreign Exchange Contracts	March 31, 2022		December 31, 2021		March 31, 2022		December 31, 2021
Designated Hedges	$	47,395	$	23,423	$	5,568	$	1,383
Non-Designated Hedges	4,489		7,108		673		4,507
Total Derivatives	$	51,884	$	30,531	$	6,241	$	5,890

		During the three and nine months ended September 30, 2017, we paid net cash settlements of $8.7 million and $11.8 million, respectively, on our foreign currency forward contracts, compared to receiving $19.2 million and $17.4 million during the same periods in 2016. Those amounts are included as a component of accumulated other comprehensive loss on our consolidated balance sheets.
~~(2)~~				During the three months ended September 30, 2017, we recorded total interest and related income of $146.4 million which included interest income of $41,000 related to our cash flow hedges. During the nine months ended September 30, 2017, we incurred total interest and related expenses of $168.9 million which included $900,000 related to our cash flow hedges.

(1)Included in other assets in our consolidated balance sheets.

(2)Included in other liabilities in our consolidated balance sheets.

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 Relationships	Amount of Gain (Loss) Recognized in OCI on Derivatives				Location of Gain (Loss) Reclassified from	Amount of Loss Reclassified from Accumulated OCI into Income
	Three Months Ended March 31,				Accumulated	Three Months Ended March 31,
	2022		2021		OCI into Income	2022		2021
Net Investment Hedges
Foreign exchange contracts(1)	$	45,511	$	35,070	Interest Expense	$	—	$	—
Cash Flow Hedges
Interest rate derivatives	(1)		—		Interest Expense(2)	(4)		(1)
Total	$	45,510	$	35,070		$	(4)	$	(1)

(1)During the three months ended March 31, 2022, and 2021, we received net cash settlements of $26.3 million and paid net cash settlements of $49.2 million on our foreign currency contracts, respectively. Those amounts are included as a component of accumulated other comprehensive loss on our consolidated balance sheets.

(2)During the three months ended March 31, 2022, we recorded total interest and related expenses of $100.7 million, which included $4,000 related to our cash flow hedges. During the three months ended March 31, 2021, we recorded total interest and related expenses of $78.4 million, which included $1,000 related to our cash flow hedges.

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 ~~September 30, 2017, we were in a net liability position with each such derivative counterparty and posted collateral of $7.8 million. As of December~~March 31, ~~2016~~2022, we were in a net asset position with ~~each such~~both of our derivative ~~counterparty~~counterparties and did not have any collateral posted under these derivative contracts. As of December 31, 2021, we were in a net asset position with both of our derivative counterparties and did not have any collateral ~~of $79,000.~~

posted under these derivative contracts.

~~Blackstone Mortgage Trust, Inc.~~

~~Notes to Consolidated Financial Statements (continued)~~

~~(Unaudited)~~

~~11.~~

13. EQUITY

Stock and Stock Equivalents

Authorized Capital

As of ~~September 30, 2017,~~March 31, 2022, we had the authority to issue up to ~~300,000,000~~500,000,000 shares of stock, consisting of ~~200,000,000~~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, 2017.~~

March 31, 2022 and December 31, 2021.

Class A Common Stock and Deferred Stock Units

Holders of shares of our class A common stock are entitled to vote on all matters submitted to a vote of stockholders and are entitled to receive ~~such~~ dividends ~~as may be~~ authorized by our board of directors and declared by us, in all cases subject to the rights of the holders of shares of outstanding preferred stock, if any.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

The following table details our issuance of class A common stock during the three months ended March 31, 2022 ($ in thousands, except share and per share data):

Class A Common Stock Offerings

March 31, 2022

Shares issued(1)

1,675,000

Gross / net issue price per share(2)

$31.55 / $31.23

Net proceeds(3)

52,155

(1)Issuance 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 1416 for additional discussion of these long-term incentive plans. In addition to our class A common stock, we also issue deferred stock units to certain members of our board of directors in lieu of cash compensation for services rendered. These deferred stock units are non-voting, but carry the right to receive dividends in the form of additional deferred stock units in an amount equivalent to the cash dividends paid to holders of shares of class A common stock.

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

   Nine Months Ended September 30,
Common Stock Outstanding⁽¹⁾
   2017    2016
Beginning balance
   94,709,290    93,843,847
Issuance of class A common stock⁽²⁾
   971    812
Issuance of restricted class A common stock, net
   286,773    209,798
Issuance of deferred stock units
   20,560    20,850




Ending balance
   95,017,594    94,075,307


	Three Months Ended March 31,
Common Stock Outstanding(1)	2022	2021
Beginning balance	168,543,370	147,086,722
Issuance of class A common stock(2)	1,675,639	515
Issuance of restricted class A common stock, net(3)	427,634	250,536
Issuance of deferred stock units	7,063	11,437
Ending balance	170,653,706	147,349,210


~~(1)~~		~~Includes deferred stock units held by members of our board of directors of 189,587 and 162,371 as of September 30, 2017 and 2016, respectively.~~
~~(2)~~	~~Consists of 971 and 812 shares issued under our dividend reinvestment program during the nine months ended September 30, 2017 and 2016, respectively.~~

(1)Includes 370,635 and 318,128 deferred stock units held by members of our board of directors as of March 31, 2022 and 2021, respectively.

(2)Includes 639 and 515 shares issued under our dividend reinvestment program during the three months ended March 31, 2022 and 2021, respectively.

(3)Net of 13,273 shares of restricted class A common stock forfeited under our stock-based incentive plans during the three months ended March 31, 2021. No shares of restricted class A common stock were forfeited under our stock-based incentive plan during the three months ended March 31, 2022. See Note 16 for further discussion of our stock-based incentive plans.

Dividend Reinvestment and Direct Stock Purchase Plan

On March 25, 2014, we adopted a dividend reinvestment and direct stock purchase plan, under which we registered and reserved for issuance, in the aggregate, 10,000,000 shares of class A common stock. Under the dividend reinvestment component of this plan, our class A common stockholders can designate all or a portion of their cash dividends to be reinvested in additional shares of class A common stock. The direct stock purchase component allows stockholders and new investors, subject to our approval, to purchase shares of class A common stock directly from us. During the three ~~and nine~~ months ended ~~September 30, 2017,~~March 31, 2022 and 2021, we issued ~~428~~639 shares and ~~971~~515 shares, respectively, of class A common stock under the dividend reinvestment component of the ~~plan compared to 262 shares and 812 shares for the same periods in 2016.~~plan. As of ~~September 30, 2017,~~March 31, 2022, a total of ~~9,997,356~~9,989,151 shares of class A common stock remained available for issuance under the dividend reinvestment and direct stock purchase plan.

~~Blackstone Mortgage Trust, Inc.~~

~~Notes to Consolidated Financial Statements (continued)~~

~~(Unaudited)~~

At the Market Stock Offering Program

On ~~May 9, 2014,~~November 14, 2018, we entered into 6 equity distribution agreements, or ATM Agreements, pursuant to which we may sell, from time to time, up to an aggregate sales price of ~~$200.0~~$500.0 million of our class A common stock. On July ~~29, 2016, in connection with filing a new universal shelf registration statement on Form S-3,~~26, 2019, we amended our existing ATM Agreements and entered into ~~amendments to each of the~~1 additional ATM ~~Agreements.~~Agreement. Sales of class A

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

common stock made pursuant to ~~the~~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 ~~will~~ 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. WeDuring the three months 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. During the three months ended March 31, 2021, we did not ~~sell~~issue any shares of our class A common stock under ~~the~~ ATM ~~Agreements during the nine months ended September 30, 2017 and 2016.~~Agreements. As of ~~September 30, 2017,~~March 31, 2022, sales of our class A common stock with an aggregate sales price of ~~$188.6~~$300.9 million remained available for issuance under ~~the~~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 ~~September~~March 15, ~~2017,~~2022, we declared a dividend of $0.62 per share, or ~~$58.8~~$105.6 million in aggregate, that was paid on ~~October 13, 2017~~April 14, 2022 to stockholders of record as of ~~September 30, 2017.~~ March 31, 2022.

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

   Three Months Ended September 30,    Nine Months Ended September 30,
   2017    2016    2017    2016
Dividends declared per share of common stock
   $ 0.62    $ 0.62    $ 1.86    $ 1.86
Total dividends declared
   $     58,793    $     58,226    $     176,374    $     174,678


��	Three Months Ended March 31,
	2022		2021
Dividends declared per share of common stock	$	0.62	$	0.62
Class A common stock dividends declared	$	105,576	$	91,159
Deferred stock unit dividends declared	225		190
Total dividends declared	$	105,801	$	91,349

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. ~~Our~~The shares issuable under our Convertible Notes, other than the May 2017 convertible notes, are ~~excluded from~~included in dilutive earnings per share ~~as we have~~using the ~~intent and ability~~if-converted method.

Blackstone Mortgage Trust, Inc.

Notes to ~~settle these instruments in cash.~~

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,
   2017    2016    2017    2016
Net income⁽¹⁾
   $ 57,722    $ 64,794    $ 159,741    $ 184,921
Weighted-average shares outstanding, basic and diluted
       95,013,087        94,071,537        95,004,188        94,067,923








Per share amount, basic and diluted
   $ 0.61    $ 0.69    $ 1.68    $ 1.97


	Three Months Ended March 31,
	2022		2021
Basic Earnings:
Net income(1)	$	99,687	$	79,902
Weighted-average shares outstanding, basic	169,254,059		147,336,936
Per share amount, basic	$	0.59	$	0.54

Diluted Earnings:
Net income(1)	$	99,687	$	79,902
Add back: Interest expense on Convertible Notes, net(2)(3)	2,400		—
Diluted earnings	$	102,087	$	79,902
Weighted-average shares outstanding, basic	169,254,059		147,336,936
Effect of dilutive securities - Convertible Notes(3)(4)	6,348,846		—
Weighted-average common shares outstanding, diluted	175,602,905		147,336,936
Per share amount, diluted	$	0.58	$	0.54

	~~(1)~~

(1)Represents net income attributable to ~~Blackstone Mortgage Trust, Inc.~~

Blackstone Mortgage ~~Trust, Inc.~~

Trust.

(2)Represents the interest expense on our convertible notes, net of incentive fees.

(3)For the three months ended March 31, 2021, prior 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)For the three months ended 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. Our May 2017 convertible notes are in the final conversion period, as defined in the supplemental indenture, and we have elected to ~~Consolidated Financial Statements (continued)~~

~~(Unaudited)~~

settle the notes in cash. Therefore, the May 2017 convertible notes do not have any impact on our diluted earnings per share.

Other Balance Sheet Items

Accumulated Other Comprehensive ~~Loss~~

Income

As of ~~September 30, 2017,~~March 31, 2022, total accumulated other comprehensive ~~loss~~income was ~~$32.4~~$8.6 million, primarily representing ~~(i) $63.5 million of cumulative unrealized currency translation adjustments on assets and liabilities denominated in foreign currencies and (ii) an offsetting $31.1~~$131.9 million of net realized and unrealized gains related to changes in the fair value of derivative ~~instruments. As of December 31, 2016, total accumulated other comprehensive loss was $56.2 million, primarily representing (i) $107.5~~instruments offset by $123.3 million of cumulative unrealized currency translation adjustments on assets and liabilities denominated in foreign ~~currencies and (ii) an offsetting $51.3~~currencies. As of December 31, 2021, total accumulated other comprehensive income was $8.3 million, primarily representing $86.4 million of net realized and unrealized gains related to changes in the fair value of derivative ~~instruments.~~

instruments offset by $78.1 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~~pro rata ownership of our Multifamily Joint Venture. As of ~~September 30, 2017,~~March 31, 2022, our Multifamily Joint Venture’s total equity was ~~$41.2~~$179.3 million, of which ~~$35.0~~$152.4 million was owned by ~~Blackstone Mortgage Trust,~~us, and ~~$6.2~~$26.9 million was allocated to non-controlling interests. As of December 31, ~~2016, we did not have any~~2021, our Multifamily Joint Venture’s total equity was $203.5 million, of which $173.0 million was owned by us, and $30.5 million was allocated to non-controlling ~~interests on our consolidated financial statements.~~

~~12.~~interests.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

14. OTHER EXPENSES

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

Management and Incentive Fees

Pursuant to a management agreement between our Manager and us, or our Management Agreement, our Manager earns a base management fee in an amount equal to 1.50% per annum multiplied by our outstanding equity balance, as defined in the Management Agreement. In addition, our Manager is entitled to an incentive fee in an amount equal to the product of (i) 20% and (ii) the excess of (a) our Core Earnings (as defined in our Management Agreement) for the previous 12-month period over (b) an amount equal to 7.00% per annum multiplied by our outstanding Equity, provided that our Core Earnings over the prior three-year period is greater than ~~zero.~~0. 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) ~~prepared in accordance with GAAP, excluding (i) certain non-cash items (ii) the net income (loss) related~~attributable to our legacy portfolio, (v) certain non-cash items, and ~~(iii)~~(vi) incentive management fees.

During the three ~~and nine~~ months ended ~~September 30, 2017,~~March 31, 2022 and 2021, we incurred ~~$9.5~~$18.1 million and ~~$28.6~~$15.6 million, respectively, of management fees payable to our ~~Manager, compared to $9.5 million and $28.4 million during the same periods in 2016.~~Manager. In addition, during the three ~~and nine~~ months ended ~~September 30, 2017,~~March 31, 2022 and 2021, we incurred ~~$3.7~~$5.4 million and ~~$11.9~~$3.6 million, respectively, of incentive fees payable to our ~~Manager, compared to $4.2 million and $14.8 million during the same periods in 2016.~~

Manager.

As of ~~September 30, 2017~~March 31, 2022 and December 31, ~~2016,~~2021 we had accrued management and incentive fees payable to our Manager of ~~$13.2~~$23.5 million and ~~$12.8~~$28.4 million, respectively.

~~Blackstone Mortgage Trust, Inc.~~

~~Notes to Consolidated Financial Statements (continued)~~

~~(Unaudited)~~

General and Administrative Expenses

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

   Three Months Ended September 30,    Nine Months Ended September 30,
   2017    2016    2017    2016
Professional services⁽¹⁾
   $ 933    $ 828    $ 2,811    $ 2,474
Operating and other costs⁽¹⁾
   489    305    1,424    1,695








Subtotal
   1,422    1,133    4,235    4,169
Non-cash and CT Legacy Portfolio compensation expenses

Management incentive awards plan - CTOPI⁽²⁾
   —      938    —      1,106
Management incentive awards plan - CT Legacy Partners⁽³⁾
   —      354    —      1,112
Restricted class A common stock earned
   5,819    4,855    17,496    14,190
Director stock-based compensation
   125    94    313    282








Subtotal
   5,944    6,241    17,809    16,690








Total BXMT expenses
   7,366    7,374    22,044    20,859
Other expenses
   53    40    175    131








Total general and administrative expenses
   $ 7,419    $ 7,414    $ 22,219    $ 20,990








(1)    During the three and nine months ended September 30, 2017 we recognized an aggregate $112,000 of expenses related to our Multifamily Joint Venture.
(2)    Represents the portion of CTOPI promote revenue recorded under compensation awards. See Note 4 for further discussion.
(3)    Represents the amounts recorded under the CT Legacy Partners management incentive awards during the period. See below for discussion of the CT Legacy Partners management incentive awards plan.

~~CT Legacy Partners Management Incentive Awards Plan~~

In conjunction with our March 2011 restructuring, we created an employee pool for up to 6.75% of the distributions paid to the common equity holders of our subsidiary, CT Legacy Partners (subject to certain caps and priority distributions).


	Three Months Ended March 31,
	2022		2021
Professional services(1)	$	2,698	$	1,819
Operating and other costs(1)	1,012		693
Subtotal	3,710		2,512
Non-cash compensation expenses
Restricted class A common stock earned	8,477		7,960
Director stock-based compensation	173		125
Subtotal	8,650		8,085
Total general and administrative expenses	$	12,360	$	10,597

(1)During the three ~~and nine~~ months ended ~~September 30, 2016~~March 31, 2022 and 2021, we recognized ~~$354,000~~an aggregate $317,000 and ~~$1.1 million,~~$235,000, respectively, of expenses ~~under the CT Legacy Partners incentive plan. Our investment in CT Legacy Partners was substantially realized as of December 31, 2016.~~

~~13.~~related to our Multifamily Joint Venture.

15. INCOME TAXES

We have elected to be taxed as a REIT ~~effective January 1, 2003,~~ under the Internal Revenue Code for U.S. federal income tax purposes. We generally must distribute annually at least 90% of our net taxable income, subject to certain adjustments and excluding any net capital gain, in order for U.S. federal income tax not to apply to our earnings that we distribute. To the extent that we satisfy this distribution requirement, but distribute less than 100% of our net taxable income, we will be subject to U.S. federal income tax on our undistributed taxable income. In addition, we will be subject to a 4% nondeductible excise tax if the actual amount that we pay out to our stockholders in a calendar year is less than a minimum amount specified under U.S. federal tax laws.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

federal income and excise taxes and state and local taxes on our income and assets. If we fail to maintain our qualification as a REIT for any taxable year, we may be subject to material penalties as well as federal, state, and local income tax on our taxable income at regular corporate rates and we would not be able to qualify as a REIT for the subsequent four full taxable years. As of March 31, 2022 and December 31, 2021, we were in compliance with all REIT requirements.

Securitization transactions could result in the creation of taxable mortgage pools for federal income tax purposes. As a REIT, so long as we own 100% of the equity interests in a taxable mortgage pool, we generally would not be adversely affected by the characterization of the securitization as a taxable mortgage pool. Certain categories of stockholders, however, such as foreign stockholders eligible for treaty or other benefits, stockholders with net operating losses, and certain tax-exempt stockholders that are subject to unrelated business income tax, or UBTI, could be subject to increased taxes on a portion of their dividend income from us that is attributable to the taxable mortgage pool. We have not made UBTI distributions to our common stockholders and do not intend to make such UBTI distributions in the future.

During the three months ended March 31, 2022 and 2021, we recorded a current income tax provision of $146,000 and $101,000, respectively, primarily related to activities of our taxable REIT subsidiaries and various state and local taxes. We did not have any deferred tax assets or liabilities as of March 31, 2022 or December 31, 2021.

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 March 31, 2022, we had estimated NOLs of $159.0 million that will expire in 2029, unless they are utilized by us prior to expiration. We have a full valuation allowance against such NOLs as it is probable that they will expire unutilized.

As of March 31, 2022, tax years 2018 through 2021 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 March 31, 2022, our Manager, certain individuals employed by an affiliate of our Manager, and certain members of our board of directors were compensated, in part, through our issuance of stock-based instruments.

We had stock-based incentive awards outstanding under 9 benefit plans as of March 31, 2022. NaN of such benefit plans have expired and 0 new awards may be issued under them. Under our 2 current benefit plans, a maximum of 5,000,000 shares of our class A common stock may be issued to our Manager, our directors and officers, and certain employees of affiliates of our Manager. As of March 31, 2022, there were 735,345 shares available under our current benefit plans.

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


	Restricted Class A Common Stock	Weighted-Average Grant Date Fair Value Per Share




Balance as of December 31, 2021	1,706,121	$	31.19
Granted	427,634	31.11
Vested	(162,055)	32.61

Balance as of March 31, 2022	1,971,700	$	31.06

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 1,971,700 shares of restricted class A common stock outstanding as of March 31, 2022 will vest as follows: 876,043 shares will vest in 2022; 685,831 shares will vest in 2023; and 409,826 shares will vest in 2024. As of March 31, 2022, total unrecognized compensation cost relating to unvested share-based compensation arrangements was $56.2 million based on the grant date fair value of shares granted. This cost is expected to be recognized over a weighted-average period of 1.2 years from March 31, 2022.

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):


	March 31, 2022								December 31, 2021
	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Assets
Derivatives	$	—	$	51,884	$	—	$	51,884	$	—	$	30,531	$	—	$	30,531
Liabilities
Derivatives	$	—	$	6,241	$	—	$	6,241	$	—	$	5,890	$	—	$	5,890

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.

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


	March 31, 2022						December 31, 2021
	Book Value		Face Amount		Fair Value		Book Value		Face Amount		Fair Value
Financial assets
Cash and cash equivalents	$	309,425	$	309,425	$	309,425	$	551,154	$	551,154	$	551,154
Loans receivable, net	23,586,769		23,873,563		23,684,237		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, net	13,092,408		13,117,249		13,117,249		12,280,042		12,299,580		12,299,580
Securitized debt obligations, net	2,839,818		2,855,625		2,825,774		2,838,062		2,855,625		2,850,399
Asset-specific debt, net	463,097		469,766		469,766		393,824		400,699		400,699
Loan participations sold, net	243,760		244,367		244,367		—		—		—
Secured term loans, net	1,325,222		1,345,837		1,333,424		1,327,406		1,349,271		1,335,844
Senior secured notes, net	394,303		400,000		373,112		394,010		400,000		399,012
Convertible notes, net	850,084		857,850		858,042		619,876		622,500		630,821

(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.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

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.

The following table details the assets and liabilities of our consolidated VIEs ($ in thousands):


	March 31, 2022		December 31, 2021
Assets:
Loans receivable	$	3,477,340	$	3,486,750
Current expected credit loss reserve	(4,441)		(4,502)
Loans receivable, net	3,472,899		3,482,248
Other assets	30,558		20,746
Total assets	$	3,503,457	$	3,502,994
Liabilities:
Securitized debt obligations, net	$	2,839,818	$	2,838,062
Other liabilities	2,138		1,800
Total liabilities	$	2,841,956	$	2,839,862

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 three months ended March 31, 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, and will be automatically renewed for a one-year term upon such date and each anniversary thereafter unless earlier terminated.

As of March 31, 2022 and December 31, 2021, our consolidated balance sheets included $23.5 million and $28.4 million of accrued management and incentive fees payable to our Manager, respectively. During the three months ended March 31, 2022, we paid aggregate management and incentive fees of $28.4 million, to our Manager, compared to $19.2 million during the same period of 2021. In addition, during the three months ended March 31, 2022, we incurred expenses of $193,000 that were paid by our Manager and will be reimbursed by us, compared to $40,000 of such expenses during the same period of 2021.

As of March 31, 2022, our Manager held 988,508 shares of unvested restricted class A common stock, which had an aggregate grant date fair value of $30.8 million, and vest in installments over three years from the date of issuance. During

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

the three months ended March 31, 2022 and 2021, we recorded non-cash expenses related to shares held by our Manager of $4.2 million and $4.0 million, 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 three months ended March 31, 2022 or 2021.

During the three months ended March 31, 2022 and 2021, we incurred $97,000 and $100,000, respectively, of expenses for various administrative and operations services to third-party service providers that are affiliates of our Manager.

In the first quarter of 2021, we acquired an SEK 5.0 billion interest in a total SEK 10.2 billion senior loan to a borrower that is wholly owned by a Blackstone-advised 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 2019 Term Loan as a part of a broad syndication lead-arranged by JP Morgan. Blackstone Securities Partners L.P., an affiliate of our Manager, was engaged as a book-runner for the transaction and received aggregate fees of $200,000 in such capacity. Both of these transactions were on terms equivalent to those of unaffiliated parties.

20. COMMITMENTS AND CONTINGENCIES

Impact of COVID-19

As further discussed in Note 2, the full extent of the impact of COVID-19 on the global economy generally, and our business in particular, is uncertain. As of March 31, 2022, no contingencies have been recorded on our consolidated balance sheet as a result of COVID-19, however as the global pandemic continues and the economic implications worsen, it may have long-term impacts on our financial condition, results of operations, and cash flows. Refer to Note 2 for further discussion of COVID-19.

Unfunded Commitments Under Loans Receivable

As of March 31, 2022, we had aggregate unfunded commitments of $4.5 billion across 126 loans receivable, and $2.5 billion of committed or identified financings for those commitments, resulting in net unfunded commitments of $2.0 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 3.5 years.

