UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM

10-Q

(Mark One)

☒	QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

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

2020

☐	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 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)~~
Non-accelerated filer	☐	Smaller reporting company	☐

		Emerging growth company	☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the ~~Registrant~~registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No

☒

The number of the ~~Registrant’s~~registrant’s outstanding shares of class A common stock, par value $0.01 per share, outstanding as of ~~October 17, 2017~~July 22, 2020 was ~~94,828,437.~~

146,197,290

Table of Contents

TABLE OF CONTENTS


PART I.	FINANCIAL INFORMATION

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

ITEM 1.	FINANCIAL STATEMENTS		2

	Consolidated Financial Statements (Unaudited):


	Consolidated Balance Sheets as of ~~September~~June 30, ~~2017~~2020 and December 31, ~~2016~~2019		2
					2

		Consolidated Statements of Operations for the Three and ~~Nine~~Six Months Ended ~~September~~June 30, ~~2017~~2020 and ~~2016~~2019		3
					3

		Consolidated Statements of Comprehensive Income for the Three and ~~Nine~~Six Months Ended ~~September~~June 30, ~~2017~~2020 and ~~2016~~2019		4
					4

		Consolidated Statements of Changes in Equity for the ~~Nine~~Three and Six Months Ended ~~September~~June 30, ~~2017~~2020 and ~~2016~~2019		5
					5

		Consolidated Statements of Cash Flows for the ~~Nine~~Six Months Ended ~~September~~June 30, ~~2017~~2020 and ~~2016~~2019		7
					6

		Notes to Consolidated Financial Statements		9
					8

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

ITEM 3.	QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK		72

ITEM 4.	CONTROLS AND PROCEDURES		75

PART II.	OTHER INFORMATION			54

ITEM 1.	LEGAL PROCEEDINGS		77
~~ITEM 4.~~	~~CONTROLS AND PROCEDURES~~
56 ITEM 1A.	RISK FACTORS		77


~~PART II.~~	~~OTHER INFORMATION~~

~~ITEM 1.~~	~~LEGAL PROCEEDINGS~~		57

~~ITEM 1A.~~	~~RISK FACTORS~~		57

ITEM 2.	UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS		77
					57

ITEM 3.	DEFAULTS UPON SENIOR SECURITIES		77

57 ITEM 4.	MINE SAFETY DISCLOSURES		77

ITEM 5.	OTHER INFORMATION		77
~~ITEM 4.~~	~~MINE SAFETY DISCLOSURES~~
57 ITEM 6.	EXHIBITS		78


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

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

SIGNATURES			59	80

Table of Contents

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


	June 30,			December 31,
	2020			2019
Assets
Cash and cash equivalents	$	1,259,836		$	150,090
Loans receivable		16,339,403			16,164,801
Current expected credit loss reserve		(178,050	)		—

Loans receivable, net		16,161,353			16,164,801
Other assets		241,934			236,980

Total Assets	$	17,663,123		$	16,551,871


Liabilities and Equity
Secured debt agreements, net	$	9,689,541		$	10,054,930
Securitized debt obligations, net		2,240,612			1,187,084
Secured term loans, net		1,045,163			736,142
Convertible notes, net		614,710			613,071
Other liabilities		177,313			175,963

Total Liabilities		13,767,339			12,767,190


Commitments and contingencies		—			—

Equity
Class A common stock, $0.01 par value, 400,000,000 shares authorized and 146,196,662 shares issued and outstanding as of June 30, 2020, and 200,000,000 shares authorized and 135,003,662 shares issued and outstanding as of December 31, 2019		1,462			1,350
Additional paid-in capital		4,685,159			4,370,014
Accumulated other comprehensive income (loss)		8,925			(16,233	)
Accumulated deficit		(820,783	)		(592,548	)

Total Blackstone Mortgage Trust, Inc. stockholders’ equity		3,874,763			3,762,583
Non-controlling interests		21,021			22,098

Total Equity		3,895,784			3,784,681

Total Liabilities and Equity	$	17,663,123		$	16,551,871

Note: The consolidated balance ~~sheet~~sheets as of ~~September~~June 30, ~~2017 includes~~2020 and December 31, 2019 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~~June 30, ~~2017,~~2020 and December 31, 2019, assets of the ~~VIE~~consolidated VIEs totaled ~~$500.8 million~~$2.7 billion and $1.4 billion, respectively, and liabilities of the ~~VIE~~consolidated VIEs totaled ~~$474.9 million. We did not consolidate any VIEs as of December 31, 2016.~~$2.2 billion and $1.2 billion, respectively. Refer to Note 1615 for additional discussion of the ~~VIE.~~

VIEs.