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued) (Unaudited)

Principal Debt Repayments

Our contractual principal debt repayments as of March 31, 2022 were as follows ($ in thousands):


Year	Secured Debt(1)		Asset-Specific Debt(1)		Term Loans(2)		Senior Secured Notes		Convertible Notes(3)		Total(4)
2022	$	46,650	$	—	$	10,304	$	—	$	337,850	$	394,804
2023	770,980		—		13,738		—		220,000		1,004,718
2024	3,927,820		—		13,738		—		—		3,941,558
2025	1,345,452		469,766		13,738		—		—		1,828,956
2026	4,834,793		—		1,294,319		—		—		6,129,112
Thereafter	2,191,554		—		—		400,000		300,000		2,891,554
Total obligation	$	13,117,249	$	469,766	$	1,345,837	$	400,000	$	857,850	$	16,190,702

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

(2)The 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 billion of consolidated securitized debt obligations, $1.8 billion of non-consolidated senior interests, and $244.4 million of loan participations sold, as the satisfaction of these liabilities will not require cash outlays from us.

Board of Directors’ Compensation

As of March 31, 2022, of the 9 members of our board of directors, our 6 independent directors are entitled to annual compensation of $210,000 each, of which $95,000 will be paid in the form of cash and $115,000 will be paid in the form of deferred stock units or, beginning in 2023, 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 March 31, 2022, we were not involved in any material legal proceedings.

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 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, and Section 21E of the Securities Exchange Act of 1934, as amended, 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-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 report on Form 10-K for the year ended December 31, 2021 and elsewhere in this quarterly 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.

Recent Developments

COVID-19

As the novel coronavirus, or COVID-19, pandemic has evolved from its emergence in early 2020, so has its global impact. Many countries have at times re-instituted, or strongly encouraged, varying levels of quarantines and restrictions on travel and in some cases have at times limited operations of certain businesses and taken other restrictive measures designed to help slow the spread of COVID-19 and its variants. Governments and businesses have also instituted vaccine mandates and testing requirements for employees. While vaccine availability and uptake has increased, the longer-term macro-economic effects on global supply chains, inflation, labor shortages and wage increases continue to impact many industries, including the collateral underlying certain of our loans. Moreover, with the potential for new strains of COVID-19 to emerge, governments and businesses may re-impose aggressive measures to help slow its spread in the future. For this reason, among others, as the COVID-19 pandemic continues, the potential global impacts are uncertain and difficult to assess.

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, 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 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 that mature after June 30, 2023 which 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 comprised 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 Treasury securities, as its preferred alternative rate for USD LIBOR. Additionally, market participants have started to transition from GBP LIBOR to the Sterling Overnight Index Average, or SONIA, in line with guidance from the U.K. regulators. As of March 31, 2022, one-month SOFR is utilized as the floating benchmark rate on 37 of our loans, the financing provided on the 2020 FL3 and 2020 FL2 CLOs, and certain borrowings under eight of our credit facilities. As of March 31, 2022, the one-month SOFR was 0.30% and one-month USD LIBOR was 0.45%. Additionally, as of March 31, 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, and Switzerland have been reformed and rates such as EURIBOR, STIBOR, BBSY, CDOR, SARON, and CIBOR may persist as International Organization of Securities Commissions 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.

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 March 31, 2022, we recorded basic earnings per share of $0.59, declared a dividend of $0.62 per share, and reported $0.62 per share of Distributable Earnings. In addition, our book value as of March 31, 2022 was $27.21 per share, which is net of a $0.75 per share cumulative CECL reserve.

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.

Earnings Per Share and Dividends Declared

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


	Three Months Ended
	March 31, 2022		December 31, 2021
Basic Earnings:
Net income(1)	$	99,687	$	123,940
Weighted-average shares outstanding, basic	169,254,059		162,056,782
Per share amount, basic	$	0.59	$	0.76










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.

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


		Three months ended
	March 31, 2022			December 31, 2021
Net income(1)		$	99,687		$	123,940
Charge-offs of current expected credit loss reserve(2)		—			(14,427)
(Decrease) increase in current expected credit loss reserve		(2,537)			9,568
Non-cash compensation expense		8,650			7,463
Realized hedging and foreign currency income, net(3)		(200)			(668)
Other items		(30)			120
Adjustments attributable to non-controlling interests, net		(4)			(30)
Distributable Earnings(4)		$	105,566		$	125,966
Weighted-average shares outstanding, basic(5)		169,254,059			162,056,782
Distributable Earnings per share, basic(4)		$	0.62		$	0.78

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

(2)Represents a realized loss related to loan principal amounts deemed nonrecoverable following a realization event during the three months ended December 31, 2021. This amount was previously recognized as a component of GAAP net income as an increase in our current expected credit loss reserve.

(3)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.

(4)Includes favorable Distributable Earnings impact, net of incentive fees, of $19.1 million, or $0.12 per share for the three months ended December 31, 2021 relating to (i) prepayment income and acceleration of deferred origination fees related to a certain loan repayment during the three months ended December 31, 2021 and (ii) the charge-off of a certain previously recorded current expected credit loss reserve discussed above.

(5)The weighted-average shares outstanding, basic, exclude shares issuable from a potential conversion of our Convertible Notes, other than the May 2017 convertible notes. Consistent with the treatment of other unrealized adjustments to Distributable Earnings, these potentially issuable shares are excluded until a conversion occurs.

Book Value Per Share

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


	March 31, 2022		December 31, 2021
Stockholders’ equity	$	4,642,938	$	4,588,187
Shares
Class A common stock	170,283,071		168,179,798
Deferred stock units	370,635		363,572
Total outstanding	170,653,706		168,543,370
Book value per share(1)	$	27.21	$	27.22

(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 March 31, 2022, we originated or acquired $3.4 billion of loans. Loan fundings during the quarter totaled $3.0 billion and loan repayments and sales during the quarter totaled $1.3 billion. We generated interest income of $234.4 million and incurred interest expense of $100.7 million during the quarter, which resulted in $133.7 million of net interest income during the three months ended March 31, 2022.

Portfolio Overview

The following table details our loan origination activity ($ in thousands):


	Three Months Ended March 31, 2022		Three Months Ended December 31, 2021
Loan originations(1)	$	3,407,524	$	5,966,853
Loan fundings(2)	$	3,012,987	$	5,210,261
Loan repayments and sales(3)	(1,271,517)		(3,530,274)
Total net fundings	$	1,741,470	$	1,679,987

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

(2)Loan fundings during the three months ended March 31, 2022 and December 31, 2021 include $88.6 million and $109.3 million, respectively, of additional fundings under related non-consolidated senior interests.

(3)Loan repayments and sales during the three months ended March 31, 2022 and December 31, 2021 include $341.2 million and $148.3 million, respectively, of additional repayments or reduction of loan exposure under related non-consolidated senior interests and the loan held by our non-consolidated securitized debt obligation.

The following table details overall statistics for our loan portfolio as of March 31, 2022 ($ in thousands):



	Balance Sheet Portfolio			Loan Exposure(1)
Number of investments	203			203
Principal balance	$	23,873,563		$	25,627,588
Net book value	$	23,586,769		$	23,586,769
Unfunded loan commitments(2)	$	4,545,691		$	5,199,651
Weighted-average cash coupon(3)	+ 3.22		%	+ 3.25		%
Weighted-average all-in yield(3)	+ 3.57		%	+ 3.60		%
Weighted-average maximum maturity (years)(4)	3.5			3.5
Origination loan to value (LTV)(5)	64.8		%	64.6		%

(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 $1.8 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.

(3)The weighted-average cash coupon and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR, SOFR, SONIA, EURIBOR, and other indices as applicable to each investment. As of March 31, 2022, 98.6% of our loans by total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR. The other 1.4% of our loans earned a fixed rate of interest, which we reflect as a spread over the relevant floating benchmark rates, as of March 31, 2022, for purposes of the weighted-averages. In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees. Excludes a loan 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 March 31, 2022, 62% of our loans and other investments by total loan exposure were subject to yield maintenance or other prepayment restrictions and 38% were open to repayment by the borrower without penalty.

(5)Based on LTV as of the dates loans were originated or acquired by us.

The following table details the index rate floors for our loans receivable portfolio as of March 31, 2022 ($ in thousands):


	Loans Receivable Principal Balance
Index Rate Floors	USD		Non-USD(1)		Total
Fixed Rate	$	37,500	$	314,988	$	352,488
0.00% or no floor(2)	3,950,220		6,544,292		10,494,512
0.01% to 0.25% floor	8,570,179		479,462		9,049,641
0.26% to 1.00% floor	1,320,187		51,856		1,372,043
1.01% or more floor	4,246,116		112,788		4,358,904
Total(3)(4)	$	18,124,202	$	7,503,386	$	25,627,588

(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)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 $1.8 billion of such non-consolidated senior interests that are not included in our balance sheet portfolio.

(4)As of March 31, 2022, the weighted-average index rate floor of our loan portfolio was 0.37%. Excluding 0.0% index rate floors, the weighted-average index rate floor was 0.62%. As of December 31, 2021, the weighted-average index rate floor of our loan portfolio was 0.42%. Excluding 0.0% index rate floors, the weighted-average index rate floor was 0.70%.

The following table details the floating benchmark rates for our loan portfolio as of March 31, 2022 (total investment portfolio amounts in thousands):


Investment Count	Currency	Total Loan Portfolio		Floating Rate Index(1)	Cash Coupon(2)	All-in Yield(2)
167	$	$	18,124,202	USD LIBOR / SOFR(3)	+ 3.14%	+ 3.48%
9	€	€	2,774,135	EURIBOR	+ 3.02%	+ 3.37%
20	£	£	2,405,221	SONIA(4)	+ 3.86%	+ 4.30%
7	Various	$	1,273,271	Other(5)	+ 3.79%	+ 4.09%




203		$	25,627,588	Applicable Index	+ 3.25%	+ 3.60%

(1)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 US interest rates. These forward contracts effectively convert the foreign currency rate exposure for such investments to USD-equivalent interest rates.

(2)The cash coupon and all-in yield of our fixed rate loans are reflected as a spread over USD LIBOR or SONIA, as applicable, for purposes of the weighted-averages. In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees. Excludes one loan accounted for under the cost-recovery method.

(3)As of March 31, 2022, $14.7 billion and $3.4 billion of loans were indexed to USD LIBOR and SOFR, respectively. The remaining $37.5 million of our United States Dollar loans are fixed rate. As of March 31, 2022, one-month USD LIBOR was 0.45% and SOFR was 0.30%.

(4)As of March 31, 2022, £2.2 billion of loans were indexed to SONIA and the remaining £232.8 million of our British Pound Sterling loans are fixed rate.

(5)Includes floating rate loans indexed to STIBOR, BBSY, CDOR, SARON, and CIBOR indices.

The charts below detail the geographic distribution and types of properties securing our loan portfolio, as of March 31, 2022:

Refer to section VI of this Item 7 for details of our loan portfolio, on a loan-by-loan basis.

Portfolio Management

During the three months ended March 31, 2022, we collected 100.0% of the contractual interest payments that were due under our loans, with no interest deferrals, which we believe demonstrates the overall strength of our loan portfolio and the commitment and financial wherewithal of our borrowers generally, which are primarily affiliated with large real estate private equity funds and other strong, well-capitalized, experienced sponsors.

We maintain a robust asset management relationship with our borrowers and utilize these relationships to maximize the performance of our portfolio, including during periods of volatility, such as the COVID-19 pandemic. 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 64.6% as of March 31, 2022 reflects significant equity value that our sponsors are motivated to protect through periods of cyclical disruption. While we believe the principal amounts of our loans are generally adequately protected by underlying collateral value, there is a risk that we will not realize the entire principal value of certain investments.

Our Manager’s portfolio monitoring and asset management operations benefit from the deep knowledge, experience, and information advantages derived from its 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, our Manager performs a quarterly review of our loan portfolio, assesses the performance of each loan, and assigns it a risk rating between “1” and “5,” from less risk to greater risk. The weighted-average risk rating of our total loan exposure was 2.8 as of both March 31, 2022 and December 31, 2021, respectively.

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


	March 31, 2022
Risk Rating	Number of Loans	Net Book Value		Total Loan Exposure(1)
1	5	$	426,984	$	429,779
2	39	5,982,543		6,456,584
3	148	14,827,128		16,261,775
4	10	2,187,526		2,193,141
5	1	284,809		286,309
Loans receivable	203	$	23,708,990	$	25,627,588
CECL reserve		(122,221)
Loans receivable, net		$	23,586,769

(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 $1.8 billion of such non-consolidated senior interests as of March 31, 2022.

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 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.

During the three months ended March 31, 2022, we recorded an aggregate $2.5 million decrease in the CECL reserve related to loans receivable, debt securities, and unfunded loan commitments, bringing our total reserve to $128.5 million as of March 31, 2022. See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve.

Previously, we entered into loan modifications related to a multifamily asset in New York City, which are classified as troubled debt restructurings under GAAP, as of March 31, 2022. 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 March 31, 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 March 31, 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 three months ended March 31, 2021.

Multifamily Joint Venture

As of March 31, 2022, our Multifamily Joint Venture held $833.2 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
	March 31, 2022		December 31, 2021
Secured debt	$	13,117,249	$	12,299,580
Securitizations(1)	2,855,625		3,155,727
Asset-specific financings(2)	2,468,158		1,913,374
Total portfolio financing	$	18,441,032	$	17,368,681

(1)Includes our consolidated securitized debt obligations of $2.9 billion as of March 31, 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 three months ended March 31, 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 consolidated asset-specific debt of $469.8 million, our loan participations sold of $244.4 million, and our non-consolidated senior interests of $1.8 billion, as of March 31, 2022. Includes our consolidated asset-specific debt of $400.7 million and our non-consolidated senior interests of $1.5 billion, as of December 31, 2021. The 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.

Secured Debt

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


	Secured Debt Borrowings Outstanding
	March 31, 2022		December 31, 2021
Secured credit facilities	$	13,117,249	$	12,299,580
Acquisition facility	—		—

Total secured debt	$	13,117,249	$	12,299,580

Secured Credit Facilities

The following table details our secured credit facilities by spread over the applicable base rates as of March 31, 2022 ($ in thousands):


	Three Months Ended March 31, 2022		March 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)(6)		Net Interest Margin(7)
+ 1.50% or less	$	1,267,118	$	8,320,043	+1.51	%	$	11,497,642	+3.18	%	+1.67	%
+ 1.51% to + 1.75%	283,924		2,825,032		+1.87	%	4,124,634		+3.60	%	+1.73	%
+ 1.76% to + 2.00%	74,596		1,060,611		+2.17	%	1,623,549		+4.35	%	+2.18	%
+ 2.01% or more	26,091		911,563		+2.52	%	1,464,881		+4.79	%	+2.27	%
Total	$	1,651,729	$	13,117,249	+1.71	%	$	18,710,706	+3.50	%	+1.79	%

(1)The spread, all-in cost, and all-in yield are expressed over the relevant floating benchmark rates, which include USD LIBOR, SOFR, SONIA, EURIBOR, and other indices as applicable.

(2)Represents borrowings outstanding as of March 31, 2022 for new financings during the three months ended March 31, 2022, 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.

(4)Represents the weighted-average all-in cost as of March 31, 2022 and is not necessarily indicative of the spread applicable to recent or future borrowings.

(5)Represents the principal balance of the collateral assets.

(6)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.

(7)Represents the difference between the weighted-average all-in yield and weighted-average all-in cost.

Acquisition Facility

We have a $250.0 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 date of the facility is April 4, 2023. As of March 31, 2022, we had no assets pledged to our acquisition facility.

Securitizations

The following table details our outstanding securitizations ($ in thousands):


	Securitizations Outstanding
	March 31, 2022		December 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 three months ended March 31, 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.

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 ($ in thousands):


	March 31, 2022
Securitized Debt Obligations		Count	Principal Balance		Book Value		Wtd. Avg. Yield/Cost(1)(2)		Term(3)
2021 FL4 Collateralized Loan Obligation
Collateral assets		33	$	1,000,000	$	1,000,000	+ 3.54	%	March 2025
Financing provided		1	803,750		797,870		+ 1.56	%	May 2038
2020 FL3 Collateralized Loan Obligation
Collateral assets		16	1,000,000		1,000,000		+ 3.18	%	September 2024
Financing provided		1	808,750		804,658		+ 2.03	%	November 2037
2020 FL2 Collateralized Loan Obligation
Collateral assets		18	1,500,000		1,500,000		+ 3.29	%	August 2024
Financing provided		1	1,243,125		1,237,290		+ 1.39	%	February 2038
Total
Collateral assets		67	$	3,500,000	$	3,500,000	+ 3.33	%
Financing provided(4)		3	$	2,855,625	$	2,839,818	+ 1.62	%

(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 USD LIBOR and SOFR, as applicable to each securitized debt obligation. As of March 31, 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%. As of March 31, 2022, the one-month SOFR was 0.30% and one-month USD LIBOR was 0.45%.

(4)During the three months ended March 31, 2022, we recorded $11.0 million 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.

Asset-Specific Financings

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


	Asset-Specific Financings Outstanding Principal Balance
	March 31, 2022		December 31, 2021
Asset-specific debt	$	469,766	$	400,699
Loan participations sold(1)	244,367		—
Non-consolidated senior interests(1)	1,754,025		1,512,675
Total asset-specific financings	$	2,468,158	$	1,913,374

(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.

Asset-Specific Debt

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


	March 31, 2022
Asset-Specific Debt		Count	Principal Balance		Book Value		Wtd. Avg. Yield/Cost(1)		Wtd. Avg. Term(2)
Collateral assets		2	$	520,527	$	510,190	+ 4.45	%	July 2025
Financing provided		2	$	469,766	$	463,097	+ 3.24	%	July 2025

Loan Participations Sold

The following table details our loan participations sold ($ in thousands):


	March 31, 2022
Loan Participations Sold		Count	Principal Balance		Book Value		Wtd. Avg. Yield/Cost(1)		Term(2)
Total Loan		1	$	305,459	$	302,423	+ 4.86	%	March 2027
Senior Participation		1	$	244,367	$	243,760	+ 3.20	%	March 2027

(2)The term is determined based on the on maximum maturity of the loan, assuming all extension options are exercised by the borrower.

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.

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

March 31, 2022

Non-Consolidated Senior Interests

Count

Principal
Balance

Book
Value

Wtd. Avg.

Yield/Cost(1)

Wtd. Avg.
Term

Total loan

2,165,826

n/a

+ 3.98

July 2025

Senior participation

1,754,025

n/a

+ 2.75

July 2025

(1)The weighted-average spread and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR and SOFR, as applicable to each investment. As of March 31, 2022, 85% of these loans’ total investment exposure earned a floating rate of interest indexed to USD LIBOR or SOFR. The other 15% of our investments earned a fixed rate of interest, which we reflect as a spread over SONIA, as of March 31, 2022, for purposes of the weighted-averages. In addition to spread, 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.

Corporate Financing

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


	Corporate Financing Outstanding Principal Balance
	March 31, 2022		December 31, 2021
Term loans	$	1,345,837	$	1,349,271
Senior secured notes	400,000		400,000
Convertible notes	857,850		622,500
Total corporate financing	$	2,603,687	$	2,371,771

Term Loans

As of March 31, 2022, the following senior term loan facilities, or Term Loans, were outstanding ($ in thousands):

Term Loans

Face Value

Interest Rate(1)

All-in Cost(1)(2)

Maturity

B-1 Term Loan

927,500

+ 2.25

+ 2.53

April 23, 2026

B-2 Term Loan

418,337

+ 2.75

+ 3.42

April 23, 2026

(1)The B-2 Term Loan borrowing is subject to a LIBOR floor of 0.50%.

(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.

Senior Secured Notes

As of March 31, 2022, the following Senior Secured Notes, were outstanding ($ in thousands):


Senior Secured Notes	Face Value		Interest Rate		All-in Cost(1)		Maturity
Senior Secured Notes	$	400,000	3.75	%	4.04	%	January 15, 2027

(1)Includes issue discount and transaction expenses that are amortized through interest expense over the life of the 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 March 31, 2022 the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands):


Convertible Notes Issuance	Face Value		Interest Rate		All-in Cost(1)		Conversion Rate(2)		Maturity
May 2017	$	337,850	4.38	%	4.85	%	$	35.67	May 5, 2022
March 2018	$	220,000	4.75	%	5.33	%	$	36.23	March 15, 2023
March 2022	$	300,000	5.50	%	5.94	%	$	36.27	March 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 28.0324, 27.6052, and 27.5702, respectively, for the May 2017, 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 May 2017, March 2018, and March 2022 convertible notes supplemental indentures have not been exceeded as of March 31, 2022.

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 March 31, 2022, 99% 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. As of March 31, 2022, the remaining 1% of our investments by total loan exposure earned a fixed rate of interest.

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 March 31, 2022 (amounts in thousands):


	USD		EUR		GBP		All Other(5)
Floating rate loans(1)(2)	$	18,086,702	€	2,765,872	£	2,172,428	$	1,273,271
Floating rate debt(1)(2)(3)	(14,129,120)		(2,068,178)		(1,633,123)		(965,379)
Net floating rate exposure	$	3,957,582	€	697,694	£	539,305	$	307,892
Net floating rate exposure in USD(4)	$	3,957,582	$	772,139	$	708,539	$	307,892

(1)Our floating rate investments and related liabilities are indexed to the various benchmark rates relevant in each case in terms of currency and payment frequency. Therefore the net exposure to each benchmark rate is in direct proportion to our net assets indexed to that rate.

(2)As of March 31, 2022, $14.7 billion and $3.4 billion of floating rate loans were indexed to USD LIBOR and SOFR, respectively. As of March 31, 2022, $9.9 billion and $4.2 billion of floating rate debt was indexed to USD LIBOR and SOFR, respectively. As of March 31, 2022, one-month SOFR was 0.30% and one-month USD LIBOR was 0.45%.

(3)Includes borrowings under secured debt, securitizations, asset-specific financings, and term loans.

(4)Represents the U.S. Dollar equivalent as of March 31, 2022.

(5)Includes Swedish Krona, Australian Dollar, Canadian Dollar, Swiss Franc, and Danish Krone currencies.

III. Our Results of Operations

Operating Results

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


	Three Months Ended				Change
	March 31, 2022		December 31, 2021		$
Income from loans and other investments
Interest and related income	$	234,432	$	270,749	$	(36,317)
Less: Interest and related expenses	100,714		96,809		3,905
Income from loans and other investments, net	133,718		173,940		(40,222)
Other expenses
Management and incentive fees	23,486		28,373		(4,887)
General and administrative expenses	12,360		11,060		1,300
Total other expenses	35,846		39,433		(3,587)
Decrease (increase) in current expected credit loss reserve	2,537		(9,568)		12,105
Income before income taxes	100,409		124,939		(24,530)
Income tax provision	146		77		69
Net income	100,263		124,862		(24,599)
Net income attributable to non-controlling interests	(576)		(922)		346
Net income attributable to Blackstone Mortgage Trust, Inc.	$	99,687	$	123,940	$	(24,253)
Net income per share of common stock
Basic	$	0.59	$	0.76	$	(0.17)
Diluted	$	0.58	$	0.76	$	(0.18)
Weighted-average shares of common stock outstanding
Basic	169,254,059		162,056,782		7,197,277
Diluted	175,602,905		162,056,782		13,546,123
Dividends declared per share	$	0.62	$	0.62	$	—

Income from loans and other investments, net

Income from loans and other investments, net decreased $40.2 million during the three months ended March 31, 2022 compared to the three months ended December 31, 2021. The decrease was primarily due to (i) a decrease in prepayment fee income, (ii) an increase in the weighted-average principal balance of our outstanding financing arrangements by $1.0 billion for the three months ended March 31, 2022, as compared to the three months ended December 31, 2021, and (iii) two days less of net interest income accrued during the three months ended March 31, 2022, as compared to the three months ended December 31, 2021. This was offset by an increase in the weighted-average principal balance of our loan portfolio by $1.5 billion for the three months ended March 31, 2022, as compared to the three months ended December 31, 2021.

Other expenses

Other expenses include management and incentive fees payable to our Manager and general and administrative expenses. Other expenses decreased by $3.6 million during the three months ended March 31, 2022 compared to the three months ended December 31, 2021 due to a decrease of $5.7 million of incentive fees payable to our Manager, primarily due to a decrease in Distributable Earnings. This was offset by an increase of (i) $1.2 million of additional non-cash restricted stock amortization related to shares awarded under our long-term incentive plans, (ii) $824,000 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 the three months ended March 31, 2022, and (iii) $113,000 of other general operating expenses.

Changes in current expected credit loss reserve

During the three months ended March 31, 2022, we recorded a $2.5 million decrease in the CECL reserve, as compared to a $9.6 million increase during the three months ended December 31, 2021. See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve.

Net income attributable to non-controlling interests

During the three months ended March 31, 2022 and December 31, 2021, we recorded $576,000 and $922,000, respectively, of net income attributable to non-controlling interests related to our Multifamily Joint Venture.

Dividends per share

During the three months ended March 31, 2022, we declared aggregate dividends of $0.62 per share, or $105.6 million. During the three months ended December 31, 2021, we declared aggregate dividends of $0.62 per share, or $104.3 million.

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


	Three Months Ended				Change
	March 31, 2022		March 31, 2021		$
Income from loans and other investments
Interest and related income	$	234,432	$	187,524	$	46,908
Less: Interest and related expenses	100,714		78,372		22,342
Income from loans and other investments, net	133,718		109,152		24,566
Other expenses
Management and incentive fees	23,486		19,207		4,279
General and administrative expenses	12,360		10,597		1,763
Total other expenses	35,846		29,804		6,042
Decrease in current expected credit loss reserve	2,537		1,293		1,244
Income before income taxes	100,409		80,641		19,768
Income tax provision	146		101		45
Net income	100,263		80,540		19,723
Net income attributable to non-controlling interests	(576)		(638)		62
Net income attributable to Blackstone Mortgage Trust, Inc.	$	99,687	$	79,902	$	19,785
Net income per share of common stock
Basic	$	0.59	$	0.54	$	0.05
Diluted	$	0.58	$	0.54	$	0.04
Weighted-average shares of common stock outstanding
Basic	169,254,059		147,336,936		21,917,123
Diluted	175,602,905		147,336,936		28,265,969
Dividends declared per share	$	0.62	$	0.62	$	—

Income from loans and other investments, net

Income from loans and other investments, net increased $24.6 million during the three months ended March 31, 2022 compared to the three months ended March 31, 2021. The increase was primarily due to an increase in the weighted-average principal balance of our loan portfolio by $6.0 billion for the three months ended March 31, 2022, as compared to the three months ended March 31, 2021. This was offset by an increase in the weighted-average principal balance of our outstanding financing arrangements by $5.3 billion for the three months ended March 31, 2022, as compared to the three months ended March 31, 2021.

Other expenses

Other expenses include management and incentive fees payable to our Manager and general and administrative expenses. Other expenses increased by $6.0 million during the three months ended March 31, 2022 compared to the three months ended March 31, 2021 due to an increase of (i) $2.5 million of management fees payable to our Manager, primarily as a result of net proceeds received from the sale of shares of our class A common stock during 2021, (ii) $1.8 million of incentive fees payable to our Manager, primarily due to an increase in Distributable Earnings, (iii) $1.2 million of other general operating expenses, primarily due to an increase in our loan portfolio during 2021 and 2022, and (iv) $563,000 of non-cash restricted stock amortization related to shares issued under our long-term incentive plans.

Changes in current expected credit loss reserve

During the three months ended March 31, 2022, we recorded a $2.5 million decrease in the CECL reserve, as compared to a $1.3 million decrease during the three months ended March 31, 2021. See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve.

Net income attributable to non-controlling interests

During the three months ended March 31, 2022 and March 31, 2021 , we recorded $576,000 and $638,000, respectively, of net income attributable to non-controlling interests related to our Multifamily Joint Venture.

Dividends per share

During the three months ended March 31, 2022, we declared aggregate dividends of $0.62 per share, or $105.6 million. During the three months ended March 31, 2021, we declared aggregate dividends of $0.62 per share, or $91.2 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 financing. As of March 31, 2022, our capitalization structure included $4.6 billion of common equity, $2.6 billion of corporate debt, and $18.4 billion of asset-level financing. Our $2.6 billion of corporate debt includes $1.3 billion of term loan borrowings, $400.0 million of senior secured notes, and $857.9 million of convertible notes, of which $337.9 million matures in May 2022. Our $18.4 billion of asset-level financing includes $13.1 billion of secured debt, $2.9 billion of securitizations, and $2.5 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 March 31, 2022, we have $1.5 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:


	March 31, 2022	December 31, 2021
Debt-to-equity ratio(1)	3.4x	3.2x
Total leverage ratio(2)	4.5x	4.2x

(1)Represents (i) total outstanding secured debt, asset-specific debt, term loans, senior secured notes, and convertible notes, less cash, to (ii) total equity, in each case at period end.

(2)Represents (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.

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):


	March 31, 2022		December 31, 2021
Cash and cash equivalents	$	309,425	$	551,154
Available borrowings under secured debt	1,190,899		754,900
Loan principal payments held by servicer, net(1)	4,635		17,528
	$	1,504,959	$	1,323,582

(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 three months ended March 31, 2022, we generated cash flow from operating activities of $90.1 million and received $1.2 billion of loan repayments, $887.8 million of net proceeds from secured debt borrowings, $294.0 million of net proceeds from the issuance of convertible notes, $245.3 million from the sale of a senior loan participation, $69.1 million of net proceeds from asset-specific debt, and $52.2 million of net proceeds from the issuance of shares of class A common stock. Furthermore, we are able to generate incremental liquidity through the replenishment provisions of our 2021 FL4, 2020 FL3, and 2020 FL2 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 liquidity through public offerings of debt and equity securities. To facilitate such offerings, in July 2019, we filed a shelf registration statement with the SEC that is effective for a term of three years and expires at the end of July 2022. The amount of securities to be issued pursuant to this shelf registration statement was not specified when it was filed and there is no specific dollar limit on the amount of securities we may issue. The securities covered by this registration statement include: (i) class A common stock; (ii) preferred stock; (iii) debt securities; (iv) depositary shares representing preferred stock; (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 a dividend reinvestment plan and direct stock purchase plan, under which 9,989,151 shares of class A common stock were available for issuance as of March 31, 2022, and our at-the-market stock offering program, pursuant to which we may sell, from time to time, up to $300.9 million of additional shares of our class A common stock as of March 31, 2022. Refer to Note 13 to our consolidated financial statements for additional details.

Liquidity Needs

In addition to our loan origination activity and general operating expenses, our primary liquidity needs include interest and principal payments under our $13.1 billion of outstanding borrowings under secured debt, our asset-specific debt, our Term Loans, our Senior Secured Notes, and our Convertible Notes.

As of March 31, 2022, we had unfunded commitments of $4.5 billion related to 126 loans receivable and $2.5 billion of committed or identified financing for those commitments resulting in net unfunded commitments of $2.0 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 3.5 years.

Contractual Obligations and Commitments

Our contractual obligations and commitments as of March 31, 2022 were as follows ($ in thousands):


			Payment Timing
	Total Obligation		Less Than 1 Year(1)		1 to 3 Years		3 to 5 Years		More Than 5 Years
Unfunded loan commitments(2)	$	4,545,691	$	335,837	$	1,473,713	$	1,877,084	$	859,057
Principal repayments under secured debt(3)	13,117,249		114,552		4,843,419		7,337,027		822,251
Principal repayments under asset-specific debt(3)	469,766		—		—		469,766		—
Principal repayments of term loans(4)	1,345,837		13,738		27,477		1,304,622		—
Principal repayments of senior secured notes	400,000		—		—		400,000		—
Principal repayments of convertible notes(5)	857,850		557,850		—		300,000		—
Interest payments(3)(6)	1,319,163		384,602		605,962		325,201		3,398
Total(7)	$	22,055,556	$	1,406,579	$	6,950,571	$	12,013,700	$	1,684,706

(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 our secured debt and asset-specific debt for both principal and interest payments is based on the earlier of (i) the maturity date of each agreement, or (ii) the maximum maturity date of the collateral loans, assuming all extension options are exercised by the borrower.

(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 March 31, 2022 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 billion of consolidated securitized debt obligations, $1.8 billion of non-consolidated senior interests, and $244.4 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.

Cash Flows

The following table provides a breakdown of the net change in our cash and cash equivalents ($ in thousands):


	Three Months Ended March 31,
	2022		2021
Cash flows provided by operating activities	$	90,098	$	83,048
Cash flows used in investing activities	(1,688,750)		(523,591)
Cash flows provided by financing activities	1,360,093		431,693
Net decrease in cash and cash equivalents	$	(238,559)	$	(8,850)

We experienced a net decrease in cash and cash equivalents of $238.6 million for the three months ended March 31, 2022, compared to a net decrease of $8.9 million for the three months ended March 31, 2021. During the three months ended March 31, 2022, we received (i) $1.2 billion from loan principal collections and sales proceeds, (ii) $887.8 million of net proceeds from secured debt borrowings, (iii) $294.0 million of net proceeds from the issuance of convertible notes, (iv) $245.3 million from the sale of a senior loan participation, (v) $69.1 million of net proceeds from asset-specific debt, and (vi) $52.2 million of net proceeds from the issuance of shares of class A common stock. We used the proceeds from these activities to fund $2.9 billion of new loans.

Refer to Note 3 to our consolidated financial statements for further discussion of our loan activity. Refer to Notes 5, 7, 8, 11, and 13 to our consolidated financial statements for additional discussion of our secured debt, asset-specific debt, loan participations sold, 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. 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, 2017~~March 31, 2022 and December 31, ~~2016,~~2021, we were in compliance with all REIT requirements.

~~During the three and nine months ended September 30, 2017, we recorded a current income tax provision of $83,000 and $265,000, respectively, primarily related to activities of~~

Furthermore, our taxable REIT subsidiaries, ~~and various~~or TRSs, are subject to federal, state, and local ~~taxes. During the three and nine months ended September 30, 2016, we recorded an~~ income tax ~~provision of $194,000 and $281,000, respectively. We did not have any deferred tax assets or liabilities as of September 30, 2017 or December 31, 2016.~~

~~Blackstone Mortgage Trust, Inc.~~

~~Notes to Consolidated Financial Statements (continued)~~

~~(Unaudited)~~

~~We have~~on their net operating losses, or NOLs, generated by our predecessor business that may be carried forward and utilized in current or future periods. As a result of our issuance of 25,875,000 shares of class A common stock in May 2013, the availability of our NOLs is generally limited to $2.0 million per annum by change of control provisions promulgated by the Internal Revenue Service with respect to the ownership of Blackstone Mortgage Trust. As of December 31, 2016, we had NOLs of $159.0 million that will expire in 2029, unless they are utilized by us prior to expiration.

~~As of September 30, 2017, tax years 2014 through 2016 remain subject to examination by taxing authorities.~~

~~14. STOCK-BASED INCENTIVE PLANS~~

We are externally managed by our Manager and do not currently have any employees. However, as of September 30, 2017, our Manager, certain individuals employed by an affiliate of our Manager, and certain members of our board of directors were compensated, in part, through the issuance of stock-based instruments.

We had stock-based incentive awards outstanding under seven benefit plans as of September 30, 2017: (i) our amended and restated 1997 non-employee director stock plan, or 1997 Plan; (ii) our 2007 long-term incentive plan, or 2007 Plan; (iii) our 2011 long-term incentive plan, or 2011 Plan; (iv) our 2013 stock incentive plan, or 2013 Plan; (v) our 2013 manager incentive plan, or 2013 Manager Plan; (vi) our 2016 stock incentive plan, or 2016 Plan; and (vii) our 2016 manager incentive plan, or 2016 Manager Plan. We refer to our 1997 Plan, our 2007 Plan, our 2011 Plan, our 2013 Plan, and our 2013 Manager Plan, collectively, as our Expired Plans and we refer to our 2016 Plan and 2016 Manager Plan, collectively, as our Current Plans.

Our Expired Plans have expired and no new awards may be issued under them. Under our Current Plans, a maximum of 2,400,000 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, 2017, there were 1,448,852 shares available under the Current Plans.

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

   Restricted Class A
Common Stock    Weighted-Average
Grant Date Fair
Value Per Share
Balance as of December 31, 2016
   1,309,995    $ 28.68
Granted
   289,896    30.55
Vested
   (335,536 )    27.78
Forfeited
   (3,123 )    27.37




Balance as of September 30, 2017
   1,261,232    $ 29.35

These shares generally vest in installments over a three-year period, pursuant to the terms of the respective award agreements and the terms of the Current Plans. The 1,261,232 shares of restricted class A common stock outstanding as of September 30, 2017 will vest as follows: 412,480 shares will vest in 2017; 542,789 shares will vest in 2018; 305,218 shares will vest in 2019; and 745 shares will vest in 2020. As of September 30, 2017, total unrecognized compensation cost relating to nonvested share-based compensation arrangements was $29.8 million based on the closing price of our class A common stock of $31.02 on September 29, 2017, the last trading day in the quarter ended September 30, 2017. This cost is expected to be recognized over a weighted average period of 1.0 years from September 30, 2017.

~~Blackstone Mortgage Trust, Inc.~~

~~Notes to Consolidated Financial Statements (continued)~~

~~(Unaudited)~~

~~15. FAIR VALUES~~

~~Assets and Liabilities Measured at Fair Value~~

~~The following table summarizes our assets and liabilities measured at fair value on a recurring basis ($ in thousands):~~

   September 30, 2017    December 31, 2016
     Level 1        Level 2        Level 3        Fair Value        Level 1        Level 2      Level 3        Fair Value
Assets

Derivatives
   $ —      $ 1,628    $ —      $ 1,628    $ —      $ 4,086    $ —      $ 4,086
Liabilities

Derivatives
   $ —      $ 7,167    $ —      $ 7,167    $ —      $ 210    $ —      $ 210

~~The following table reconciles the beginning and ending balances of assets measured at fair value on a recurring basis using Level 3 inputs ($ in thousands):~~

   Nine Months Ended September 30,
         2017          2016⁽¹⁾
January 1,
   $ —      $ 12,561
Proceeds from investment realizations
   —      (2,406 )
Transfers out of level 3⁽²⁾
   —      (20,745 )
Adjustments to fair value included in earnings

Gain on investments at fair value
   —      11,790




September 30,
   $ —      $ 1,200

~~(1)~~

~~All assets measured at fair value on a recurring basis using Level 3 inputs were included as a component of other assets in the consolidated Balance Sheets.~~

~~(2)~~

During the second quarter of 2016, $20.7 million of collateralized debt obligations, or CDOs, were transferred out of Level 3 and into Level 1 as a result of a binding agreement to sell the underlying collateral assets of the CDO to an independent third-party. These investments were realized in the third quarter of 2016.

taxable income. 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 in the statement of financial position, for which it is practicable~~15 to ~~estimate that value. The following table details the carrying amount, face amount, and fair value of the financial instruments described in Note 2 ($ in thousands):~~

   September 30, 2017    December 31, 2016
   Carrying    Face    Fair    Carrying    Face    Fair
   Amount    Amount    Value    Amount    Amount    Value
Financial assets

Cash and cash equivalents
   $ 61,221    $ 61,221    $ 61,221    $ 75,567    $ 75,567    $ 75,567
Restricted cash
   32,864    32,864    32,864    —      —      —
Loans receivable, net
   9,637,152    9,681,055    9,685,422    8,692,978    8,727,218    8,733,784
Financial liabilities

Secured debt agreements, net
     6,079,135      6,096,597      6,096,597      5,716,354      5,731,626      5,731,626
Loan participations sold, net
   33,193    33,193    33,193    348,077    349,633    349,633
Securitized debt obligations, net
   474,298    474,620    474,655    —      —      —
Convertible notes, net
   562,741    575,000    602,503    166,762    172,500    191,763

~~Blackstone Mortgage Trust, Inc.~~

~~Notes to Consolidated Financial Statements (continued)~~

~~(Unaudited)~~

Estimates of fair value for cash and cash equivalents, restricted cash, and convertible notes are measured using observable, quoted market prices, or Level 1 inputs. Estimates of fair value for securitized debt obligations are measured using observable, quoted market prices, in inactive markets, or Level 2 inputs. All other fair value significant estimates are measured using unobservable inputs, or Level 3 inputs. See Note 2 for further discussion regarding fair value measurement of certain of our ~~assets and liabilities.~~

~~16. VARIABLE INTEREST ENTITIES~~

In the second quarter of 2017, we financed one of our loans through the Securitization, which is a VIE. We are the primary beneficiary and consolidate the Securitization on our balance sheet as we (i) control the subordinate tranche of the Securitization, which we believe gives us the power to direct the activities that most significantly affect the Securitization, and (ii) have the right to receive benefits and obligation to absorb losses of the Securitization through the subordinate interests we own.

~~The following table details the assets and liabilities of our consolidated Securitization VIE ($ in thousands):~~

   September 30, 2017    December 31, 2016
Assets:

Loans receivable, net
   $ 500,000    $ —
Other assets
   763    —




Total assets
   $ 500,763    $ —




Liabilities:

Securitized debt obligations, net
   $ 474,298    $ —
Other liabilities
   604    —




Total liabilities
   $ 474,902    $ —

Assets held by the Securitization are restricted and can be used only to settle obligations of the Securitization, including the subordinate interests owned by us. The liabilities of the Securitization are non-recourse to us and can only be satisfied from the assets of the Securitization. The consolidation of the Securitization 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. We are not obligated to provide, have not provided, and do not intend to provide financial support to the Securitization.

~~17. TRANSACTIONS WITH RELATED PARTIES~~

We are managed by our Manager pursuant to the Management Agreement, the current term of which expires on December 19, 2017, and will be automatically renewed for a one-year term each anniversary thereafter unless earlier terminated.

As of September 30, 2017 and December 31, 2016, our consolidated balance sheet included $13.2 million and $12.8 million of accrued management and incentive fees payable to our Manager, respectively. During the three and nine months ended September 30, 2017, we paid management and incentive fees of $14.4 million and $40.1 million, respectively, to our Manager, compared to $15.8 million and $43.8 million during the same periods of 2016. In addition, during the three and nine months ended September 30, 2017, we reimbursed our Manager for expenses incurred on our behalf of $59,000 and $325,000, respectively, compared to $82,000 and $462,000 during the same periods of 2016. During the three and nine months ended September 30, 2016, CT Legacy Partners made aggregate preferred distributions of $146,000 and $491,000, respectively, to an affiliate of our Manager.

As of September 30, 2017, our Manager held 607,789 shares of unvested restricted class A common stock, which had an aggregate grant date fair value of $17.8 million. The shares vest in installments over three years from the date of issuance. During the three and nine months ended September 30, 2017, we recorded non-cash expense related to shares held by our Manager of $2.9 million and $8.7 million, respectively, compared to $2.5 million and $7.1 million during the same periods of 2016. We did not issue any shares of restricted class A common stock to our Manager during the nine months ended September 30, 2017 or 2016, respectively. Refer to Note 14 for further details on our restricted class A common stock.

During the nine months ended September 30, 2017 and 2016, we originated five loans and one loan, respectively, whereby each respective borrower engaged an affiliate of our Manager to act as title insurance agent in connection with each transaction. We did not incur any expenses or receive any revenues as a result of these transactions.

~~Blackstone Mortgage Trust, Inc.~~

~~Notes to Consolidated Financial Statements (continued)~~

~~(Unaudited)~~

During the three and nine months ended September 30, 2017, we incurred $87,000 and $254,000, respectively, of expenses for various administrative and capital market data services to third-party service providers that are affiliates of our Manager, compared to $112,000 and $282,000 during the same periods of 2016.

On June 30, 2017, in a fully subscribed offering totaling $474.6 million, certain Blackstone-advised investment vehicles purchased, in the aggregate, $72.9 million of securitized debt obligations issued by the Securitization. These investments by the Blackstone-advised investment vehicles represented no more than a 49% participation in any individual tranche and were purchased by the Blackstone-advised investment vehicles from third-party investment banks on market terms negotiated by the majority third-party investors. Refer to Note 8 for further details on the Securitization.

~~18. COMMITMENTS AND CONTINGENCIES~~

~~Unfunded Commitments Under Loans Receivable~~

As of September 30, 2017, we had unfunded commitments of $1.6 billion related to 67 of our loans receivable, which amounts will generally be funded to finance lease-related or capital expenditures by our borrowers. These future commitments will expire variously over the next four years.

~~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, 2017, we were not involved in any material legal proceedings.~~

~~Board of Directors’ Compensation~~

In April 2017, our board of directors approved changes to the compensation of our five independent directors which were effective as of the beginning of the third quarter of 2017. The other three board members, including our chairman and our chief executive officer, will continue to serve as directors without compensation for such service. These changes increased the annual compensation of our directors from $125,000 to $175,000 and are paid $75,000 in cash and $100,000 in the form of deferred stock units. In addition, (i) the chair of our audit committee received an increase in the additional annual cash compensation from $12,000 to $20,000, (ii) the other members of our audit committee received additional annual cash compensation of $10,000, and (iii) the chairs of each of our compensation and corporate governance committees received additional annual cash compensation of $10,000.

~~ITEM 2.~~

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

~~The following discussion should be read in conjunction with the unaudited~~ consolidated financial statements for additional discussion of our income taxes.

Critical Accounting Policies

Our discussion and ~~notes thereto appearing elsewhere~~analysis of our financial condition and results of operations is based upon our consolidated financial statements, which have been prepared in ~~this quarterly report on Form10-Q.~~ ~~In addition~~accordance with GAAP. There have been no material changes to ~~historical data, this discussion contains forward-looking statements about~~ our business, operations and financial performance based on current expectations that involve risks, uncertainties and assumptions. Our actual results 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 FactorsCritical Accounting Policies described in our annual report on Form 10-K filed with the SEC on February 9, 2022.

Current Expected Credit Losses

WARM method, which has been identified as an acceptable loss-rate method for estimating CECL reserves in the Financial Accounting Standards Board Staff Q&A Topic 326, No. 1. 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 February 28, 2022. 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 ~~year ended December 31, 2016~~related outstanding loan receivables.

•Current credit quality of our portfolio: Our risk rating is our primary credit quality indicator in assessing our current expected credit loss reserve. Our Manager performs a quarterly risk review of our portfolio of loans, and ~~elsewhere in this quarterly report~~assigns each loan a risk rating based on ~~Form 10-Q.~~

~~Introduction~~

~~Blackstone Mortgage Trust~~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 aadjusted to reflect our estimation of the current and future economic conditions that impact the performance of the commercial real estate ~~finance company~~assets securing our loans. These estimations include unemployment rates, interest rates, and other macroeconomic factors impacting the likelihood and magnitude of potential credit losses for our loans during their anticipated term. In addition to the CMBS data we have licensed from Trepp LLC, we have also licensed certain macroeconomic financial forecasts to inform our view of the potential future impact that ~~originates and purchases senior loans collateralized by properties in North America and Europe. We are externally managed by BXMT Advisors L.L.C., or~~broader economic conditions may have on our ~~Manager, a subsidiary of The Blackstone Group L.P., or Blackstone, and are a real estate investment trust, or REIT, traded~~loan portfolio’s performance. These estimations require significant judgments about future events that, while based on the ~~New York Stock Exchange, or NYSE, under~~information available to us as of the ~~symbol “BXMT.” We~~balance sheet date, are ~~headquartered in New York City.~~

~~We conduct~~ultimately indeterminate and the actual economic condition impacting our ~~operations~~portfolio could vary significantly from the estimates we made as ~~a REIT for U.S. federal income tax purposes. We generally~~of March 31, 2022.