See accompanying notes to consolidated financial statements.

Table of Contents

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

Six Months Ended

June 30,

June 30,

2020

2019

2020

2019

Income from loans and other investments

Interest and related income
$
191,982
$
223,369
$
396,857
$
448,128

Less: Interest and related expenses

84,853

116,891

189,092

235,579

Income from loans and other investments, net

107,129

106,478

207,765

212,549

Other expenses

Management and incentive fees

20,496

20,984

39,773

40,774

General and administrative expenses

11,286

9,897

23,078

19,210

Total other expenses

31,782

30,881

62,851

59,984

Increase in current expected credit loss reserve

(56,819
)
—

(179,521
)
—

Income (loss) before income taxes

18,528

75,597

(34,607
)
152,565

Income tax provision

23

46

173

147

Net income (loss)

18,505

75,551

(34,780
)
152,418

Net income attributable to
non-controlling
interests

(961
)
(377
)
(1,028
)
(680
)

Net income (loss) attributable to Blackstone Mortgage Trust, Inc.
$
17,544
$
75,174
$
(35,808
) $
151,738

Net income (loss) per share of common stock basic and diluted
$
0.13
$
0.59
$
(0.26
) $
1.21

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

138,299,418

126,475,244

136,959,341

125,410,064

See accompanying notes to consolidated financial statements.

Table of Contents

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

Six Months Ended

June 30,

June 30,

2020

2019

2020

2019

Net income (loss)
$
18,505
$
75,551
$
(34,780
) $
152,418

Other comprehensive income

Unrealized gain (loss) on foreign currency translation

21,342

(9,578
)
(48,166
)
(4,164
)
Realized and unrealized (loss) gain on derivative financial instruments

(30,665
)
10,914

73,325

8,966

Other comprehensive (loss) income

(9,323
)
1,336

25,159

4,802

Comprehensive income (loss)

9,182

76,887

(9,621
)
157,220

Comprehensive income attributable to
non-controlling
interests

(961
)
(377
)
(1,028
)
(680
)

Comprehensive income (loss) attributable to Blackstone Mortgage Trust, Inc.
$
8,221
$
76,510
$
(10,649
) $
156,540

See accompanying notes to consolidated financial statements.

Table of Contents

Blackstone Mortgage Trust, Inc.

Consolidated Statements of Changes in Equity (Unaudited)

(in thousands)

Blackstone Mortgage Trust, Inc.
Class A
Common
Stock Additional
Paid-In
Capital Accumulated Other
Comprehensive
(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

Additional

Accumulated Other

Common

Paid-In

Comprehensive

Accumulated

Stockholders’

Non-controlling

Total

Stock

Capital

(Loss) Income

Deficit

Equity

Interests

Equity

Balance at December 31, 2019
$
1,350
$
4,370,014
$
(16,233
) $
(592,548
) $
3,762,583
$
22,098
$
3,784,681

Adoption of ASU
2016-13,
see Note 2

—

—

—

(17,565
)
(17,565
)
(85
)
(17,650
)
Shares of class A common stock issued, net

4

—

—

—

4

—

4

Restricted class A common stock earned

—

8,550

—

—

8,550

—

8,550

Dividends reinvested

—

162

—

(150
)
12

—

12

Deferred directors’ compensation

—

125

—

—

125

—

125

Other comprehensive income

—

—

34,481

—

34,481

—

34,481

Net (loss) income

—

—

—

(53,350
)
(53,350
)
67

(53,283
)
Dividends declared on common stock, $0.62 per share

—

—

—

(83,920
)
(83,920
)
—

(83,920
)
Contributions from
non-controlling
interests

—

—

—

—

—

8,108

8,108

Distributions to
non-controlling
interests

—

—

—

—

—

(6,681
)

(6,681
)

Balance at March 31, 2020
$
1,354
$
4,378,851
$
18,248
$
(747,533
) $
3,650,920
$
23,507
$
3,674,427

Shares of class A common stock issued, net

108

297,491

—

—

297,599

—

297,599

Restricted class A common stock earned

—

8,527

—

—

8,527

—

8,527

Dividends reinvested

—

165

—

(152
)
13

—

13

Deferred directors’ compensation

—

125

—

—

125

—

125

Other comprehensive loss

—

—

(9,323
)
—

(9,323
)
—

(9,323
)

Net income

—

—

—

17,544

17,544

961

18,505

Dividends declared on common stock, $0.62 per share

—

—

—

(90,642
)
(90,642
)
—

(90,642
)
Distributions to
non-controlling
interests

—

—

—

—

—

(3,447
)
(3,447
)

Balance at June 30, 2020
$
1,462
$
4,685,159
$
8,925
$
(820,783
) $
3,874,763
$
21,021
$
3,895,784

See accompanying notes to consolidated financial statements.