•Impairment: impairment is indicated when it is deemed probable that we will not be ~~subject~~able to ~~U.S. federal income taxes on our taxable income~~collect all amounts due to us pursuant to the ~~extent~~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 ~~annually distribute all~~record the impairment as a component of our ~~net taxable income~~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 ~~stockholders and maintain our qualification as a REIT. We also operate our business in a manner that permits us~~sell, 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.~~

~~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, Core Earnings, and~~ book value ~~per share. For~~of the respective loan. These valuations require significant judgments, which include assumptions regarding capitalization rates, discount rates, leasing, creditworthiness of major tenants, occupancy rates, availability and cost of financing, exit plan, loan sponsorship, actions of other lenders, and other factors deemed relevant by our Manager. Actual losses, if any, could ultimately differ 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.

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, 2017~~March 31, 2022, we recorded ~~earnings per share~~an aggregate $2.5 million decrease in the CECL reserve related to loans receivable, debt securities, and unfunded loan commitments, bringing our total reserve to $128.5 million as of ~~$0.61, declared~~March 31, 2022. See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve.

Revenue Recognition

Interest income from our loans receivable portfolio and debt securities is recognized over the life of each investment using the effective interest method and is recorded on the accrual basis. Recognition of fees, premiums, and discounts associated with these investments is deferred and recorded over the term of the loan or debt security as an adjustment to yield. Income accrual is generally suspended for loans at the earlier of the date at which payments become 90 days past due or when, in the opinion of our Manager, recovery of income and principal becomes doubtful. Interest received is then recorded as a ~~dividend of $0.62 per share,~~reduction in the outstanding principal balance until accrual is resumed when the loan becomes contractually current and ~~reported $0.69 per share of Core Earnings.~~performance is demonstrated to be resumed. In addition, ~~our book value per share~~for loans we originate, the related origination expenses are deferred and recognized as a component of September 30, 2017 was $26.52. As further described below, Core Earnings is a measure that is not prepared in accordance with accounting principles generally accepted in the United States of America, or GAAP. We use Core Earningsinterest income, however expenses related to ~~evaluate our performance excluding the effects of certain transactions and GAAP adjustments that~~loans we ~~believe~~acquire are ~~not necessarily indicative of our current loan activity and operations.~~

~~Earnings Per Share and Dividends Declared~~

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

   Three Months Ended
   September 30, 2017    June 30, 2017
Net income⁽¹⁾
   $ 57,722    $ 50,613
Weighted-average shares outstanding, basic and diluted
       95,013,087        95,005,873




Net income per share, basic and diluted
   $ 0.61    $ 0.53




Dividends declared per share
   $ 0.62    $ 0.62

~~(1)~~

~~Represents net income attributable to Blackstone Mortgage Trust, Inc.~~

~~Core Earnings~~

~~Core Earnings is a non-GAAP measure, which we define as GAAP net income (loss), including realized gains and losses not otherwise~~ included in ~~GAAP net income (loss),~~general and ~~excluding (i) net income (loss) attributable to our CT Legacy~~administrative expenses as incurred.

VI. Loan Portfolio (ii) non-cash equity compensation expense, (iii) depreciation and amortization, (iv) unrealized gains (losses), and (v) certain non-cash items. Core Earnings may also be adjusted from time to time to exclude one-time events pursuant to changes in GAAP and certain other non-cash charges as determined by our Manager, subject to approval by a majority of our independent directors.

Details

We believe that Core Earnings provides meaningful information to consider in addition to our net income and cash flow from operating activities determined in accordance with GAAP. This adjusted measure helps us to evaluate our performance excluding the effects of certain transactions and GAAP adjustments that we believe are not necessarily indicative of our current loan portfolio and operations. Although, according to the management agreement between our Manager and us, or our Management Agreement, we calculate the incentive and base management fees due to our Manager using Core Earnings before incentive fees expense, we report Core Earnings after incentive fee expense, as we believe this is a more meaningful presentation of the economic performance of our class A common stock.

Core Earnings does not represent net income or cash generated from operating activities and should not be considered as an alternative to GAAP net income, or an indication of our GAAP cash flows from operations, a measure of our liquidity, or an indication of funds available for our cash needs. In addition, our methodology for calculating Core Earnings may differ from the methodologies employed by other companies to calculate the same or similar supplemental performance measures, and accordingly, our reported Core Earnings may not be comparable to the Core Earnings reported by other companies.

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

   Three Months Ended
   September 30, 2017    June 30, 2017
Net income⁽¹⁾
   $ 57,722    $ 50,613
Non-cash compensation expense
   5,944    5,959
GE purchase discount accretion adjustment⁽²⁾
   (138 )    (198 )
Other items
   1,610    1,001




Core Earnings
   $ 65,138    $ 57,375




Weighted-average shares outstanding, basic and diluted
   95,013,087        95,005,873




Core Earnings per share, basic and diluted
   $ 0.69    $ 0.60

~~(1)~~

~~Represents net income attributable to Blackstone Mortgage Trust.~~

~~(2)~~

Adjustment in respect of the deferral in Core Earnings of the accretion of a total $9.1 million of purchase discount attributable to a certain pool of GE portfolio loans pending the repayment of those loans.

~~Book Value Per Share~~

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

   September 30, 2017    June 30, 2017
Stockholders’ equity
   $ 2,519,614    $ 2,506,473
Shares

Class A common stock
   94,828,007    94,827,579
Deferred stock units
   189,587    181,931




Total outstanding
   95,017,594        95,009,510




Book value per share
   $ 26.52    $ 26.38

~~II. Loan Portfolio~~

During the quarter ended September 30, 2017, we originated $1.1 billion of loans. Loan fundings during the quarter totaled $860.5 million and repayments totaled $870.8 million. We generated interest income of $146.4 million and incurred interest expense of $67.9 million during the quarter, which resulted in $78.6 million of net interest income during the three months ended September 30, 2017.

~~Portfolio Overview~~

~~The following table details our loan origination activity ($ in thousands):~~

   Three Months Ended    Nine Months Ended
   September 30, 2017    September 30, 2017
Loan originations⁽¹⁾
   $ 1,095,994    $ 3,568,900
Loan fundings⁽²⁾
   $ 860,482    $ 2,838,320
Loan repayments⁽³⁾
   (870,761 )    (2,093,567 )




Total net fundings
   $ (10,279 )    $ 744,753




(1)    Includes new loan originations and additional commitments made under existing loans. Loan originations during the three and nine months ended September 30, 2017 include $4.0 million of additional commitments under related non-consolidated senior interests.
(2)    Loan fundings during the three and nine months ended September 30, 2017 include $10.8 million and $49.0 million, respectively, of additional fundings under related non-consolidated senior interests.
(3)    Loan repayments during the three and nine months ended September 30, 2017 include $17.8 million and $122.8 million, respectively, of additional repayments under related non-consolidated senior interests.

~~The following table details overall statistics for our loan portfolio as of September 30, 2017 ($ in thousands):~~

   Total Loan Exposure⁽¹⁾
   Balance Sheet
Portfolio Total Loan
Portfolio Floating Rate
Loans Fixed Rate
Loans
Number of loans
   111 111 98 13
Principal balance
   $   9,681,055 $   10,668,677 $   9,793,239 $   875,438
Net book value
   $ 9,637,152 $ 10,621,408 $ 9,746,450 $ 874,958
Unfunded loan commitments⁽²⁾
   $ 1,622,216 $ 1,673,300 $ 1,673,300 $ —
Weighted-average cash coupon⁽³⁾
   5.30 % 5.13 % L + 3.97 % 4.78 %
Weighted-average all-in yield⁽³⁾
   5.68 % 5.55 % L + 4.36 % 5.69 %
Weighted-average maximum maturity (years)⁽⁴⁾
   3.4 3.4 3.4 3.9
Loan to value (LTV)⁽⁵⁾
   61.8 % 61.1 % 60.3 % 69.6 %


~~(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 $987.6 million of such non-consolidated senior interests that are not included in our balance sheet portfolio.
~~(2)~~		Unfunded commitments will primarily be funded to finance property improvements or lease-related expenditures by the borrowers. These future commitments will be funded over the term of each loan, subject in certain cases to an expiration date.
~~(3)~~		As of September 30, 2017, our floating rate loans were indexed to various benchmark rates, with 91% of floating rate loans by loan exposure indexed to USD LIBOR based on total loan exposure. In addition, $273.9 million of our floating rate loans earned interest based on floors that are above the applicable index, with an average floor of 1.24%, as of September 30, 2017. 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. Cash coupon and all-in yield for the total portfolio assume applicable floating benchmark rates for weighted-average calculation.
~~(4)~~		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, 2017, based on total loan exposure, 69% of our loans were subject to yield maintenance or other prepayment restrictions and 31% were open to repayment by the borrower without penalty.
~~(5)~~		~~Based on LTV as of the dates loans were originated or acquired by us.~~

~~The charts below detail the geographic distribution and types of properties securing these loans, as of September 30, 2017:~~

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

~~Asset Management~~

~~We actively manage the investments in our loan portfolio and exercise the rights afforded to us~~basis, as a lender, including collateral level budget approvals, lease approvals, loan covenant enforcement, escrow/reserve management/collection, collateral release approvals and other rights that we may negotiate.

~~As discussed in Note 2 to our consolidated financial statements, our Manager performs a quarterly review~~ of our loan portfolio, assesses the performance of each loan, and assigns it a risk rating between “1” and “5,” from less risk to greater risk. The following table allocates the principal balance and total loan exposure balances based on our internal risk ratingsMarch 31, 2022 ($ in ~~thousands)~~millions):

   September 30, 2017
Risk
Rating
   Number
of Loans    Net Book
Value    Total Loan
Exposure⁽¹⁾
1        4    $ 421,313    $ 421,628
2      49    3,701,801    3,708,603
3      57    5,493,409    6,517,829
4        1    20,629    20,617
5      —      —      —






   111    $   9,637,152    $   10,668,677

~~(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 $987.6 million of such non-consolidated senior interests as of September 30, 2017.

The weighted-average risk rating of our total loan exposure was 2.6 and 2.5 as of September 30, 2017 and December 31, 2016, respectively. The increase in weighted-average risk rating was primarily driven by repayments of loans with lower risk ratings, and not rating downgrades in the existing portfolio.

~~Multifamily Joint Venture~~

As of September 30, 2017, our Multifamily Joint Venture held $146.1 million of loans, which are included in the loan disclosures above. Refer to Note 2 for additional discussion of our Multifamily Joint Venture.

~~Portfolio Financing~~

Our portfolio financing arrangements include credit facilities, the GE portfolio acquisition facility, asset-specific financings, a revolving credit agreement, loan participations sold, non-consolidated senior interests, and securitized debt obligations.


	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)	Location	Property Type	Loan Per SQFT / Unit / Key	Origination LTV(2)		Risk Rating
1	Senior Loan	8/14/2019	$	1,160	$	1,137	$	1,134	+2.55	%	+2.96	%	12/23/2024	Dublin - IE	Office	$417 / sqft	74	%	2
2	Senior Loan	3/22/2018	749		749		748		+3.25	%	+3.31	%	3/15/2026	Diversified - Spain	Mixed-Use	n / a	71	%	4
3	Senior Loan(4)	12/9/2021	770		676		387		+2.65	%	+2.82	%	12/9/2026	New York	Mixed-Use	$222 / sqft	50	%	2
4	Senior Loan(4)	8/7/2019	746		544		108		+3.11	%	+3.60	%	9/9/2025	Los Angeles	Office	$358 / sqft	59	%	3
5	Senior Loan	3/30/2021	529		529		525		+3.20	%	+3.41	%	5/15/2026	Diversified - SE	Industrial	$98 / sqft	76	%	2
6	Senior Loan	4/9/2018	1,487		523		512		+5.33	%	+6.06	%	6/9/2025	New York	Office	$525 / sqft	40	%	2
7	Senior Loan(4)	8/6/2015	315		315		57		5.74	%	5.85	%	10/29/2022	Diversified - EUR	Other	n / a	71	%	3
8	Senior Loan(4)	12/17/2021	448		440		87		+3.95	%	+4.33	%	1/9/2026	Diversified - US	Other	$13,716 / unit	61	%	3
9	Senior Loan	8/22/2018	363		363		362		+3.15	%	+3.28	%	8/9/2023	Maui	Hospitality	$471,391 / key	61	%	2
10	Senior Loan	4/11/2018	355		345		344		+2.85	%	+3.10	%	5/1/2023	New York	Office	$437 / sqft	71	%	3
11	Senior Loan	9/23/2019	387		340		338		+3.00	%	+3.22	%	11/15/2024	Diversified - Spain	Hospitality	$185,926 / key	62	%	4
12	Senior Loan	10/25/2021	337		337		333		+4.30	%	+4.62	%	10/25/2024	Diversified - AU	Hospitality	$165,939 / key	56	%	3
13	Senior Loan	1/11/2019	315		315		314		+4.35	%	+4.70	%	1/11/2026	Diversified - UK	Other	$312 / sqft	74	%	4
14	Senior Loan	7/23/2021	500		307		302		+4.00	%	+4.47	%	8/9/2027	New York	Multi	$412,117 / unit	58	%	3
15	Senior Loan	3/25/2022	306		306		302		+4.50	%	+4.86	%	3/25/2027	Diversified - UK	Hospitality	$139,447 / key	65	%	3
16	Senior Loan(4)	11/22/2019	470		303		60		+3.70	%	+4.17	%	12/9/2025	Los Angeles	Office	$296 / sqft	69	%	3
17	Senior Loan	2/27/2020	303		300		299		+2.70	%	+3.04	%	3/9/2025	New York	Multi	$940 / sqft	59	%	2
18	Senior Loan	11/30/2018	286		286		285		n/m(7)	%	n/m(7)	%	8/9/2025	New York	Hospitality	$306,870 / key	73	%	5
19	Senior Loan	10/23/2018	290		277		276		+2.80	%	+3.04	%	11/9/2024	Atlanta	Office	$258 / sqft	64	%	2
20	Senior Loan	12/11/2018	310		276		275		+2.55	%	+2.77	%	12/9/2023	Chicago	Office	$232 / sqft	78	%	3
21	Senior Loan	9/30/2021	280		265		263		+2.50	%	+2.77	%	9/30/2026	Dallas	Multi	$139,884 / unit	74	%	3
22	Senior Loan	7/15/2021	319		264		260		+4.25	%	+4.73	%	7/15/2026	Diversified - EUR	Hospitality	$201,770 / key	53	%	3
23	Senior Loan	4/26/2021	264		264		262		+2.45	%	+2.63	%	5/9/2026	Diversified - US	Multi	$156,393 / unit	75	%	3
24	Senior Loan	9/29/2021	312		258		256		+2.70	%	+2.92	%	10/9/2026	Washington, DC	Office	$336 / sqft	66	%	2
25	Senior Loan	11/30/2018	264		257		257		+2.80	%	+3.03	%	12/9/2024	San Francisco	Hospitality	$377,577 / key	73	%	4
26	Senior Loan	9/14/2021	259		252		250		+2.50	%	+2.76	%	9/14/2026	Dallas	Multi	$203,644 / unit	72	%	3
27	Senior Loan	2/23/2022	245		227		225		+2.60	%	+2.84	%	3/9/2027	Reno	Multi	$210,655 / unit	74	%	3
28	Senior Loan	7/16/2021	240		223		221		+3.50	%	+3.81	%	2/15/2027	London - UK	Multi	$252,889 / unit	72	%	3
29	Senior Loan	7/20/2017	250		223		222		+3.70	%	+4.16	%	8/9/2023	San Francisco	Office	$369 / sqft	58	%	2
30	Senior Loan	9/16/2021	247		216		215		+3.80	%	+4.49	%	4/9/2024	San Francisco	Office	$272 / sqft	53	%	3

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

   Portfolio Financing
   Outstanding Principal Balance
   September 30, 2017    December 31, 2016
Credit facilities
   $ 4,386,645    $ 3,572,837
GE portfolio acquisition facility
   1,090,946    1,479,582
Asset-specific financings
   517,256    679,207
Revolving credit agreement
   101,750    —
Loan participations sold
   33,193    349,633
Non-consolidated senior interests
   987,621    1,029,516
Securitized debt obligations
   474,620    —




Total portfolio financing
   $     7,592,031    $ 7,110,775

~~Credit Facilities~~

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

continued…


	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)	Location	Property Type	Loan Per SQFT / Unit / Key	Origination LTV(2)		Risk Rating
31	Senior Loan	4/23/2021	$	219	$	209	$	209	+3.65	%	+3.77	%	5/9/2024	Washington, DC	Office	$234 / sqft	57	%	3
32	Senior Loan	8/31/2017	203		202		202		+2.50	%	+2.85	%	9/9/2023	Orange County	Office	$235 / sqft	64	%	3
33	Senior Loan	6/28/2019	215		200		198		+3.70	%	+4.37	%	6/27/2024	London - UK	Office	$655 / sqft	71	%	3
34	Senior Loan	6/27/2019	212		198		198		+2.80	%	+3.16	%	8/15/2026	Berlin - DEU	Office	$208 / sqft	62	%	3
35	Senior Loan	9/30/2021	195		195		193		+3.75	%	+4.10	%	10/9/2026	Boca Raton	Multi	$532,787 / unit	77	%	3
36	Senior Loan	9/30/2021	245		194		192		+4.00	%	+4.49	%	9/30/2026	Diversified - Spain	Hospitality	$175,076 / key	60	%	3
37	Senior Loan	9/25/2019	193		193		193		+4.35	%	+4.93	%	9/26/2023	London - UK	Office	$881 / sqft	72	%	3
38	Senior Loan	11/23/2018	192		192		191		+2.62	%	+2.87	%	2/15/2024	Diversified - UK	Office	$571 / sqft	50	%	3
39	Senior Loan(4)	3/23/2020	256		191		38		+3.75	%	+4.47	%	1/9/2025	Nashville	Other	$219 / sqft	60	%	2
40	Senior Loan	12/22/2016	203		191		191		+3.90	%	+4.65	%	12/9/2023	New York	Office	$269 / sqft	64	%	3
41	Senior Loan	6/4/2018	188		188		188		+3.50	%	+3.76	%	6/9/2024	New York	Hospitality	$309,308 / key	52	%	4
42	Senior Loan	10/1/2019	248		182		181		+3.75	%	+4.25	%	10/9/2025	Atlanta	Office	$369 / sqft	68	%	1
43	Senior Loan	11/5/2019	190		180		180		+3.85	%	+4.45	%	2/21/2025	Diversified - IT	Office	$405 / sqft	66	%	3
44	Senior Loan	3/9/2022	177		177		176		+2.95	%	+3.17	%	8/15/2027	Various	Retail	$152 / sqft	55	%	3
45	Senior Loan	2/15/2022	191		177		175		+2.90	%	+3.14	%	3/9/2027	Denver	Office	$353 / sqft	61	%	3
46	Senior Loan	12/17/2021	178		175		174		+3.95	%	+4.33	%	1/9/2026	Diversified - US	Other	$5,680 / unit	48	%	3
47	Senior Loan	9/5/2019	198		173		172		+2.75	%	+3.26	%	9/9/2024	New York	Office	$1,076 / sqft	62	%	2
48	Senior Loan	9/30/2021	256		172		170		+3.00	%	+3.35	%	10/9/2028	Chicago	Office	$190 / sqft	74	%	3
49	Senior Loan	9/26/2019	165		165		165		+3.10	%	+3.34	%	7/9/2023	New York	Office	$241 / sqft	65	%	3
50	Senior Loan	9/4/2018	173		159		159		+3.00	%	+3.39	%	9/9/2023	Las Vegas	Hospitality	$192,600 / key	70	%	3
51	Senior Loan	10/7/2021	165		159		158		+3.25	%	+3.58	%	10/9/2025	Los Angeles	Office	$323 / sqft	68	%	3
52	Senior Loan	3/7/2022	156		156		155		+3.45	%	+3.63	%	6/9/2026	Los Angeles	Hospitality	$624,000 / key	64	%	3
53	Senior Loan	5/27/2021	205		154		153		+2.70	%	+2.99	%	6/9/2026	Atlanta	Office	$130 / sqft	66	%	3
54	Senior Loan	8/24/2021	179		153		152		+3.10	%	+3.41	%	9/9/2026	San Jose	Office	$365 / sqft	65	%	3
55	Senior Loan	8/31/2021	150		150		149		+3.15	%	+3.42	%	9/9/2026	Diversified - US	Retail	$299 / sqft	65	%	3
56	Senior Loan	1/27/2022	178		149		147		+3.10	%	+3.44	%	2/9/2027	Dallas	Multi	$97,259 / unit	71	%	3
57	Senior Loan	11/18/2021	149		149		148		+3.25	%	+3.51	%	10/21/2026	London - UK	Industrial	$203 / sqft	65	%	2
58	Senior Loan	12/20/2019	148		148		147		+3.10	%	+3.32	%	12/18/2026	London - UK	Office	$748 / sqft	75	%	2
59	Senior Loan	7/23/2021	244		146		144		+5.00	%	+5.39	%	8/9/2027	New York	Office	$473 / sqft	53	%	3
60	Senior Loan	12/21/2021	141		141		139		+2.75	%	+3.11	%	12/21/2026	London - UK	Industrial	$489 / sqft	67	%	3

continued…


	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)	Location	Property Type	Loan Per SQFT / Unit / Key	Origination LTV(2)		Risk Rating
61	Senior Loan	1/17/2020	$	203	$	139	$	139	+2.75	%	+3.07	%	2/9/2025	New York	Mixed-Use	$115 / sqft	43	%	3
62	Senior Loan	3/10/2020	140		131		131		+2.50	%	+2.50	%	10/11/2024	New York	Mixed-Use	$797 / sqft	53	%	2
63	Senior Loan	9/14/2021	132		127		127		+2.70	%	+2.95	%	10/9/2026	San Bernardino	Multi	$256,774 / unit	75	%	3
64	Senior Loan	11/27/2019	146		127		126		+2.75	%	+3.13	%	12/9/2024	Minneapolis	Office	$127 / sqft	64	%	3
65	Senior Loan	11/17/2021	135		125		124		+2.80	%	+3.15	%	12/9/2026	Denver	Multi	$323,316 / unit	71	%	3
66	Senior Loan	4/3/2018	126		125		125		+2.75	%	+2.92	%	4/9/2024	Dallas	Mixed-Use	$761 / sqft	64	%	3
67	Senior Loan	3/29/2021	134		124		122		+3.90	%	+4.49	%	3/29/2026	Diversified - UK	Multi	$54,199 / unit	61	%	3
68	Senior Loan	2/25/2022	124		124		123		+4.00	%	+4.31	%	2/25/2027	Copenhagen - DK	Industrial	$87 / sqft	69	%	3
69	Senior Loan	3/28/2022	150		123		122		+3.05	%	+3.35	%	4/9/2027	Miami	Office	$338 / sqft	69	%	3
70	Senior Loan	5/13/2021	199		121		120		+3.55	%	+3.94	%	6/9/2026	Boston	Office	$614 / sqft	64	%	3
71	Senior Loan	3/17/2022	285		119		118		+3.75	%	+4.51	%	6/30/2025	London - UK	Office	$537 / sqft	62	%	3
72	Senior Loan	6/1/2021	120		117		117		+2.85	%	+3.05	%	6/9/2026	Miami	Multi	$291,189 / unit	61	%	2
73	Senior Loan	9/14/2018	117		117		117		+3.50	%	+3.84	%	9/14/2023	Canberra - AU	Mixed-Use	$344 / sqft	68	%	3
74	Senior Loan	6/28/2019	125		117		117		+2.75	%	+2.91	%	2/1/2024	Los Angeles	Office	$591 / sqft	48	%	3
75	Senior Loan	4/6/2021	123		117		116		+3.20	%	+3.52	%	4/9/2026	Los Angeles	Office	$494 / sqft	65	%	3
76	Senior Loan	7/15/2019	145		117		116		+2.90	%	+3.25	%	8/9/2024	Houston	Office	$211 / sqft	58	%	3
77	Senior Loan	10/21/2021	114		114		114		+2.90	%	+3.15	%	11/9/2025	Fort Lauderdale	Multi	$334,311 / unit	64	%	2
78	Senior Loan	8/27/2021	122		114		113		+3.00	%	+3.29	%	9/9/2026	San Diego	Retail	$430 / sqft	58	%	3
79	Senior Loan	12/21/2021	120		110		109		+2.70	%	+3.00	%	1/9/2027	Washington, DC	Office	$384 / sqft	68	%	3
80	Senior Loan	5/20/2021	148		110		108		+3.60	%	+4.00	%	6/9/2026	San Jose	Office	$281 / sqft	65	%	3
81	Senior Loan	1/7/2022	155		110		109		+3.70	%	+3.70	%	1/9/2027	Fort Lauderdale	Office	$283 / sqft	55	%	2
82	Senior Loan	3/13/2018	123		105		105		+3.00	%	+3.27	%	4/9/2027	Honolulu	Hospitality	$162,093 / key	50	%	3
83	Senior Loan	2/15/2022	106		104		103		+2.85	%	+3.19	%	3/9/2027	Tampa	Multi	$237,844 / unit	73	%	3
84	Senior Loan	2/20/2019	177		103		101		+3.95	%	+5.69	%	2/19/2024	London - UK	Office	$504 / sqft	61	%	3
85	Senior Loan	12/29/2021	110		100		99		+2.85	%	+3.06	%	1/9/2027	Phoenix	Multi	$260 / sqft	64	%	3
86	Senior Loan	12/21/2018	108		99		99		+2.60	%	+2.85	%	1/9/2024	Chicago	Office	$194 / sqft	72	%	3
87	Senior Loan	7/1/2021	104		99		98		+3.10	%	+3.35	%	7/9/2026	Diversified - US	Retail	$281 / sqft	61	%	3
88	Senior Loan	6/18/2021	99		99		98		+2.60	%	+2.83	%	7/9/2026	New York	Industrial	$52 / sqft	55	%	2
89	Senior Loan	3/25/2020	118		98		98		+2.40	%	+2.78	%	3/31/2025	Diversified - NL	Multi	$120,029 / unit	65	%	2
90	Senior Loan	10/1/2021	101		98		97		+2.75	%	+3.02	%	10/1/2026	Phoenix	Multi	$226,852 / unit	77	%	3

continued…


	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)	Location	Property Type	Loan Per SQFT / Unit / Key	Origination LTV(2)		Risk Rating
91	Senior Loan	3/29/2022	$	103	$	98	$	97	+2.70	%	+2.96	%	4/9/2027	Miami	Multi	$272,423 / unit	75	%	3
92	Senior Loan	10/16/2018	106		97		97		+3.25	%	+3.52	%	11/9/2023	San Francisco	Hospitality	$211,959 / key	72	%	4
93	Senior Loan	3/28/2019	97		97		97		+3.25	%	+3.25	%	1/9/2024	New York	Hospitality	$249,463 / key	63	%	4
94	Senior Loan	10/28/2021	96		96		95		+2.90	%	+3.25	%	11/9/2026	Philadelphia	Multi	$353,704 / unit	79	%	3
95	Senior Loan	12/10/2018	117		95		94		+3.45	%	+3.95	%	12/3/2024	London - UK	Office	$452 / sqft	72	%	3
96	Senior Loan	2/3/2021	111		93		92		+3.20	%	+3.57	%	2/9/2026	Austin	Office	$385 / sqft	56	%	1
97	Senior Loan	10/27/2021	93		93		92		+2.50	%	+2.69	%	11/9/2026	Orlando	Multi	$155,612 / unit	75	%	3
98	Senior Loan	3/3/2022	92		92		91		+3.45	%	+3.76	%	3/9/2027	Boston	Hospitality	$418,182 / key	64	%	3
99	Senior Loan	6/14/2021	100		92		92		+3.70	%	+4.04	%	7/9/2024	Miami	Office	$194 / sqft	65	%	3
100	Senior Loan	3/31/2017	97		91		91		+4.30	%	+4.54	%	4/9/2023	New York	Office	$446 / sqft	64	%	3
101	Senior Loan	12/22/2021	91		91		90		+3.18	%	+3.44	%	1/9/2027	Las Vegas	Multi	$205,682 / unit	65	%	3
102	Senior Loan	12/15/2021	91		87		87		+2.85	%	+3.10	%	1/9/2027	Charlotte	Multi	$249,000 / unit	76	%	3
103	Senior Loan	12/10/2021	135		87		86		+3.00	%	+3.37	%	1/9/2027	Miami	Office	$291 / sqft	49	%	3
104	Senior Loan	6/25/2021	85		85		85		+2.75	%	+3.10	%	7/1/2026	St. Louis	Multi	$80,339 / unit	70	%	3
105	Senior Loan	7/30/2021	87		81		81		+2.50	%	+2.84	%	8/9/2026	Los Angeles	Multi	$160,993 / unit	70	%	3
106	Senior Loan	3/9/2022	92		80		79		+2.90	%	+3.43	%	3/9/2025	Boston	Office	$209 / sqft	68	%	3
107	Senior Loan	7/29/2021	82		78		77		+2.65	%	+3.02	%	6/9/2026	Charlotte	Multi	$212,295 / unit	78	%	3
108	Senior Loan	6/27/2019	84		77		77		+2.50	%	+2.66	%	7/9/2024	West Palm Beach	Office	$266 / sqft	70	%	2
109	Senior Loan	11/23/2021	92		77		76		+2.75	%	+3.08	%	12/9/2026	Los Angeles	Industrial	$219 / sqft	66	%	3
110	Senior Loan	4/1/2021	102		76		75		+3.30	%	+3.71	%	4/9/2026	San Jose	Office	$507 / sqft	67	%	3
111	Senior Loan	6/18/2019	75		75		75		+2.75	%	+3.15	%	7/9/2024	Napa Valley	Hospitality	$785,340 / key	74	%	1
112	Senior Loan	12/30/2021	228		73		71		+4.35	%	+5.05	%	1/9/2028	Santa Monica	Multi	$132,635 / unit	50	%	3
113	Senior Loan	7/23/2021	73		71		71		+3.00	%	+3.02	%	7/9/2024	New York	Multi	$403 / sqft	62	%	2
114	Senior Loan	10/28/2021	69		69		69		+2.55	%	+2.74	%	11/9/2026	Tacoma	Multi	$209,864 / unit	70	%	3
115	Senior Loan	1/26/2022	338		69		66		+4.10	%	+4.56	%	2/9/2027	Seattle	Office	$145 / sqft	56	%	3
116	Senior Loan	1/30/2020	104		68		68		+2.85	%	+3.22	%	2/9/2026	Honolulu	Hospitality	$218,327 / key	63	%	3
117	Senior Loan	9/22/2021	67		67		67		+3.00	%	+3.16	%	4/1/2024	Jacksonville	Multi	$181,081 / unit	62	%	2
118	Senior Loan	12/21/2021	74		67		66		+2.70	%	+3.06	%	1/9/2027	Tampa	Multi	$195,588 / unit	77	%	3
119	Senior Loan	3/24/2022	65		65		65		+3.50	%	+3.59	%	4/1/2027	Fairfield	Multi	$406,250 / unit	70	%	3
120	Senior Loan	12/10/2021	68		65		64		+2.85	%	+3.19	%	1/9/2027	Austin	Multi	$260,000 / unit	73	%	3

continued…


	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)	Location	Property Type	Loan Per SQFT / Unit / Key	Origination LTV(2)		Risk Rating
121	Senior Loan	8/22/2019	$	74	$	65	$	65	+2.55	%	+2.93	%	9/9/2024	Los Angeles	Office	$389 / sqft	63	%	3
122	Senior Loan	10/5/2018	64		64		64		+5.50	%	+5.92	%	12/20/2022	Sydney - AU	Office	$683 / sqft	78	%	3
123	Senior Loan	3/31/2022	70		62		62		+2.80	%	+3.14	%	4/9/2027	Las Vegas	Multi	$136,602 / unit	71	%	3
124	Senior Loan	3/31/2021	62		62		62		+3.73	%	+3.86	%	4/1/2024	Boston	Multi	$316,327 / unit	75	%	2
125	Senior Loan	12/23/2021	62		62		61		+2.18	%	+2.99	%	9/1/2023	New York	Office	$144 / sqft	71	%	3
126	Senior Loan	7/30/2021	62		62		62		+2.75	%	+2.94	%	8/9/2026	Salt Lake City	Multi	$224,185 / unit	73	%	3
127	Senior Loan	12/15/2021	151		61		59		+3.32	%	+4.69	%	12/15/2026	Dublin - IE	Multi	$1,089,851 / unit	79	%	3
128	Senior Loan	6/29/2017	61		61		61		+3.40	%	+4.16	%	7/9/2023	New York	Multi	$177,479 / unit	69	%	4
129	Senior Loan	8/27/2021	63		61		60		+3.85	%	+4.37	%	9/9/2026	Diversified - US	Hospitality	$112,208 / key	67	%	3
130	Senior Loan	8/14/2019	70		59		58		+2.45	%	+2.90	%	9/9/2024	Los Angeles	Office	$670 / sqft	57	%	3
131	Senior Loan	9/29/2021	62		58		58		+2.85	%	+3.02	%	10/1/2025	Houston	Multi	$52,968 / unit	61	%	3
132	Senior Loan	12/17/2021	58		58		57		+2.65	%	+2.85	%	1/9/2027	Phoenix	Multi	$209,601 / unit	69	%	3
133	Senior Loan	7/16/2021	58		58		58		+2.75	%	+3.03	%	8/1/2025	Orlando	Multi	$195,750 / unit	74	%	2
134	Senior Loan	6/30/2021	65		58		57		+2.90	%	+3.19	%	7/9/2026	Nashville	Office	$236 / sqft	71	%	3
135	Senior Loan	4/15/2021	66		57		57		+3.00	%	+3.30	%	5/9/2026	Austin	Office	$277 / sqft	73	%	3
136	Senior Loan	11/11/2021	59		56		55		+3.95	%	+4.74	%	8/6/2026	London - UK	Hospitality	$199,416 / key	40	%	3
137	Senior Loan	12/10/2020	61		55		55		+3.25	%	+3.54	%	1/9/2026	Fort Lauderdale	Office	$191 / sqft	68	%	3
138	Senior Loan	6/28/2021	55		55		55		+3.60	%	+4.86	%	2/15/2023	Diversified - Spain	Hospitality	$139,889 / key	56	%	3
139	Senior Loan	12/22/2021	55		55		54		+2.82	%	+2.96	%	1/1/2027	Los Angeles	Multi	$272,500 / unit	68	%	3
140	Senior Loan	12/14/2018	60		52		52		+2.90	%	+3.14	%	1/9/2024	Diversified - US	Industrial	$39 / sqft	57	%	2
141	Senior Loan	11/30/2016	61		52		52		+3.10	%	+3.22	%	12/9/2023	Chicago	Retail	$1,014 / sqft	54	%	4
142	Senior Loan	6/26/2019	67		52		52		+3.35	%	+3.66	%	6/20/2024	London - UK	Office	$586 / sqft	61	%	3
143	Senior Loan	7/30/2021	59		51		51		+2.75	%	+2.96	%	8/9/2026	Tampa	Multi	$128,174 / unit	71	%	3
144	Senior Loan	12/9/2021	51		51		51		+2.75	%	+2.89	%	1/1/2027	Portland	Multi	$241,825 / unit	65	%	3
145	Senior Loan	2/17/2021	53		51		51		+3.55	%	+3.75	%	3/9/2026	Miami	Multi	$290,985 / unit	64	%	2
146	Senior Loan	9/23/2021	49		49		49		+2.75	%	+2.86	%	10/1/2026	Portland	Multi	$232,938 / unit	65	%	3
147	Senior Loan	8/5/2021	57		49		49		+2.90	%	+3.04	%	8/9/2026	Denver	Office	$186 / sqft	70	%	3
148	Senior Loan	12/17/2021	66		49		48		+4.35	%	+4.93	%	1/9/2026	Diversified - US	Other	$3,693 / unit	37	%	3
149	Senior Loan	2/20/2019	54		48		48		+3.50	%	+3.92	%	3/9/2024	Calgary - CAN	Office	$133 / sqft	52	%	2
150	Senior Loan	7/20/2021	48		48		48		+2.75	%	+3.09	%	8/9/2026	Los Angeles	Multi	$366,412 / unit	60	%	3

continued…


	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)	Location	Property Type	Loan Per SQFT / Unit / Key	Origination LTV(2)		Risk Rating
151 - 203	Senior Loan(4)	Various	2,791		1,735		1,685		+3.05	%	+3.52	%	3.7 yrs	Various	Various	Various	62	%	2.7
	CECL reserve						(122)
	Loans receivable, net		$	30,827	$	25,628	$	23,587	+3.25	%	+3.60	%	3.5 yrs				65	%	2.8


~~(1)~~		~~Maximum facility size represents the largest amount of borrowings available under a given facility once sufficient collateral assets have been approved~~ (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 ~~the lender and pledged by us.~~
~~(2)~~		~~Represents the principal balance of the collateral assets.~~
~~(3)~~		~~Potential borrowings represents the total amount we could draw under each facility based on collateral already approved and pledged. When undrawn, these amounts are immediately available to~~ us, ~~at our sole discretion under the terms of each credit facility.~~
~~(4)~~		As of September 30, 2017, the Citibank maximum facility size was composed of a general $500.0 million facility size denominated in U.S. Dollars plus a general €250.0 million ($295.4 million) facility size that contemplated British Pound Sterling and Euro borrowings.
~~(5)~~		As of September 30, 2017, the JP Morgan maximum facility size was composed of a general $500.0 million facility size, under which U.S. Dollars and British Pound Sterling borrowings are contemplated.
~~(6)~~		As of September 30, 2017, the Société Générale maximum facility size was composed of a €400.0 million facility size that was translated to $472.6 million. Borrowings denominated in U.S. Dollars, British Pound Sterling, and Euro are contemplated under this facility.
~~(7)~~		As of September 30, 2017, the Morgan Stanley maximum facility size was composed of a £500.0 million facility size that was translated to $669.9 million. Borrowings denominated in U.S. Dollars, British Pound Sterling, and Euro are contemplated under this facility.
~~(8)~~		~~These facilities finance the loan investments of our consolidated Multifamily Joint Venture. Refer to Note 2 for additional discussion of our Multifamily Joint Venture.~~

The weighted-average outstanding balance of our credit facilities was $4.0 billion for the nine months ended September 30, 2017. As of September 30, 2017, we had aggregate borrowings of $4.4 billion outstanding under our credit facilities, with a weighted-average cash coupon of LIBOR plus 1.88% per annum, a weighted-average all-in cost of credit, including associated fees and expenses, of LIBOR plus 2.09% per annum, and a weighted-average advance rate of 78.8%. As of September 30, 2017, outstanding borrowings under these facilities had a weighted-average maturity, excluding extension options and term-out provisions, of 1.5 years.

~~Borrowings under each facility are subject to the initial approval of eligible collateral loans by the lender~~ and the ~~maximum advance rate and pricing rate of individual advances are determined with reference to the attributes of the respective collateral loan.~~

~~GE Portfolio Acquisition Facility~~

During the second quarter of 2015, concurrently with our acquisition of the GE portfolio, we entered into an agreement with Wells Fargo to provide us with secured financing for the acquired portfolio. As of September 30, 2017, this facility provided for $1.2 billion of financing, of which $1.1 billion was outstanding and an additional $129.4 million was available to finance future loan fundings in the GE portfolio. The GE portfolio acquisition facility is non-revolving and consists of a single master repurchase agreement providing for asset-specific borrowings for each collateral asset.

~~Asset-Specific Financings~~

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

   September 30, 2017
      Principal    Book    Wtd. Avg.    Wtd. Avg.
Asset-Specific Financings
   Count    Balance    Value    Yield/Cost⁽¹⁾ Guarantee⁽²⁾    Term⁽³⁾
Collateral assets
   5    $     662,223    $     659,152    L+4.70 % n/a    Dec. 2020
Financing provided⁽⁴⁾
   5    $     517,256    $     516,537    L+2.48 % $ 162,517    Dec. 2020


~~(1)~~		These floating rate loans and related liabilities are indexed to the various benchmark rates relevant in each arrangement in terms of currency and payment frequency. Therefore the net exposure to each benchmark rate is in direct proportion to our net assets indexed to that rate. In addition to cash coupon, yield/cost includes the amortization of deferred origination fees / financing costs.
~~(2)~~		~~Other than amounts guaranteed on an asset-by-asset basis, borrowings under our asset-specific financings are non-recourse to us.~~
~~(3)~~		The weighted-average term is determined based on the maximum maturity of the corresponding loans, assuming all extension options are exercised by the borrower. Each of our asset-specific financings are term-matched to the corresponding collateral loans.
~~(4)~~		~~Borrowings of $394.8 million under these asset specific financings are cross collateralized with related credit facilities with the same lenders.~~

~~Refer~~such date. Origination dates are subsequently updated to ~~Note 6 to our consolidated financial statements for additional terms and details of our secured debt agreements, including certain financial covenants.~~

~~Revolving Credit Agreement~~

During the second quarter of 2017, we increased the borrowing capacity under our secured revolving credit agreement with Barclays by $125.0 million to $250.0 million. This full recourse facility is designed to finance first mortgage originations for up to six monthsreflect material loan modifications.

(3)Total loan amount reflects outstanding principal balance as a bridge to term financing or syndication. Advances under the agreement are subject to availability under a specified borrowing base and accrue interest at a per annum pricing rate equal to the sum of (i) an applicable base rate or Eurodollar rate and (ii) an applicable margin, in each case, dependent on the applicable type ofwell as any related unfunded loan ~~collateral. The maturity date of the facility is April 4, 2020.~~

During the nine months ended September 30, 2017, the weighted-average outstanding borrowings under the revolving credit agreement were $23.5 million and we recorded interest expense of $1.7 million, including $575,000 of amortization of deferred fees and expenses. As of September 30, 2017, we had $101.8 million of borrowings outstanding under the agreement.

commitment.

~~Loan Participations Sold~~

~~The following table details our loan participations sold ($ in thousands):~~

   September 30, 2017
      Principal    Book
Loan Participations Sold
   Count    Balance    Value    Yield/Cost⁽¹⁾ Guarantee⁽²⁾    Term
Total loan
   1    $   93,710    $   91,498    L+5.96 % n/a    Feb. 2022
Senior participation⁽³⁾
   1    33,193    33,193    L+4.00 % n/a    Feb. 2022


~~(1)~~		Our floating rate loans and related liabilities are indexed to the various benchmark rates relevant in each arrangement in terms of currency and payment frequency. Therefore the net exposure to each benchmark rate is in direct proportion to our net assets indexed to that rate. In addition to cash coupon, yield/cost includes the amortization of deferred fees / financing costs.
~~(2)~~		~~As of September 30, 2017, our loan participation sold was non-recourse to us.~~
~~(3)~~		During the three and nine months ended September 30, 2017, we recorded $4.0 million and $9.3 million, respectively, of interest expense related to our loan participations sold, of which $2.6 million and $7.7 million was paid in cash.

~~Refer to Note 7 to our consolidated financial statements for additional details of our loan participations sold.~~

~~Non-Consolidated Senior Interests~~

(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. ~~These~~As of March 31, 2022, seven loans in our portfolio have been financed with an aggregate $1.8 billion of non-consolidated senior ~~interests provide structural leverage for our net investments~~interest, which are ~~reflected~~included in the ~~form~~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 USD LIBOR, SOFR, SONIA, EURIBOR, and other indices as applicable to each loan. As of ~~mezzanine~~March 31, 2022, 99% of our loans orby total loan exposure earned a floating rate of interest, primarily indexed to USD LIBOR. The other ~~subordinate interests on~~1% of our ~~balance sheet and in our results~~loans earned a fixed rate of ~~operations. The following table details~~interest, which we reflect as a spread over the ~~subordinate interests retained on our balance sheet and the related non-consolidated senior interests~~relevant floating benchmark rates, as of ~~September 30, 2017 ($ in thousands):~~

   September 30, 2017
      Principal    Book    Wtd. Avg.    Wtd. Avg.
Non-Consolidated Senior Interests
   Count    Balance    Value    Yield/Cost⁽¹⁾ Guarantee    Term
Total loan
   3    $   1,203,306    n/a    5.97 % n/a    Sept. 2021
Senior participation
   3    987,621    n/a    4.37 % n/a    Sept. 2021


~~(1)~~		Our floating rate loans and related liabilities were indexed to the various benchmark rates relevant in each arrangement in terms of currency and payment frequency. Therefore the net exposure to each benchmark rate is in direct proportion to our net assets indexed to that rate. In addition to cash coupon, all-in yield/cost includes the amortization of deferred fees / financing costs.

~~Securitized Debt Obligations~~

~~The following table details~~March 31, 2022, for purposes of the weighted-averages. In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees. Excludes one loan accounted for under the cost-recovery method.

(6)Maximum maturity assumes all extension options are exercised, however our ~~securitized debt obligations ($ in thousands):~~

   September 30, 2017
      Principal    Book
Securitized Debt Obligations
   Count    Balance    Value    Yield/Cost⁽¹⁾ Term⁽²⁾
Total loan
   1    $   644,788    $   641,262    L+3.60 % June 2023
Securitized debt obligations⁽³⁾
   1    474,620    474,298    L+1.94 % June 2033


~~(1)~~		~~In addition to cash coupon, yield/cost includes the amortization of deferred origination fees / financing costs.~~
~~(2)~~		Loan term represents final maturity, assuming all extension options are exercised by the borrower. Repayments of securitized debt obligations are tied to timing of the related collateral loan asset repayments. The term of these obligations represents the rated final distribution date of the securitization.
~~(3)~~		~~During the three and nine months ended September 30, 2017, we recorded $3.8 million of interest expense related to our securitized debt obligations.~~

~~Refer~~loans may be repaid prior to ~~Notes 8 and 16 to our consolidated financial statements~~such date.

(7)Loan is accounted for ~~additional details of our securitized debt obligations.~~

under the cost-recovery method.

~~Floating~~

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, 2017, 92%~~March 31, 2022, 99% of our ~~loans~~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. As of ~~September 30, 2017,~~March 31, 2022 the remaining 8%1% of our ~~loans~~investments by total ~~loan~~investment exposure earned a fixed rate of ~~interest, but~~interest.

LIBOR and certain other floating rate benchmark indices to which our floating rate loans and other loan agreements are ~~financed~~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, and the Swiss Average Rate Overnight, or SARON, 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 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 that mature after June 30, 2023 which 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 ~~liabilities that pay interest at floating rates, which resulted in~~the Alternative Reference Rates Committee, a ~~negative correlation~~steering committee comprised 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 Treasury securities, as its preferred alternative rate for USD LIBOR. Additionally, market participants have started to ~~rising interest rates~~transition from GBP LIBOR to the ~~extent~~Sterling Overnight Index Average, or SONIA, in line with guidance from the U.K. regulators. As of March 31, 2022, one-month SOFR is utilized as the floating benchmark rate on 37 of our ~~financing. In~~loans, the financing provided on the 2020 FL3 and 2020 FL2 CLOs, and certain ~~instances where we have financed fixed~~borrowings under eight of our credit facilities. As of March 31, 2022, the one-month SOFR was 0.30% and one-month USD LIBOR was 0.45%. Additionally, as of March 31, 2022, daily compounded SONIA is utilized as the floating benchmark rate ~~assets with~~for all of our floating rate ~~liabilities, we~~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, and Switzerland have ~~purchased~~been reformed and rates such as EURIBOR, STIBOR, BBSY, CDOR, and SARON 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 expected discontinuation of currently used financial reference rates and use of alternative replacement reference rates may adversely affect net interest ~~rate swaps~~income related to our loans and investments or ~~caps~~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 on February 9, 2022.