Table of Contents

Blackstone Mortgage Trust, Inc.

Consolidated Statements of ~~Cash Flows~~Changes in Equity (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

~~continued…~~

Blackstone Mortgage Trust, Inc.

Class A

Additional

Accumulated Other

Common

Paid-In

Comprehensive

Accumulated

Stockholders’

Non-controlling

Total

Stock

Capital

(Loss) Income

Deficit

Equity

Interests

Equity

Balance at December 31, 2018
$
1,234
$
3,966,540
$
(34,222
) $
(569,428
) $
3,364,124
$
10,483
$
3,374,607

Shares of class A common stock issued, net

23

65,358

—

—

65,381

—

65,381

Restricted class A common stock earned

—

7,639

—

—

7,639

—

7,639

Dividends reinvested

—

143

—

(132
)
11

—

11

Deferred directors’ compensation

—

125

—

—

125

—

125

Other comprehensive income

—

—

3,466

—

3,466

—

3,466

Net income

—

—

—

76,565

76,565

302

76,867

Dividends declared on common stock, $0.62 per share

—

—

—

(77,913
)
(77,913
)
—

(77,913
)
Contributions from
non-controlling
interests

—

—

—

—

—

1,470

1,470

Distributions to
non-controlling
interests

—

—

—

—

—

(64
)
(64
)

Balance at March 31, 2019
$
1,257
$
4,039,805
$
(30,756
) $
(570,908
) $
3,439,398
$
12,191
$
3,451,589

Shares of class A common stock issued, net

86

306,866

—

—

306,952

—

306,952

Restricted class A common stock earned

—

7,629

—

—

7,629

—

7,629

Dividends reinvested

—

146

—

(138
)
8

—

8

Deferred directors’ compensation

—

125

—

—

125

—

125

Other comprehensive income

—

—

1,336

—

1,336

—

1,336

Net income

—

—

—

75,174

75,174

377

75,551

Dividends declared on common stock, $0.62 per share

—

—

—

(83,259
)
(83,259
)
—

(83,259
)
Contributions from
non-controlling
interests

—

—

—

—

—

17,158

17,158

Distributions to
non-controlling
interests

—

—

—

—

—

(664
)
(664
)

Balance at June 30, 2019
$
1,343
$
4,354,571
$
(29,420
) $
(579,131
) $
3,747,363
$
29,062
$
3,776,425

See accompanying notes to consolidated financial statements.

Table of Contents

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 ) $ —

Six Months Ended
June 30,

2020

2019

Cash flows from operating activities

Net (loss) income
$
(34,780
) $
152,418

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

Satisfaction of management and incentive fees in stock

19,277

—
Non-cash
compensation expense

17,329

15,522

Amortization of deferred fees on loans and debt securities

(28,325
)
(28,511
)
Amortization of deferred financing costs and premiums/

discount on debt obligations

18,747

15,232

Increase in current expected credit loss reserve

179,521

—

Changes in assets and liabilities, net

Other assets

7,778

(1,285
)
Other liabilities

(3,839
)
3,808

Net cash provided by operating activities

175,708

157,184

Cash flows from investing activities

Origination and fundings of loans receivable

(1,240,642
)
(1,922,219
)
Principal collections and sales proceeds from loans receivable and debt securities

928,348

1,807,121

Origination and exit fees received on loans receivable

11,969

17,721

Receipts under derivative financial instruments

85,465

9,893

Payments under derivative financial instruments

(28,488
)
(2,941
)
Collateral deposited under derivative agreements

(191,540
)
(9,090
)
Return of collateral deposited under derivative agreements

200,160

9,090

Net cash used in investing activities

(234,728
)
(90,425
)

continued…

See accompanying notes to consolidated financial statements.

Table of Contents

Blackstone Mortgage Trust, Inc.