The following table projects the earnings impact on our interest income and expense, net of incentive fees, for the twelve-month period following March 31, 2022, 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 ~~limit our exposure to increases~~the average indices during the three months ended March 31, 2022 ($ in ~~interest rates on such liabilities.~~

~~Our liabilities are generally currency and index-matched to each collateral asset, resulting in a net exposure to movements in benchmark rates that varies by currency silo based on~~thousands):


	Assets (Liabilities) Sensitive to Changes in Interest Rates(1)		Interest Rate Sensitivity as of March 31, 2022(2)
			Increase in Rates								Decrease in Rates
			50 Basis Points		100 Basis Points		150 Basis Points		200 Basis Points		50 Basis Points
Floating rate assets	$	25,275,100	$	64,894	$	144,804	$	235,503	$	333,463	$	(20,823)
Floating rate liabilities(3)	(19,528,948)		(63,426)		(136,772)		(211,633)		(289,280)		27,082
Net exposure	$	5,746,152	$	1,468	$	8,032	$	23,870	$	44,183	$	6,259

(1)Reflects the ~~relative proportion~~USD equivalent value of floating rate assets and ~~liabilities. The following table details our loan portfolio’s~~liabilities denominated in foreign currencies.

(2)Increases (decreases) in interest income and expense are presented net ~~exposure to interest rates by currency as~~ of ~~September 30, 2017 ($/£/€/C$ in thousands):~~

   USD    GBP    EUR    CAD
Floating rate loans⁽¹⁾
   $     8,923,957    £     306,606    €     109,732    C$     410,145
Floating rate debt^(1)(2)(3)
   (6,503,552 )    (172,553 )    (66,186 )    (358,905 )








Net floating rate exposure⁽⁴⁾
   $ 2,420,405    £ 134,053    € 43,546    C$ 51,240


~~(1)~~		Our floating rate loans and related liabilities are indexed to the various benchmark rates relevant in each case in terms of currency and payment frequency. Therefore the net exposure to each benchmark rate is in direct proportion to our net assets indexed to that rate.
~~(2)~~		~~Includes borrowings under secured debt agreements, loan participations sold, non-consolidated senior interests, and securitized debt obligations.~~
~~(3)~~		~~Liabilities balance includes four interest rate swaps totaling C$108.2 million ($86.7 million as of September 30, 2017) that are used to hedge a portion of our fixed rate debt.~~
~~(4)~~		~~In addition, we have interest rate caps of $204.2 million and C$23.4 million to limit our exposure to increases in interest rates.~~

~~Convertible Notes~~

~~As of September 30, 2017, the following convertible senior notes, or Convertible Notes, were outstanding ($ in thousands):~~

Convertible Notes Issuance
   Face Value    Coupon Rate All-in Cost⁽¹⁾ Maturity
November 2013
   $     172,500    5.25 % 5.87 % December 1, 2018
May 2017
   402,500    4.38 % 4.85 % May 5, 2022


~~(1)~~		~~Includes issuance costs that are amortized through interest expense over the life of the Convertible Notes using the effective interest method.~~

incentive fees. Refer to ~~Notes 2 and 9 to our consolidated financial statements for additional discussion of our Convertible Notes.~~

~~III. Our Results of Operations~~

~~Operating Results~~

~~The following table sets forth information regarding our consolidated results of operations ($ in thousands, except per share data):~~

Three Months Ended
September 30, 2017 vs
2016 Nine Months Ended
September 30, 2017 vs
2016
2017 2016 $ 2017 2016 $
Income from loans and other investments

Interest and related income
$     146,446 $     128,190 $ 18,256 $ 391,787 $ 381,686 $ 10,101
Less: Interest and related expenses
67,891 45,373 22,518 168,917 139,819 29,098

Income from loans and other investments, net
78,555 82,817 (4,262 ) 222,870 241,867 (18,997 )
Other expenses

Management and incentive fees
13,243 13,701 (458 ) 40,557 43,161 (2,604 )
General and administrative expenses
7,419 7,414 5 22,219 20,990 1,229

Total other expenses
20,662 21,115 (453 ) 62,776 64,151 (1,375 )
Gain on investments at fair value
—   2,824 (2,824 ) —   13,413 (13,413 )
Income from equity investment in unconsolidated subsidiary
—   2,060 (2,060 ) —   2,192 (2,192 )

Income before income taxes
57,893 66,586 (8,693 ) 160,094 193,321 (33,227 )
Income tax provision
83 194 (111 ) 265 281 (16 )

Net income
57,810 66,392 (8,582 ) 159,829 193,040 (33,211 )

Net income attributable to non-controlling interests
(88 ) (1,598 ) 1,510 (88 ) (8,119 ) 8,031

Net income attributable to Blackstone Mortgage Trust, Inc.
$ 57,722 $ 64,794 $   (7,072 ) $   159,741 $   184,921 $   (25,180 )

Net income per share - basic and diluted
$ 0.61 $ 0.69 $ (0.08 ) $ 1.68 $ 1.97 $ (0.29 )
Dividends declared per share
$ 0.62 $ 0.62 $ —   $ 1.86 $ 1.86 $ —

~~Income from loans and other investments, net~~

Income from loans and other investments, net decreased $4.3 million and $19.0 million during the three and nine months ended September 30, 2017, respectively, as compared to the corresponding periods in 2016. The decreases in both periods were primarily due to a decrease in non-recurring prepayment fee income and an increase in interest expense as a result of the convertible debt we issued in May 2017.

~~Other expenses~~

Other expenses are composed of management and incentive fees payable to our Manager and general and administrative expenses. Other expenses decreased by $453,000 during the three months ended September 30, 2017 compared to the corresponding period in 2016 due to (i) a decrease of $1.3 million of compensation expenses associated with our CT Legacy Portfolio incentive plans, and (ii) a decrease of $494,000 of incentive fees payable to our Manager. These were partially offset by (i) $964,000 of additional non-cash restricted stock amortization related to shares awarded under our long-term incentive plans, and (ii) an increase of $302,000 of general operating expenses.

Other expenses decreased by $1.4 million during the nine months ended September 30, 2017 compared to the nine months ended September 30, 2016 due to (i) a decrease of $2.8 million of incentive fees payable to our Manager, and (ii) a decrease of $2.2 million of compensation expenses associated with our CT Legacy Portfolio incentive plans. These were partially offset by (i) $3.3 million of additional non-cash restricted stock amortization related to shares awarded under our long-term incentive plans, (ii) an increase of $212,000 of management fees payable to our Manager, and (iii) an increase of $87,000 of general operating expenses.

~~Gain on investments at fair value~~

During the three and nine months ended September 30, 2016, we recognized $2.8 million and $13.4 million, respectively, of net gains on investments held by CT Legacy Partners. Our investment in CT Legacy Partners was substantially realized as of December 31, 2016.

~~Income from equity investment in unconsolidated subsidiary~~

During the three and nine months ended September 30, 2016, we recognized a $2.1 million gain and a $2.2 million gain, respectively, related to our promote interest from CTOPI. The investment in CTOPI was fully realized as of December 31, 2016.

~~Net income attributable to non-controlling interests~~

During the three and nine months ended September 30, 2017, our non-controlling interests related to our Multifamily Joint Venture. During the three and nine months ended September 30, 2016, our non-controlling interests related to CT Legacy Partners. In each case, the non-controlling interests represent the portion of the consolidated entity’s net income that is not owned by us.

During the three and nine months ended September 30, 2017, we recognized $88,000 of net income attributable to non-controlling interests related to our Multifamily Joint Venture. During the three and nine months ended September 30, 2016, we recognized $1.6 million and $8.1 million, respectively, of net income attributable to non-controlling interests which related to the gain on investments at fair value recognized by CT Legacy Partners during both periods.

~~Dividends per share~~

During the three months ended September 30, 2017, we declared a dividend of $0.62 per share, or $58.8 million, which was paid on October 13, 2017 to common stockholders of record as of September 30, 2017. During the three months ended September 30, 2016, we declared a dividend of $0.62 per share, or $58.2 million.

During the nine months ended September 30, 2017, we declared aggregate dividends of $1.86 per share, or $176.4 million. During the nine months ended September 30, 2016, we declared aggregate dividends of $1.86 per share, or $174.7 million.

~~IV. Liquidity and Capital Resources~~

~~Capitalization~~

We have capitalized our business to date through, among other things, the issuance and sale of shares of our class A common stock, borrowings under secured debt agreements, and the issuance and sale of Convertible Notes. As of September 30, 2017, we had 94,828,007 shares of our class A common stock outstanding representing $2.5 billion of stockholders’ equity, $6.1 billion of outstanding borrowings under secured debt agreements, and $575.0 million of Convertible Notes outstanding.

As of September 30, 2017, our secured debt agreements consisted of credit facilities with an outstanding balance of $4.4 billion, the GE portfolio acquisition facility with an outstanding balance of $1.1 billion, and $517.3 million of asset-specific financings. We also finance our business through the sale of loan participations and non-consolidated senior interests. As of September 30, 2017 we had $33.2 million of loan participations sold and $987.6 million of non-consolidated senior interests outstanding. In addition, as of September 30, 2017, our consolidated balance sheets included $474.6 million of securitized debt obligations related to the Securitization.

~~See Notes 6, 7, 8, and 9~~Note 14 to our consolidated financial statements for additional details ~~regarding our secured debt agreements, loan participations sold, securitized debt obligations, 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, 2017~~	~~December 31, 2016~~
~~Debt-to-equity ratio~~⁽¹⁾	~~2.6x~~	~~2.3x~~
~~Total leverage ratio~~⁽²⁾	~~3.2x~~	~~2.9x~~


~~(1)~~		~~Represents (i) total outstanding secured debt agreements and convertible notes, less cash, to (ii) total equity, in each case at period end.~~
~~(2)~~		Represents (i) total outstanding secured debt agreements, convertible notes, loan participations sold, non-consolidated senior interests, and securitized debt obligations, less cash, to (ii) total equity, in each case at period end.

~~Sources of Liquidity~~

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

   September 30, 2017    December 31, 2016
Cash and cash equivalents
   $ 61,221    $ 75,567
Available borrowings under secured debt agreements
   639,828    541,743
Loan principal payments held by servicer, net⁽¹⁾
   845    670




   $ 701,894    $ 617,980


~~(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.

In addition to our current sources of liquidity, we have access to liquidity through public offerings of debt and equity securities. To facilitate such offerings, in July 2016, we filed a shelf registration statement with the Securities and Exchange Commission, or the SEC, that is effective for a term of three years and expires in July 2019. 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) debt securities; (iv) depositary shares representing preferred stock; (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 a dividend reinvestment plan and direct stock purchase plan, under which 9,997,356 shares of class A common stock were available for issuance as of September 30, 2017, and our at-the-market stock offering program, pursuant to which we may sell, from time to time, up to $188.6 million of additional shares of our ~~class A common stock as of September 30, 2017. Refer to Note 11 to our consolidated financial statements for additional details.~~

~~Our existing loan portfolio also provides us with liquidity as loans are repaid or sold, in whole or in part, and the proceeds from such repayments become available for us to reinvest.~~

~~Liquidity Needs~~

~~In addition to our ongoing loan origination activity, our primary liquidity needs include interest and principal payments under our $6.1 billion of~~incentive fee calculation.

(3)Includes amounts outstanding ~~borrowings~~ under secured debt, ~~agreements, our Convertible Notes, our unfunded loan commitments, dividend distributions to our stockholders,~~securitizations, asset-specific financings, and ~~operating expenses.~~

term loans.

Investment Portfolio Value

~~Contractual Obligations and Commitments~~

~~Our contractual obligations and commitments as~~

As of ~~September 30, 2017 were as follows ($ in thousands):~~

      Payment Timing
   Total    Less Than    1 to 3    3 to 5    More Than
   Obligation    1 Year    Years    Years    5 Years
Unfunded loan commitments⁽¹⁾
   $ 1,622,216    $ 224,032    $ 1,294,133    $   104,051    $ —
Principal payments under secured debt agreements⁽²⁾
   6,096,597    2,221,319    3,629,304    245,974    —
Principal payments on convertible notes
   575,000    —      172,500    402,500    —
Interest payments⁽²⁾⁽³⁾
   400,423    204,915    164,633    30,875    —










Total⁽⁴⁾
   $   8,694,236    $   2,650,266    $   5,260,570    $ 783,400    $ —


~~(1)~~		~~The allocation of our unfunded loan commitments is based on the earlier of the commitment expiration date or the loan maturity date.~~
~~(2)~~		~~The allocation of our secured debt agreements for both principal and interest payments is based on the current maturity date of each individual borrowing under the respective agreement.~~
~~(3)~~		Represents interest payments on our secured debt agreements and convertible notes. Future interest payment obligations are estimated assuming the amounts outstanding and the interest rates in effect as of September 30, 2017 will remain constant into the future. This is only an estimate as actual amounts borrowed and rates will vary over time.
~~(4)~~		Total does not include $33.2 million of loan participations sold, $987.6 million of non-consolidated senior interests, and $474.6 million of consolidated securitized debt obligations, as the satisfaction of these liabilities will not require cash outlays from us.

We are also required to settle our foreign currency forward contracts and interest rate swaps with our derivative counterparties upon maturity which, depending on foreign exchange and interest rate movements, may result in cash received from or due to the respective counterparty. The table above does not include these amounts as they are not fixed and determinable. Refer to Note 10 to our consolidated financial statement 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 12 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~~March 31, 2022, 1% of our net taxable income to stockholders in the form of dividends to comply with the REIT provisions of the Internal Revenue Code of 1986, as amended, or the Internal Revenue Code. Our taxable income does not necessarily equal our net income as calculated in accordance with GAAP, or our Core Earnings as described above.

~~Cash Flows~~

~~The following table provides a breakdown of the net change in our cash, cash equivalents, and restricted cash ($ in thousands):~~

   Nine Months Ended September 30,
   2017    2016
Cash flows provided by operating activities
   $     176,539    $   187,564
Cash flows (used in) provided by investing activities
   (319,687 )    789,573
Cash flows provided by (used in) financing activities
   157,100    (989,730 )




Net increase (decrease) in cash, cash equivalents, and restricted cash
   $ 13,952    $ (12,593 )

We experienced a net increase in cash, cash equivalents, and restricted cash of $14.0 million for the nine months ended September 30, 2017, compared to a net decrease of $12.6 million for the nine months ended September 30, 2016. During the nine months ended September 30, 2017, we (i) collected $2.0 billion of proceeds from loan principal repayments, (ii) received $394.1 million of net proceeds from the issuance of a convertible note offering, and (iii) borrowed a net $294.8 million under our secured debt agreements. We used the proceeds from our debt and equity financing activities to fund $2.3 billion of new loans during the nine months ended September 30, 2017.

Refer to Note 3 to our consolidated financial statements for further discussion of our loan activity. Refer to Notes 6 and 7 to our consolidated financial statements for additional discussion of our secured debt agreements and participations sold.

~~V. Other Items~~

~~Income Taxes~~

We elected to be taxed as a REIT, effective January 1, 2003, under the Internal Revenue Code for U.S. federal income tax purposes. We generally must distribute annually at least 90% of our net taxable income, subject to certain adjustments and excluding any net capital gain, in order for U.S. federal income tax not to apply to our earnings that we distribute. To the extent that we satisfy this distribution requirement, but distribute less than 100% of our net taxable income, we will be subject to U.S. federal income tax on our undistributed taxable income. In addition, we will be subject to a 4% nondeductible excise tax if the actual amount that we pay out to our stockholders in a calendar year is less than a minimum amount specified under U.S. federal tax laws.

Our qualification as a REIT also depends on our ability to meet various other requirements imposed by the Internal Revenue Code, which relate to organizational structure, diversity of stock ownership, and certain restrictions with regard to the nature of our assets and the sources of our income. Even if we qualify as a REIT, we may be subject to certain U.S. federal income and excise taxes and state and local taxes on our income and assets. If we fail to maintain our qualification as a REIT for any taxable year, we may be subject to material penalties as well as federal, state and local income tax on our taxable income at regular corporate rates and we would not be able to qualify as a REIT for the subsequent four full taxable years. As of September 30, 2017 and December 31, 2016, we were in compliance with all REIT requirements.

~~Refer to Note 13 to our consolidated financial statements for additional discussion of our income taxes.~~

~~Off-Balance Sheet Arrangements~~

~~We have no off-balance sheet arrangements.~~

~~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. The preparation of these financial statements requires our Manager to make estimates and assumptions that affect the reported amounts of assets, liabilities, revenue and expenses, and related disclosure of contingent assets and liabilities. Actual results could differ from these estimates. There have been no material changes to our Critical Accounting Policies described in our annual report on Form 10-K filed with the SEC on February 14, 2017.

~~Refer to Note 2 to our consolidated financial statements for the description of our significant accounting policies.~~

~~VI. Loan Portfolio Details~~

~~The following table provides details of our loan~~ portfolio ~~on aloan-by-loan~~ ~~basis, as of September 30, 2017 ($ in millions):~~

Loan Type⁽¹⁾

Origination
Date⁽²⁾
Total
Loan⁽³⁾ Principal
Balance⁽³⁾ Net Book
Value Cash
Coupon⁽⁴⁾ All-in
Yield⁽⁴⁾
Maximum
Maturity⁽⁵⁾

Location

Property
Type

Loan Per
SQFT / Unit / Key
LTV⁽²⁾
Risk
Rating
1
Senior loan 5/11/2017 $ 752.6 $644.8 $ 641.3 L + 3.40 % L + 3.60 % 6/10/2023 Virginia Office 316 / sqft 62% 3
2
Senior loan⁽³⁾ 5/15/2015 590.0 531.4 89.9 L + 4.25 % L + 4.74 % 5/15/2020 Miami Retail 674 / sqft 36% 3
3
Senior loan⁽³⁾ 8/6/2015 494.8 494.8 89.7 4.49% 5.82% 10/29/2022 Diversified - EUR Other n/a 71% 3
4
Senior loan 5/1/2015 320.3 294.5 293.9 L + 3.45 % L + 3.83 % 5/1/2020 New York Office 375 / sqft 68% 3
5
Senior loan 1/7/2015 315.0 293.8 293.0 L + 3.50 % L + 3.71 % 1/9/2021 New York Office 252 / sqft 53% 2
6
Senior loan 6/4/2015 274.4 274.4 277.6 L + 4.34 % L + 4.20 % 9/2/2020 Diversified - CAN Hotel 42,371 / key 54% 2
7
Senior loan 3/31/2017 258.4 241.5 239.3 L + 4.15 % L + 4.54 % 4/9/2022 Maui Hotel 318,182 / key 75% 3
8
Senior loan 6/23/2015 222.7 215.1 214.7 L + 3.65 % L + 3.97 % 5/8/2022 Washington DC Office 241 / sqft 72% 2
9
Senior loan 7/31/2014 215.0 213.3 213.1 L + 3.40 % L + 3.52 % 8/9/2019 Chicago Office 281 / sqft 64% 1
10
Senior loan 8/3/2016 275.9 194.1 192.3 L + 4.66 % L + 5.21 % 8/9/2021 New York Office 267 / sqft 57% 3
11
Senior loan 8/19/2016 200.0 189.8 189.5 L + 3.64 % L + 4.10 % 9/9/2021 New York Office 579 / sqft 69% 3
12
Senior loan 4/15/2016 200.0 188.8 188.1 L + 4.25 % L + 4.86 % 5/9/2021 New York Office 176 / sqft 40% 3
13
Senior loan 2/25/2014 181.0 181.0 180.8 L + 4.75 % L + 5.07 % 3/9/2019 Diversified - US Hotel 95,113 / key 58% 2
14
Senior loan⁽³⁾ 6/30/2015 180.1 177.1 34.9 L + 4.75 % L + 5.16 % 8/15/2022 San Francisco Condo 827 / sqft 60% 3
15
Senior loan 12/22/2016 204.5 171.9 170.5 L + 3.50 % L + 4.07 % 1/9/2022 New York Office 242 / sqft 66% 3
16
Senior loan 8/17/2016 186.7 169.1 168.0 L + 3.75 % L + 4.13 % 9/9/2021 San Francisco Office 492 / sqft 65% 3
17
Senior loan 8/31/2017 183.0 165.4 163.6 L + 3.00 % L + 3.40 % 9/9/2022 Orange County Office 196 / sqft 64% 3
18
Senior loan 5/16/2017 189.2 163.8 162.0 L + 3.90 % L + 4.29 % 5/16/2021 Chicago Office 123 / sqft 59% 3
19
Senior loan 3/8/2016 181.2 161.7 160.6 L + 3.55 % L + 3.85 % 3/9/2021 Orange County Office 203 / sqft 52% 3
20
Senior loan 6/3/2016 160.0 160.0 160.0 L + 4.42 % L + 4.42 % 6/9/2021 Los Angeles Office 86 / sqft 41% 2
21
Senior loan 2/17/2017 150.0 150.0 148.8 L + 4.65 % L + 5.04 % 3/9/2022 Honolulu Hotel 240,770 / key 65% 3
22
Senior loan 10/30/2013 140.0 140.0 139.8 L + 4.38 % L + 4.54 % 9/9/2020 San Francisco Hotel 215,716 / key 66% 2
23
Senior loan 10/5/2016 145.5 139.4 138.5 L + 4.35 % L + 4.84 % 10/9/2021 Diversified - US Hotel 52,558 / key 61% 2
24
Senior loan 8/23/2017 165.0 135.8 134.1 L + 3.25 % L + 3.64 % 10/9/2022 Los Angeles Office 276 / sqft 74% 3
25
Senior loan 10/26/2016 133.5 133.5 132.5 L + 4.20 % L + 4.57 % 11/9/2021 Oakland Office 137 / sqft 72% 2
26
Senior loan 1/30/2014 133.4 133.4 133.1 L + 4.30 % L + 5.32 % 12/1/2017 New York Hotel 212,341 / key 38% 2
27
Senior loan 2/12/2016 225.0 124.6 122.4 L + 5.75 % L + 7.08 % 2/11/2021 Seattle Office 165 / sqft 48% 3
28
Senior loan 6/29/2017 141.1 121.0 119.7 L + 3.35 % L + 3.77 % 7/9/2022 Torrance Multi 239,139 / unit 68% 3
29
Senior loan 12/9/2014 141.5 120.4 120.4 L + 3.80 % L + 3.80 % 12/9/2019 Diversified - US Office 79 / sqft 65% 2
30
Senior loan 10/17/2016 111.2 111.2 110.4 L + 3.95 % L + 4.31 % 10/21/2021 Diversified - UK Other 158 / sqft 73% 3

~~continued…~~

Loan Type⁽¹⁾

Origination
Date⁽²⁾
Total
Loan⁽³⁾ Principal
Balance⁽³⁾ Net Book
Value Cash
Coupon⁽⁴⁾ All-in
Yield⁽⁴⁾
Maximum
Maturity⁽⁵⁾

Location

Property
Type

Loan Per
SQFT / Unit / Key
LTV⁽²⁾
Risk
Rating
31
Senior loan 2/20/2014 110.0 110.0 109.7 L + 3.95 % L + 4.16 % 3/9/2021 Long Island Office 162 / sqft 74% 2
32
Senior loan 2/18/2016 107.2 107.2 106.9 L + 3.75 % L + 4.41 % 4/20/2019 London - UK Office 913 / sqft 44% 3
33
Senior loan 6/24/2015 107.3 103.7 103.4 L + 4.25 % L + 4.62 % 7/9/2020 Honolulu Hotel 173,921 / key 67% 2
34
Senior loan 7/28/2016 119.0 103.4 102.7 L + 3.60 % L + 4.00 % 8/9/2021 Atlanta Office 164 / sqft 70% 3
35
Senior loan 3/12/2015 101.2 101.1 101.0 L + 3.25 % L + 3.61 % 3/11/2020 Orange County Office 268 / sqft 66% 1
36
Senior loan 4/27/2016 100.8 100.8 100.7 L + 4.35 % L + 5.02 % 5/9/2021 Chicago Office 134 / sqft 74% 2
37
Senior loan 1/22/2016 128.5 97.8 97.2 L + 4.25 % L + 4.76 % 2/9/2021 Los Angeles Retail 254 / sqft 64% 3
38
Senior loan 6/23/2015 93.8 93.8 95.9 L + 4.30 % L + 4.83 % 1/27/2018 Diversified - US Other 231,631 / unit 57% 3
39
Senior loan 1/26/2017 288.0 93.7 91.5 L + 5.50 % L + 5.96 % 2/9/2022 Boston Office 252 / sqft 42% 2
40
Senior loan 3/10/2016 98.5 90.7 90.2 L + 4.10 % L + 4.52 % 4/9/2021 Chicago Multi 625,799 / unit 63% 3
41
Senior loan 5/16/2014 100.0 90.6 90.1 L + 3.85 % L + 4.21 % 4/9/2022 Miami Office 208 / sqft 67% 3
42
Senior loan 5/22/2014 98.7 85.8 85.6 L + 3.75 % L + 4.07 % 6/15/2021 Orange County Office 150 / sqft 67% 2
43
Senior loan 2/18/2015 89.9 85.6 85.6 L + 3.75 % L + 3.75 % 3/9/2020 Diversified - CA Office 177 / sqft 71% 2
44
Senior loan 7/23/2014 90.0 85.0 84.7 L + 3.85 % L + 4.07 % 7/9/2020 Atlanta Office 170 / sqft 43% 2
45
Senior loan 1/31/2017 134.8 84.8 83.7 L + 5.00 % L + 5.49 % 2/9/2022 Boston Other 460 / sqft 60% 3
46
Senior loan 7/11/2014 87.2 82.2 81.7 L + 3.55 % L + 3.83 % 8/9/2020 Chicago Office 160 / sqft 65% 2
47
Senior loan 10/28/2014 85.0 82.1 82.0 L + 3.75 % L + 4.12 % 11/9/2019 New York Retail 1,534 / sqft 78% 2
48
Senior loan 6/23/2015 80.9 80.9 81.3 L + 3.65 % L + 3.82 % 11/30/2018 Diversified - US Hotel 68,474 / key 83% 2
49
Senior loan 5/1/2015 83.5 79.7 79.5 L + 3.95 % L + 4.31 % 5/9/2020 Maryland Hotel 204,238 / key 67% 2
50
Senior loan 2/12/2016 100.0 79.5 79.4 L + 4.15 % L + 4.68 % 3/9/2021 Long Island Office 119 / sqft 65% 3
51
Senior loan 6/23/2015 75.4 75.2 75.3 5.19 % ⁽⁶⁾ 5.50 % ⁽⁶⁾ 8/31/2020 Diversified - FL MHC 20,512 / unit 69% 1
52
Senior loan 6/4/2015 77.6 74.2 74.8 5.13 % ⁽⁶⁾ 5.43 % ⁽⁶⁾ 3/28/2019 Diversified - CAN Retail 43 / sqft 74% 3
53
Senior loan 8/18/2017 82.3 73.2 72.5 L + 4.10 % L + 4.46 % 8/18/2022 Brussels Office 103 / sqft 59% 3
54
Senior loan 3/31/2017 91.2 68.3 67.5 L + 4.30 % L + 4.87 % 4/9/2022 New York Office 335 / sqft 64% 3
55
Senior loan 2/27/2015 102.2 67.7 67.0 L + 3.55 % L + 3.92 % 4/28/2022 Chicago Office 140 / sqft 65% 2
56
Senior loan 9/1/2017 76.0 65.0 64.3 L + 4.15 % L + 4.58 % 9/9/2021 New York Condo 685 / sqft 64% 3
57
Senior loan 10/6/2014 67.0 64.4 64.2 L + 4.35 % L + 4.61 % 10/9/2019 Long Island Hotel 104,698 / key 56% 3
58
Senior loan 11/30/2016 79.0 63.9 63.3 L + 3.95 % L + 4.39 % 12/9/2021 Chicago Retail 1,263 / sqft 54% 3
59
Senior loan 6/29/2016 75.4 63.7 63.2 L + 3.65 % L + 4.08 % 7/9/2021 Fort Lauderdale Office 246 / sqft 64% 3
60
Senior loan 5/11/2017 135.9 62.7 61.5 L + 3.40 % L + 3.91 % 6/10/2023 Virginia Office 146 / sqft 38% 2

~~continued…~~

Loan Type⁽¹⁾

Origination
Date⁽²⁾
Total
Loan⁽³⁾ Principal
Balance⁽³⁾ Net Book
Value Cash
Coupon⁽⁴⁾ All-in
Yield⁽⁴⁾
Maximum
Maturity⁽⁵⁾

Location

Property
Type

Loan Per
SQFT / Unit / Key
LTV⁽²⁾
Risk
Rating
61
Senior loan 3/11/2014 65.0 62.1 62.1 L + 4.50 % L + 4.77 % 4/9/2019 New York Multi 698,177 / unit 65% 3
62
Senior loan 7/13/2017 86.3 60.0 59.2 L + 3.75 % L + 4.18 % 8/9/2022 Honolulu Hotel 192,926 / key 66% 3
63
Senior loan 1/13/2014 60.0 60.0 59.5 L + 3.45 % L + 4.89 % 6/9/2020 New York Office 284 / sqft 53% 2
64
Senior loan 5/9/2017 73.7 59.3 58.7 L + 3.85 % L + 4.30 % 5/9/2022 New York Multi 357,510 / unit 67% 3
65
Senior loan 6/29/2017 64.2 57.5 56.9 L + 3.40 % L + 3.71 % 7/9/2023 New York Multi 167,638 / unit 69% 3
66
Senior loan 6/4/2015 57.0 57.0 56.8 L + 3.25 % L + 4.09 % 1/6/2018 Norwich - UK Retail 156 / sqft 55% 2
67
Senior loan 11/28/2013 63.0 56.2 56.2 L + 4.38 % L + 5.30 % 1/20/2019 London - UK Office 689 / sqft 58% 3
68
Senior loan 7/21/2017 55.4 55.4 55.4 L + 3.95 % L + 4.15 % 4/1/2019 Broomfield Multi 153,889 / unit 49% 2
69
Senior loan 9/9/2014 56.0 52.5 52.4 L + 4.00 % L + 4.25 % 9/9/2019 Ft. Lauderdale Office 150 / sqft 71% 2
70
Senior loan 5/20/2015 52.4 52.4 52.7 L + 3.50 % L + 3.75 % 12/31/2018 Chicago Office 133 / sqft 67% 3
71
Senior loan 11/23/2016 55.4 50.0 49.6 L + 3.50 % L + 3.80 % 12/9/2022 New York Multi 208,333 / unit 65% 3
72
Senior loan 5/20/2015 58.0 49.5 49.5 5.25 % ⁽⁶⁾ 5.52 % ⁽⁶⁾ 6/30/2019 Charlotte Office 98 / sqft 71% 3
73
Senior loan 12/27/2016 57.2 49.5 49.0 L + 4.65 % L + 5.08 % 1/9/2022 New York Multi 1,260,476 / unit 64% 3
74
Senior loan 9/1/2016 47.6 47.6 47.5 L + 4.35 % L + 4.97 % 9/1/2021 Atlanta Multi 240,517 / unit 72% 3
75
Senior loan 9/22/2016 46.0 45.5 45.3 L + 4.25 % L + 4.90 % 10/9/2019 New York Office 456 / sqft 51% 3
76
Senior loan 11/19/2015 50.0 45.3 45.3 L + 4.00 % L + 4.32 % 10/9/2018 New York Office 1,163 / sqft 57% 3
77
Senior loan 2/9/2017 46.6 44.4 44.0 L + 4.50 % L + 4.98 % 2/9/2022 London Office 726 / sqft 69% 3
78
Senior loan 8/29/2017 51.2 43.5 43.0 L + 3.10 % L + 3.52 % 10/9/2022 Southern California Industrial 91 / sqft 65% 3
79
Senior loan 3/26/2014 42.9 42.9 42.8 L + 4.30 % L + 4.56 % 4/9/2019 East Bay Office 123 / sqft 71% 2
80
Senior loan 6/11/2015 39.5 39.5 39.7 5.18 % ⁽⁶⁾ 5.41 % ⁽⁶⁾ 9/30/2020 Diversified - US MHC 22,584 / unit 79% 2
81
Senior loan 6/26/2015 42.1 38.8 38.8 L + 3.75 % L + 3.76 % 7/9/2020 San Diego Office 177 / sqft 73% 2
82
Senior loan 11/17/2014 38.5 38.5 38.4 L + 5.50 % L + 6.17 % 12/9/2019 Diversified - CAN Office 61 / sqft 53% 2
83
Senior loan 5/20/2015 37.9 37.9 38.0 4.66 % ⁽⁶⁾ 5.19 % ⁽⁶⁾ 1/31/2019 Los Angeles Office 176 / sqft 59% 2
84
Senior loan 8/25/2015 43.8 37.4 37.3 L + 4.50 % L + 4.76 % 9/9/2018 Los Angeles Office 166 / sqft 46% 3
85
Senior loan 6/12/2014 34.8 34.8 34.7 L + 4.00 % L + 4.36 % 6/30/2018 Los Angeles Office 39 / sqft 44% 2
86
Senior loan 10/22/2015 34.8 34.8 34.8 L + 4.50 % L + 5.03 % 10/22/2018 London - UK Office 2,614 / sqft 64% 3
87
Senior loan 6/11/2015 34.0 34.0 34.1 5.34% 5.58% 5/31/2020 Diversified - US MHC 20,801 / unit 65% 2
88
Senior loan 7/14/2017 32.8 32.8 32.8 L + 4.35 % L + 4.58 % 8/1/2018 Davis Multi 215,461 / unit 59% 2
89
Senior loan 5/20/2015 36.5 32.0 31.9 L + 3.60 % L + 4.07 % 7/11/2019 Los Angeles Office 387 / sqft 46% 1
90
Senior loan 4/17/2015 31.9 31.9 31.8 L + 4.50 % L + 4.95 % 4/20/2020 Hague - NL Hotel 104,241 / key 71% 2

~~continued…~~

Loan Type⁽¹⁾

Origination
Date⁽²⁾
Total
Loan⁽³⁾ Principal
Balance⁽³⁾ Net Book
Value Cash
Coupon⁽⁴⁾ All-in
Yield⁽⁴⁾
Maximum
Maturity⁽⁵⁾

Location

Property
Type

Loan Per
SQFT / Unit / Key
LTV⁽²⁾
Risk
Rating
91
Senior loan 2/28/2014 26.0 26.0 26.0 L + 4.00 % L + 4.26 % 3/9/2019 Phoenix Other 123,223 / unit 69% 2
92
Senior loan 6/11/2015 25.9 25.9 25.9 5.25 % ⁽⁶⁾ 5.74 % ⁽⁶⁾ 11/30/2020 West Palm Beach MHC 53,418 / unit 75% 2
93
Senior loan 6/18/2014 24.5 24.5 24.4 L + 4.00 % L + 4.43 % 7/20/2019 Diversified - NL Office 64 / sqft 69% 3
94
Senior loan 6/11/2015 24.4 24.4 24.4 5.37 % ⁽⁶⁾ 5.87 % ⁽⁶⁾ 11/30/2020 Ft. Lauderdale MHC 49,523 / unit 70% 2
95
Senior loan 5/28/2015 48.7 21.7 21.7 L + 4.00 % L + 4.57 % 6/30/2018 Los Angeles Office 25 / sqft 53% 2
96
Senior loan 6/4/2015 21.3 21.3 21.1 4.50% 5.06% 12/23/2021 Montreal - CAN Office 58 / sqft 45% 2
97
Senior loan 5/28/2015 20.6 20.6 20.6 L + 3.95 % L + 4.97 % 3/31/2019 Pittsburgh Hotel 92,455 / key 71% 4
98
Senior loan 6/4/2015 18.2 18.2 18.3 4.63% 5.00% 3/1/2019 Ontario - CAN Other 53,616 / unit 59% 2
99
Senior loan 6/11/2015 17.9 17.9 17.8 5.04 % ⁽⁶⁾ 5.61 % ⁽⁶⁾ 11/30/2020 Ft. Lauderdale MHC 26,119 / unit 51% 2
100
Senior loan 6/4/2015 17.2 17.2 17.3 5.20% 5.55% 9/4/2020 Diversified - CAN Other 3,757 / unit 61% 2
101
Senior loan 5/8/2017 80.0 15.2 14.4 L + 3.75 % L + 4.86 % 5/8/2022 Washington DC Office 71 / sqft 73% 3
102
Senior loan 6/11/2015 14.9 14.9 14.9 5.34 % ⁽⁶⁾ 5.87 % ⁽⁶⁾ 9/30/2020 Tampa MHC 39,244 / unit 64% 2
103
Senior loan 6/4/2015 15.6 14.8 15.4 L + 4.50 % L + 4.69 % 12/1/2017 Toronto - CAN Office 89 / sqft 58% 2
104
Senior loan 7/21/2017 13.6 13.6 13.6 L + 4.50 % L + 4.74 % 10/1/2018 Phoenix Multi 83,951 / unit 68% 2
105
Senior loan 9/6/2017 13.3 13.3 13.2 L + 4.25 % L + 5.17 % 4/1/2019 Austin Multi 127,644 / unit 57% 3
106
Senior loan 7/13/2017 13.1 13.1 13.1 L + 4.50 % L + 4.86 % 2/1/2020 Orlando Multi 60,648 / unit 61% 2
107
Senior loan 5/28/2015 12.8 12.8 12.8 L + 4.75 % L + 5.01 % 10/15/2017 Diversified - US Office 48 / sqft 86% 2
108
Senior loan 7/21/2017 10.7 10.7 10.7 L + 4.50 % L + 4.74 % 8/1/2018 Phoenix Multi 72,297 / unit 61% 3
109
Senior loan 7/21/2017 7.3 7.3 7.3 L + 5.00 % L + 5.30 % 7/1/2019 Phoenix Multi 56,154 / unit 66% 3
110
Senior loan 7/20/2017 193.2 0.0 (1.9 ) L + 5.10 % L + 6.17 % 8/9/2022 Oakland Office 0 / sqft 58% 3
111
Senior loan 9/22/2017 91.0 0.0 (0.9 ) L + 5.25 % L + 5.98 % 10/9/2022 Oakland Multi 0 / unit 47% 3

$ 12,342.0 $10,668.7 $ 9,637.2 5.13% 5.55% 3.4 yrs 61% 2.6

~~(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. Dates are not updated for subsequent loan modifications or upsizes.~~

~~(3)~~

~~In certain instances, we finance our loans through thenon-recourse~~ sale of a senior loan interest that is not included in our consolidated financial statements. As of September 30, 2017, three loans in our portfolio have been financed with an aggregate $987.6 million of~~non-consolidated~~ ~~senior interest, which are included in the table above.~~

~~(4)~~

As of September 30, 2017, our floating rate loans were indexed to various benchmark rates, with 91% of floating rate loans by loan exposure indexed to USD LIBOR. In addition, $273.9 million of our floating rate loans earned interest based on floors that are above the applicable index, with an average floor of 1.24%, as of September 30, 2017. In addition to cash coupon,~~all-in~~ ~~yield includes the amortization of deferred origination and extension fees, loan origination costs, and accrual of exit fees.~~

~~(5)~~

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

~~(6)~~

~~Loan consists of one or more floating and fixed rate tranches. Coupon andall-in~~ ~~yield assume applicable floating benchmark rates for weighted-average calculation.~~

~~ITEM 3.~~

~~QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK~~

~~Interest Rate Risk~~

~~Loan 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, 2017, 92% of our loans by total loan exposure earned a floating rate of interest and were financed with liabilities that pay interest at floating rates, which resulted in an amount of net equity that is positively correlated to rising interest rates, subject to the impact of interest rate floors on certain of our floating rate loans. As of September 30, 2017, the remaining 8% of our loans by total loan exposure earned a fixed rate of interest, but are financed with liabilities that pay interest at floating rates, which resulted in a negative correlation to rising interest rates to the extent of our financing. In certain instances where we have financed fixed rate assets with floating rate liabilities, we have purchased interest rate swaps or caps to limit our exposure to increases in interest rates on such liabilities.

The following table projects the impact on our interest income and expense for the twelve-month period following September 30, 2017, assuming an immediate increase or decrease of both 25 and 50 basis points in the applicable interest rate benchmark by currency ($ in thousands):

Currency
     Assets (Liabilities)
    Subject to Interest
Rate Sensitivity⁽¹⁾⁽²⁾           25 Basis
Point
    Increase            25 Basis
Point
      Decrease            50 Basis
Point
      Increase            50 Basis
Point
      Decrease
USD
     $ 8,923,957      Interest income      $ 22,299      $ (21,505 )      $ 44,608      $ (41,195 )
     (6,503,552 )      Interest expense      (16,259 )      16,227      (32,518 )      31,299










     $ 2,420,405      Total      $ 6,040      $ (5,278 )      $ 12,090      $ (9,896 )










GBP
     $ 410,791      Interest income      $ 1,027      $ (1,027 )      $ 2,054      $ (1,636 )
     (231,187 )      Interest expense      (578 )      578      (1,156 )      1,156










     $ 179,604      Total      $ 449      $ (449 )      $ 898      $ (480 )










EUR
     $ 129,637      Interest income      $ —        $ —        $ 222      $ —
     (78,192 )      Interest expense      (195 )      195      (391 )      391










     $ 51,445      Total      $ (195 )      $ 195      $ (169 )      $ 391










CAD⁽³⁾
     $ 328,853      Interest income      $ 822      $ (822 )      $ 1,644      $ (1,644 )
     (287,769 )      Interest expense      (719 )      719      (1,439 )      1,439










     $ 41,084      Total      $ 103      $ (103 )      $ 205      $ (205 )



















          Total      $ 6,397      $ (5,635 )      $ 13,024      $ (10,190 )

~~(1)~~

Our floating rate loans and related liabilities are indexed to the various benchmark rates relevant in each case in terms of currency and payment frequency. Therefore the net exposure to each benchmark rate is in direct proportion to our net assets indexed to that rate.

~~(2)~~

~~Includes borrowings under secured debt agreements, loan participations sold, non-consolidated senior interests, and securitized debt obligations.~~

~~(3)~~

~~Liabilities balance includes four interest rate swaps totaling C$108.2 million ($86.7 million as of September 30, 2017) that are used to hedge a portion of our fixed rate debt.~~

~~Loan Portfolio Value~~

~~As of September 30, 2017, 8% of our loans~~ by total loan exposure earned a fixed rate of interest and as such, the values of such loans are sensitive to changes in interest rates. We generally hold all of our loans to maturity and so do not expect to realize gains or losses on our fixed rate loan portfolio as a result of movements in market interest rates.

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 additional debt service payments due from our borrowers may strain the operating cash flows of the collateral real estate assets and, potentially, contribute to non-performance or, in severe cases, default. This risk is partially mitigated by various facts we consider during our underwriting process, which in certain cases include a requirement for our borrower to purchase an interest rate cap ~~contract.~~

contract with an unaffiliated third party.

Credit Risks

Our loans ~~and investments~~ are also subject to credit risk. The performance and value of our loans ~~and investments~~ 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 Manager’s asset management team reviews our ~~investment~~loan portfolios and in certain 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.

The COVID-19 pandemic significantly impacted the commercial real estate markets, causing reduced occupancy, requests from tenants for rent deferral or abatement, and delays in construction and development projects currently planned or underway. While the economy has improved significantly, macroeconomic trends associated with the COVID-19 pandemic have persisted and could continue to persist and impair our borrowers’ ability to pay principal and interest due to us under our loan agreements.

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, such as the COVID-19 pandemic. 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 64.6% as of March 31, 2022 reflects significant equity value that our sponsors are motivated to protect through periods of cyclical disruption. While we believe the principal amounts of our loans are generally adequately protected by underlying collateral value, there is a risk that we will not realize the entire principal value of certain loans.

Our Manager’s portfolio monitoring and asset management operations benefit from the deep knowledge, experience, and information advantages derived from its 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.

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 ~~and investments~~ 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 ~~an investment~~a loan and active monitoring of the asset portfolios that serve as our ~~collateral.~~

collateral, as further discussed above.

Currency Risk

Our loans ~~and investments~~ 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 foreign currency assets to the currency of the borrowings that finance those assets. As a result, we substantially reduce our exposure to changes in portfolio value related to changes in foreign currency rates. In ~~certain circumstances, we may also enter into~~addition, substantially all of our net asset exposure to foreign currencies has been hedged with foreign currency ~~derivative~~forward contracts ~~to further mitigate this exposure.~~

as of March 31, 2022.

The following table outlines our assets and liabilities that are denominated in a foreign currency ~~(£/€/C$~~(amounts in thousands):

   September 30, 2017
Foreign currency assets⁽¹⁾
   £     683,745    €     145,958    C$     583,528
Foreign currency liabilities⁽¹⁾
   (475,609 )    (66,290 )    (467,788 )
Foreign currency contracts - notional
   (112,700 )    —      (102,000 )






Net exposure to exchange rate fluctuations
   £ 95,436    € 79,668    C$ 13,740


	March 31, 2022
	EUR		GBP		All Other(4)
Foreign currency assets(1)(2)	€	2,806,434	£	2,450,287	$	1,285,343
Foreign currency liabilities(1)	(2,070,637)		(1,835,418)		(969,402)
Foreign currency contracts – notional	(718,782)		(609,787)		(307,956)
Net exposure to exchange rate fluctuations	€	17,015	£	5,082	$	7,985
Net exposure to exchange rate fluctuations in USD(3)	$	18,831	$	6,677	$	7,985


~~(1)~~				~~Balances include non-consolidated senior interests of £302.0 million.~~

~~We estimate that a 10% appreciation~~

(1)Balances include non-consolidated senior interests of ~~the United States Dollar relative to the~~ £196.3 million.

(2)British Pound Sterling ~~and the Euro would result~~balance includes a loan that is partially denominated in ~~a decline in our net assets in U.S. Dollar terms~~Euros, with an outstanding principal balance of ~~$27.9~~€8.3 million ~~and $9.4 million, respectively,~~ as of ~~September 30, 2017. Substantially all of our net asset~~March 31, 2022, that is hedged to British Pound Sterling exposure ~~to the Canadian Dollar has been hedged with~~through a foreign currency forward ~~contracts.~~

~~ITEM 4.~~

~~CONTROLS AND PROCEDURES~~

contract. Refer to Note 12 to our consolidated financial statements for additional discussion of our foreign currency derivatives.

(3)Represents the U.S. Dollar equivalent as of March 31, 2022.

(4)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~~disclosure controls and ~~procedures” (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”)),~~procedures as of the end of the period covered by this quarterly 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 ~~Controls~~Control over Financial Reporting

There have been no changes in our “internal control over financial reporting” (as defined in Rule ~~13a-15(f)~~13a–15(f) of the Exchange Act) that occurred during the period covered by this quarterly report on Form 10-Q that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

PART II. OTHER INFORMATION

~~ITEM 1.~~

~~LEGAL PROCEEDINGS~~

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, 2017,~~March 31, 2022, we were not involved in any material legal proceedings.

~~ITEM 1A.~~

~~RISK FACTORS~~

ITEM 1A. RISK FACTORS

There have been no material changes to the risk factors previously disclosed under Part I, Item 1A of our Annual Report on Form 10-K for the year ended December 31, ~~2016.~~

2021.

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

Master Repurchase Agreement and Securities Contract with MUFG Bank, Ltd.

On February 11, 2022, Parlex 18 Finco, LLC, a wholly-owned subsidiary of the Company, or the Seller, entered into a Master Repurchase Agreement and Securities Contract with MUFG Bank, Ltd., New York Branch, or the Master Repurchase Agreement. The Master Repurchase Agreement provides for advances of up to $1.0 billion in the aggregate, which we expect to use to finance the acquisition and origination of eligible loans.The foregoing description does not purport to be complete and is qualified in its entirety by reference to complete terms of the agreement, which is filed as Exhibit 10.2 to this quarterly report on Form 10-Q.

~~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.~~

~~ITEM 6.~~

~~EXHIBITS~~


ITEM 6.			EXHIBITS


~~10.1~~4.1						~~Second~~Fourth Supplemental Indenture, dated ~~May 5, 2017,~~March 29, 2022, between the Company and The Bank of New York Mellon Trust Company, N.A., as ~~trustee~~trustee. (filed as Exhibit 4.2 to the Company’s Current Report on Form 8-K (File No. 001-14788) filed with the Commission on ~~May 5, 2017~~March 29, 2022 and incorporated herein by reference).

~~10.2~~4.2						Form of ~~4.375%~~5.50% Convertible Senior Notes due ~~2022~~2027 (included as Exhibit A in Exhibit ~~10.1).~~4.1)

10.1						Amendment No. 14 to Amended and Restated Master Repurchase and Securities Contract, dated as of March 11, 2022, between Parlex 5 Finco, LLC and Wells Fargo Bank, National Association

10.2						Master Repurchase Agreement, dated as of February 11, 2022, by and between Parlex 18 Finco, LLC and MUFG Bank, Ltd., New York Branch

31.1						Certification of Chief Executive Officer, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

31.2						Certification of Chief Financial Officer, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002

32.1 +						Certification of Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

32.2 +						Certification of Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002

101.INS						XBRL 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.SCH						Inline XBRL Taxonomy Extension Schema Document

101.CAL						Inline XBRL Taxonomy Extension Calculation Linkbase Document

101.LAB						Inline XBRL Taxonomy Extension Label Linkbase Document

101.PRE						Inline XBRL Taxonomy Extension Presentation Linkbase Document

101.DEF						Inline XBRL Taxonomy Extension Definition Linkbase Document

104						Cover 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 (the “Securities Act”), or the Exchange Act.

___________

+ 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.

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.

~~October 24, 2017~~	April 27, 2022	/s/ ~~Stephen D. Plavin~~ Katharine A. Keenan
Date		~~Stephen D. Plavin~~ Katharine A. Keenan
		Chief Executive Officer
		(Principal Executive Officer)

~~October 24, 2017~~	April 27, 2022	/s/ Anthony F. Marone, Jr.
Date		Anthony F. Marone, Jr.
		Chief Financial Officer
		(Principal Financial Officer and
		Principal Accounting Officer)


	September 30,			December 31,
	2017			2016
Assets
Cash and cash equivalents	$	61,221		$	75,567
Restricted cash		32,864			—
Loans receivable, net		9,637,152			8,692,978
Other assets		45,680			44,070

Total Assets	$	9,776,917		$	8,812,615


Liabilities and Equity
Secured debt agreements, net	$	6,079,135		$	5,716,354
Loan participations sold, net		33,193			348,077
Securitized debt obligations, net		474,298			—
Convertible notes, net		562,741			166,762
Other liabilities		101,758			87,819

Total Liabilities		7,251,125			6,319,012


Commitments and contingencies		—			—

Equity
Class A common stock, $0.01 par value, 200,000,000 shares authorized, 94,828,007 and 94,540,263 shares issued and outstanding as of September 30, 2017 and December 31, 2016, respectively		948			945
Additional paid-in capital		3,109,094			3,089,997
Accumulated other comprehensive loss		(32,362	)		(56,202	)
Accumulated deficit		(558,066	)		(541,137	)

Total Blackstone Mortgage Trust, Inc. stockholders’ equity		2,519,614			2,493,603
Non-controlling interests		6,178			—

Total Equity		2,525,792			2,493,603

Total Liabilities and Equity	$	9,776,917		$	8,812,615


	Three Months Ended September 30,						Nine Months Ended September 30,
	2017			2016			2017			2016
Income from loans and other investments
Interest and related income	$	146,446		$	128,190		$	391,787		$	381,686
Less: Interest and related expenses		67,891			45,373			168,917			139,819

Income from loans and other investments, net		78,555			82,817			222,870			241,867
Other expenses
Management and incentive fees		13,243			13,701			40,557			43,161
General and administrative expenses		7,419			7,414			22,219			20,990

Total other expenses		20,662			21,115			62,776			64,151
Gain on investments at fair value		—			2,824			—			13,413
Income from equity investment in unconsolidated subsidiary		—			2,060			—			2,192

Income before income taxes		57,893			66,586			160,094			193,321
Income tax provision		83			194			265			281

Net income		57,810			66,392			159,829			193,040

Net income attributable to non-controlling interests		(88	)		(1,598	)		(88	)		(8,119	)

Net income attributable to Blackstone Mortgage Trust, Inc.	$	57,722		$	64,794		$	159,741		$	184,921

Net income per share of common stock basic and diluted	$	0.61		$	0.69		$	1.68		$	1.97

Weighted-average shares of common stock outstanding, basic and diluted		95,013,087			94,071,537			95,004,188			94,067,923

Dividends declared per share of common stock	$	0.62		$	0.62		$	1.86		$	1.86


	Three Months Ended March 31,
	2022		2021
Income from loans and other investments
Interest and related income	$	234,432	$	187,524
Less: Interest and related expenses	100,714		78,372
Income from loans and other investments, net	133,718		109,152
Other expenses
Management and incentive fees	23,486		19,207
General and administrative expenses	12,360		10,597
Total other expenses	35,846		29,804
Decrease in current expected credit loss reserve	2,537		1,293
Income before income taxes	100,409		80,641
Income tax provision	146		101
Net income	100,263		80,540
Net income attributable to non-controlling interests	(576)		(638)
Net income attributable to Blackstone Mortgage Trust, Inc.	$	99,687	$	79,902
Net income per share of common stock
Basic	$	0.59	$	0.54
Diluted	$	0.58	$	0.54
Weighted-average shares of common stock outstanding
Basic	169,254,059		147,336,936
Diluted	175,602,905		147,336,936


	Blackstone Mortgage Trust, Inc.
	Class A Common Stock		Additional Paid-In Capital		Accumulated Other Comprehensive (Loss) Income			Accumulated Deficit			Stockholders’ Equity			Non-controlling Interests			Total Equity
Balance at December 31, 2015	$	937	$	3,070,200	$	(32,758	)	$	(545,791	)	$	2,492,588		$	13,143		$	2,505,731
Shares of class A common stock issued, net		2		—		—			—			2			—			2
Restricted class A common stock earned		—		14,190		—			—			14,190			—			14,190
Dividends reinvested		—		276		—			(256	)		20			—			20
Deferred directors’ compensation		—		282		—			—			282			—			282
Other comprehensive loss		—		—		(13,631	)		—			(13,631	)		—			(13,631	)
Net income		—		—		—			184,921			184,921			8,119			193,040
Dividends declared on common stock		—		—		—		��	(174,678	)		(174,678	)		—			(174,678	)
Distributions to non-controlling interests		—		—		—			—			—			(20,158	)		(20,158	)

Balance at September 30, 2016	$	939	$	3,084,948	$	(46,389	)	$	(535,804	)	$	2,503,694		$	1,104		$	2,504,798


Balance at December 31, 2016	$	945	$	3,089,997	$	(56,202	)	$	(541,137	)	$	2,493,603		$	—		$	2,493,603
Shares of class A common stock issued, net		3		—		—			—			3			—			3
Restricted class A common stock earned		—		17,493		—			—			17,493			—			17,493
Issuance of convertible notes		—		964		—			—			964			—			964
Dividends reinvested		—		327		—			(296	)		31			—			31
Deferred directors’ compensation		—		313		—			—			313			—			313
Other comprehensive income		—		—		23,840			—			23,840			—			23,840
Net income		—		—		—			159,741			159,741			88			159,829
Contributions from non-controlling interests		—		—		—			—			—			6,090			6,090
Dividends declared on common stock		—		—		—			(176,374	)		(176,374	)		—			(176,374	)

Balance at September 30, 2017	$	948	$	3,109,094	$	(32,362	)	$	(558,066	)	$	2,519,614		$	6,178		$	2,525,792


	Blackstone Mortgage Trust, Inc.
	Class A Common Stock		Additional Paid- In Capital		Accumulated Other Comprehensive (Loss) Income		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
Shares of class A common stock issued, net	2		—		—		—		2		—		2
Restricted class A common stock earned	—		7,958		—		—		7,958		—		7,958
Dividends reinvested	—		204		—		—		204		—		204
Deferred directors’ compensation	—		125		—		—		125		—		125
Net income	—		—		—		79,902		79,902		638		80,540
Other comprehensive income	—		—		114		—		114		—		114
Dividends declared on common stock and deferred stock units, $0.62 per share	—		—		—		(91,349)		(91,349)		—		(91,349)
Contributions from non-controlling interests	—		—		—		—		—		13,448		13,448
Distributions to non-controlling interests	—		—		—		—		—		(11,180)		(11,180)
Balance at March 31, 2021	$	1,470	$	4,711,000	$	11,284	$	(840,731)	$	3,883,023	$	21,070	$	3,904,093
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, net	21		52,138		—		—		52,159		—		52,159
Restricted class A common stock earned	—		8,472		—		—		8,472		—		8,472
Dividends reinvested	—		246		—		—		246		—		246
Deferred directors’ compensation	—		173		—		—		173		—		173
Net income	—		—		—		99,687		99,687		576		100,263
Other comprehensive income	—		—		292		—		292		—		292
Dividends declared on common stock and deferred stock units, $0.62 per share	—		—		—		(105,801)		(105,801)		—		(105,801)
Contributions from non-controlling interests	—		—		—		—		—		5,040		5,040
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


	Nine Months Ended September 30,
	2017			2016
Cash flows from operating activities
Net income	$	159,829		$	193,040
Adjustments to reconcile net income to net cash provided by operating activities
Non-cash compensation expense		17,809			16,517
Amortization of deferred fees on loans		(28,887	)		(31,594	)
Amortization of deferred financing costs and premiums/discount on debt obligations		16,356			15,129
Income from equity investment in unconsolidated subsidiary		—			(2,192	)
Distributions of income from unconsolidated subsidiary		—			8,167
Gain on investments at fair value		—			(13,413	)
Changes in assets and liabilities, net
Other assets		(219	)		8,315
Other liabilities		11,651			(6,405	)

Net cash provided by operating activities		176,539			187,564

Cash flows from investing activities
Origination and fundings of loans receivable		(2,314,721	)		(2,300,636	)
Principal collections and sales proceeds from loans receivable and other assets		1,976,271			3,054,821
Origination and exit fees received on loans receivable		38,434			35,388
Receipts under derivative financial instruments		6,115			—
Payments under derivative financial instruments		(18,115	)		—
Return of collateral deposited under derivative agreements		8,980			—
Collateral deposited under derivative agreements		(16,651	)		—

Net cash (used in) provided by investing activities		(319,687	)		789,573


	September 30, 2017		September 30, 2016
Cash and cash equivalents	$	61,221	$	94,061
Restricted cash		32,864		877

Total cash, cash equivalents, and restricted cash shown in our consolidated statements of cash flows	$	94,085	$	94,938


	September 30, 2017			December 31, 2016
Number of loans		111			107
Principal balance	$	9,681,055		$	8,727,218
Net book value	$	9,637,152		$	8,692,978
Unfunded loan commitments⁽¹⁾	$	1,622,216		$	882,472
Weighted-average cash coupon⁽²⁾		5.30	%		5.01	%
Weighted-average all-in yield⁽²⁾		5.68	%		5.36	%
Weighted-average maximum maturity (years)⁽³⁾		3.4			3.2


	Principal Balance			Deferred Fees / Other Items⁽¹⁾			Net Book Value
December 31, 2016	$	8,727,218		$	(34,240)		$	8,692,978
Loan fundings		2,789,341			—			2,789,341
Loan repayments		(1,970,743	)		—			(1,970,743	)
Unrealized gain (loss) on foreign currency translation		135,239			(116	)		135,123
Deferred fees and other items		—			(38,434	)		(38,434	)
Amortization of fees and other items		—			28,887			28,887

September 30, 2017	$	9,681,055		$	(43,903	)	$	9,637,152


	September��30, 2017		December 31, 2016
Accrued dividends payable	$	58,793	$	58,615
Accrued interest payable		19,922		9,049
Accrued management and incentive fees payable		13,243		12,798
Derivative liabilities		7,167		210
Accounts payable and other liabilities		2,633		1,775
Secured debt repayments pending servicer remittance⁽¹⁾		—		5,372

Total	$	101,758	$	87,819


	Secured Debt Agreements
	Borrowings Outstanding
	September 30, 2017			December 31, 2016
Credit facilities	$	4,386,645		$	3,572,837
GE portfolio acquisition facility		1,090,946			1,479,582
Asset-specific financings		517,256			679,207
Revolving credit agreement		101,750			—

Total secured debt agreements	$	6,096,597		$	5,731,626

Deferred financing costs⁽¹⁾		(17,462	)		(15,272	)

Net book value of secured debt	$	6,079,135		$	5,716,354


	September 30, 2017
	Maximum		Collateral		Credit Borrowings
Lender	Facility Size⁽¹⁾		Assets⁽²⁾		Potential⁽³⁾		Outstanding		Available⁽³⁾
Wells Fargo	$	2,000,000	$	2,232,117	$	1,724,227	$	1,398,224	$	326,003
MetLife		1,000,000		1,030,148		807,164		807,164		—
Bank of America		750,000		818,359		641,066		641,066		—
Citibank⁽⁴⁾		795,350		596,119		464,849		356,751		108,098
JP Morgan⁽⁵⁾		500,000		453,121		344,656		295,984		48,672
Deutsche Bank		500,000		393,564		295,743		295,743		—
Société Générale⁽⁶⁾		472,560		332,761		266,000		266,000		—
Morgan Stanley⁽⁷⁾		669,900		422,332		331,037		211,105		119,932
Bank of America - Multi. JV⁽⁸⁾		200,000		87,000		69,600		69,600		—
Goldman Sachs - Multi. JV⁽⁸⁾		250,000		59,125		45,008		45,008		—

	$	7,137,810	$	6,424,646	$	4,989,350	$	4,386,645	$	602,705


Currency	Outstanding Borrowings		Potential Borrowings⁽¹⁾		Index		Rate⁽²⁾		Advance Rate⁽³⁾
$		$ 4,123,064		$ 4,610,777		1-month USD LIBOR		L+1.86%		78.8%
€		€ 66,186		€ 87,786		3-month EURIBOR		L+2.24%		80.0%
£		£ 138,371		£ 205,152		3-month GBP LIBOR		L+2.24%		78.6%

		$ 4,386,645		$ 4,989,350				L+1.88%		78.8%


Convertible Notes Issuance	Face Value		Coupon Rate			All-in Cost⁽¹⁾			Conversion Rate⁽²⁾		Maturity
November 2013	$	172,500		5.25	%		5.87	%		36.1380	December 1, 2018
May 2017		402,500		4.38	%		4.85	%		28.0324	May 5, 2022


	Three Months Ended September 30,				Nine Months Ended September 30,
	2017		2016		2017		2016
Cash coupon	$	6,247	$	2,264	$	12,732	$	6,792
Discount and issuance cost amortization		1,202		691		2,869		2,038

Total interest expense	$	7,449	$	2,955	$	15,601	$	8,830


September 30, 2017				December 31, 2016
Foreign Currency Derivatives	Number of Instruments	Notional Amount		Foreign Currency Derivatives	Number of Instruments	Notional Amount
Sell GBP Forward	1	£	112,700	Sell GBP Forward	2	£	141,900
Sell CAD Forward	1	C$	102,000	Sell CAD Forward	2	C$	122,900
				Sell EUR Forward	1	€	44,900


	Fair Value of Derivatives in an Asset Position⁽¹⁾ as of				Fair Value of Derivatives in a Liability Position⁽²⁾ as of
	September 30, 2017		December 31, 2016		September 30, 2017		December 31, 2016
Derivatives designated as hedging instruments:
Foreign exchange contracts	$	—	$	3,268	$	5,617	$	210
Interest rate derivatives		1,238		331		—		—

Total derivatives designated as hedging instruments	$	1,238	$	3,599	$	5,617	$	210

Derivatives not designated as hedging instruments:
Foreign exchange contracts	$	390	$	487	$	1,550	$	—
Interest rate derivatives		—		—		—		—

Total derivatives not designated as hedging instruments	$	390	$	487	$	1,550	$	—

Total Derivatives	$	1,628	$	4,086	$	7,167	$	210


	Amount of Gain (Loss) Recognized in OCI on Derivatives						Location of Gain (Loss) Reclassified from Accumulated OCI into Income		Amount of Gain (Loss) Reclassified from Accumulated OCI into Income
Derivatives in Hedging Relationships	Three Months Ended September 30, 2017			Nine Months Ended September 30, 2017					Three Months Ended September 30, 2017		Nine Months Ended September 30, 2017
Net Investment Hedges
Foreign exchange contracts⁽¹⁾	$	(8,524	)	$	(21,757	)		Interest Expense	$	—	$	—
Cash Flow Hedges
Interest rate derivatives		536			707			Interest Income (Expense)⁽²⁾		41		(900	)

Total	$	(7,988	)	$	(21,050	)			$	41	$	(900	)


	Nine Months Ended September 30,
Common Stock Outstanding⁽¹⁾	2017		2016
Beginning balance		94,709,290		93,843,847
Issuance of class A common stock⁽²⁾		971		812
Issuance of restricted class A common stock, net		286,773		209,798
Issuance of deferred stock units		20,560		20,850

Ending balance		95,017,594		94,075,307


	Restricted Class A Common Stock			Weighted-Average Grant Date Fair Value Per Share
Balance as of December 31, 2016		1,309,995		$	28.68
Granted		289,896			30.55
Vested		(335,536	)		27.78
Forfeited		(3,123	)		27.37

Balance as of September 30, 2017		1,261,232		$	29.35


	Nine Months Ended September 30,
	2017		2016⁽¹⁾
January 1,	$	—	$	12,561
Proceeds from investment realizations		—		(2,406	)
Transfers out of level 3⁽²⁾		—		(20,745	)
Adjustments to fair value included in earnings
Gain on investments at fair value		—		11,790

September 30,	$	—	$	1,200


	September 30, 2017						December 31, 2016
	Carrying		Face		Fair		Carrying		Face		Fair
	Amount		Amount		Value		Amount		Amount		Value
Financial assets
Cash and cash equivalents	$	61,221	$	61,221	$	61,221	$	75,567	$	75,567	$	75,567
Restricted cash		32,864		32,864		32,864		—		—		—
Loans receivable, net		9,637,152		9,681,055		9,685,422		8,692,978		8,727,218		8,733,784
Financial liabilities
Secured debt agreements, net		6,079,135		6,096,597		6,096,597		5,716,354		5,731,626		5,731,626
Loan participations sold, net		33,193		33,193		33,193		348,077		349,633		349,633
Securitized debt obligations, net		474,298		474,620		474,655		—		—		—
Convertible notes, net		562,741		575,000		602,503		166,762		172,500		191,763


	Three Months Ended
	September 30, 2017		June 30, 2017
Net income⁽¹⁾	$	57,722	$	50,613
Weighted-average shares outstanding, basic and diluted		95,013,087		95,005,873

Net income per share, basic and diluted	$	0.61	$	0.53

Dividends declared per share	$	0.62	$	0.62


	Three Months Ended			Nine Months Ended
	September 30, 2017			September 30, 2017
Loan originations⁽¹⁾	$	1,095,994		$	3,568,900
Loan fundings⁽²⁾	$	860,482		$	2,838,320
Loan repayments⁽³⁾		(870,761	)		(2,093,567	)

Total net fundings	$	(10,279	)	$	744,753


(1) Includes new loan originations and additional commitments made under existing loans. Loan originations during the three and nine months ended September 30, 2017 include $4.0 million of additional commitments under related non-consolidated senior interests. (2) Loan fundings during the three and nine months ended September 30, 2017 include $10.8 million and $49.0 million, respectively, of additional fundings under related non-consolidated senior interests. (3) Loan repayments during the three and nine months ended September 30, 2017 include $17.8 million and $122.8 million, respectively, of additional repayments under related non-consolidated senior interests.


				Total Loan Exposure⁽¹⁾
	Balance Sheet Portfolio			Total Loan Portfolio			Floating Rate Loans			Fixed Rate Loans
Number of loans		111			111			98			13
Principal balance	$	9,681,055		$	10,668,677		$	9,793,239		$	875,438
Net book value	$	9,637,152		$	10,621,408		$	9,746,450		$	874,958
Unfunded loan commitments⁽²⁾	$	1,622,216		$	1,673,300		$	1,673,300		$	—
Weighted-average cash coupon⁽³⁾		5.30	%		5.13	%		L + 3.97	%		4.78	%
Weighted-average all-in yield⁽³⁾		5.68	%		5.55	%		L + 4.36	%		5.69	%
Weighted-average maximum maturity (years)⁽⁴⁾		3.4			3.4			3.4			3.9
Loan to value (LTV)⁽⁵⁾		61.8	%		61.1	%		60.3	%		69.6	%


	Portfolio Financing
	Outstanding Principal Balance
	September 30, 2017		December 31, 2016
Credit facilities	$	4,386,645	$	3,572,837
GE portfolio acquisition facility		1,090,946		1,479,582
Asset-specific financings		517,256		679,207
Revolving credit agreement		101,750		—
Loan participations sold		33,193		349,633
Non-consolidated senior interests		987,621		1,029,516
Securitized debt obligations		474,620		—

Total portfolio financing	$	7,592,031	$	7,110,775


	September 30, 2017
		Principal		Book		Wtd. Avg.					Wtd. Avg.
Asset-Specific Financings	Count	Balance		Value		Yield/Cost⁽¹⁾			Guarantee⁽²⁾		Term⁽³⁾
Collateral assets	5	$	662,223	$	659,152		L+4.70	%		n/a	Dec. 2020
Financing provided⁽⁴⁾	5	$	517,256	$	516,537		L+2.48	%	$	162,517	Dec. 2020


	USD			GBP			EUR			CAD
Floating rate loans⁽¹⁾	$	8,923,957		£	306,606		€	109,732		C$	410,145
Floating rate debt^(1)(2)(3)		(6,503,552	)		(172,553	)		(66,186	)		(358,905	)

Net floating rate exposure⁽⁴⁾	$	2,420,405		£	134,053		€	43,546		C$	51,240


	Three Months Ended September 30,						2017 vs 2016			Nine Months Ended September 30,						2017 vs 2016
	2017			2016			$			2017			2016			$
Income from loans and other investments
Interest and related income	$	146,446		$	128,190		$	18,256		$	391,787		$	381,686		$	10,101
Less: Interest and related expenses		67,891			45,373			22,518			168,917			139,819			29,098

Income from loans and other investments, net		78,555			82,817			(4,262	)		222,870			241,867			(18,997	)
Other expenses
Management and incentive fees		13,243			13,701			(458	)		40,557			43,161			(2,604	)
General and administrative expenses		7,419			7,414			5			22,219			20,990			1,229

Total other expenses		20,662			21,115			(453	)		62,776			64,151			(1,375	)
Gain on investments at fair value		—			2,824			(2,824	)		—			13,413			(13,413	)
Income from equity investment in unconsolidated subsidiary		—			2,060			(2,060	)		—			2,192			(2,192	)

Income before income taxes		57,893			66,586			(8,693	)		160,094			193,321			(33,227	)
Income tax provision		83			194			(111	)		265			281			(16	)

Net income		57,810			66,392			(8,582	)		159,829			193,040			(33,211	)

Net income attributable to non-controlling interests		(88	)		(1,598	)		1,510			(88	)		(8,119	)		8,031

Net income attributable to Blackstone Mortgage Trust, Inc.	$	57,722		$	64,794		$	(7,072	)	$	159,741		$	184,921		$	(25,180	)

Net income per share - basic and diluted	$	0.61		$	0.69		$	(0.08	)	$	1.68		$	1.97		$	(0.29	)
Dividends declared per share	$	0.62		$	0.62		$	—		$	1.86		$	1.86		$	—


			Payment Timing
	Total		Less Than		1 to 3		3 to 5		More Than
	Obligation		1 Year		Years		Years		5 Years
Unfunded loan commitments⁽¹⁾	$	1,622,216	$	224,032	$	1,294,133	$	104,051	$	—
Principal payments under secured debt agreements⁽²⁾		6,096,597		2,221,319		3,629,304		245,974		—
Principal payments on convertible notes		575,000		—		172,500		402,500		—
Interest payments⁽²⁾⁽³⁾		400,423		204,915		164,633		30,875		—

Total⁽⁴⁾	$	8,694,236	$	2,650,266	$	5,260,570	$	783,400	$	—