Consolidated Statements of Cash Flows (Unaudited)

(in thousands)

Six Months Ended
June 30,

2020

2019

Cash flows from financing activities

Borrowings under secured debt agreements
$
2,200,042
$
1,464,038

Repayments under secured debt agreements

(2,486,103
)
(2,172,557
)
Proceeds from issuance of collateralized loan obligations

1,243,125

—

Repayment of collateralized loan obligations

(179,759
)
—

Proceeds from sale of loan participations

—

21,346

Repayment of loan participations

—

(115,874
)
Net proceeds from issuance of secured term loans

315,438

498,750

Repayments of secured term loans

(3,744
)
—

Payment of deferred financing costs

(27,906
)
(23,323
)
Contributions from
non-controlling
interests

8,108

18,628

Distributions to
non-controlling
interests

(10,128
)
(728
)
Net proceeds from issuance of class A common stock

278,322

372,329

Dividends paid on class A common stock

(167,623
)
(154,443
)

Net cash provided by (used in) financing activities

1,169,772

(91,834
)

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

1,110,752

(25,075
)
Cash and cash equivalents at beginning of period

150,090

105,662

Effects of currency translation on cash and cash equivalents

(1,006
)
(3
)

Cash and cash equivalents at end of period
$
1,259,836
$
80,584

Supplemental disclosure of cash flows information

Payments of interest
$
(173,040
) $
(219,573
)

Payments of income taxes
$
(148
) $
(99
)

Supplemental disclosure of
non-cash
investing and financing activities

Dividends declared, not paid
$
(90,642
) $
(83,259
)

Satisfaction of management and incentive fees in stock
$
19,277

$
—

Loan principal payments held by servicer, net
$
81,261
$
32,975

See accompanying notes to consolidated financial statements.
8

Table of Contents

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements

(Unaudited)

1. ORGANIZATION

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

Blackstone Mortgage Trust is a real estate finance company that originates ~~and purchases~~ senior loans collateralized by ~~properties~~commercial real estate in North America, Europe, and ~~Europe.~~Australia. Our portfolio is composed of loans secured by high-quality, institutional assets in major markets, sponsored by experienced, well-capitalized real estate investment owners and operators. These senior loans are capitalized by accessing a variety of financing options, including our credit facilities, issuing CLOs or single-asset securitizations, and syndications of senior loan participations, depending on our view of the most prudent financing option available for each of our investments. 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, 42nd 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~~2019 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.

Principles of Consolidation

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

In the third quarter of 2018, we contributed a loan to a single asset securitization vehicle, or the 2018 Single Asset Securitization, which is a VIE, and invested in the related subordinate position. We are not the primary beneficiary of the VIE because we do not have the power to direct the activities that most significantly affect the VIE’s economic performance and, therefore, do not consolidate the 2018 Single Asset Securitization on our balance sheet. We have classified the subordinate position

we o

as a

held-to-maturity

debt security that is included in other assets on our consolidated balance sheets. Refer to Note 1615 for additional discussion of our ~~consolidated VIE.~~

VIEs.

Table of Contents

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

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. During the first quarter of 2020, there was a global outbreak of a novel coronavirus, or COVID-19, which has spread to over 200 countries and territories, including the United States, and has spread to every state in the United States. The World Health Organization has designated COVID-19 as a pandemic, and numerous countries, including the United States, have declared national emergencies with respect to COVID-19. The global impact of the outbreak has been rapidly evolving, and as cases of COVID-19 have continued to be identified in additional countries, many countries have reacted by instituting quarantines and restrictions on travel, closing financial markets and/or restricting trading, and limiting operations of non-essential offices and retail centers. Such actions are creating disruption in global supply chains, increasing rates of unemployment and adversely impacting many industries. The outbreak could have a continued adverse impact on economic and market conditions and trigger a period of global economic slowdown. The rapid development and fluidity of this situation precludes any prediction as to the ultimate adverse impact of COVID-19 on economic and market conditions. We believe the estimates and assumptions underlying our consolidated financial statements are reasonable and supportable based on the information available as of June 30, 2020, however uncertainty over the ultimate impact

COVID-19

will have on the global economy generally, and our business in particular, makes any estimates and assumptions as of June 30, 2020 inherently less certain than they would be absent the current and potential impacts of

COVID-19.

Actual results may ultimately differ from those estimates.

Revenue Recognition

Interest income from our loans receivable portfolio and debt securities is recognized over the life of each investment using the effective interest method and is recorded on the accrual basis. Recognition of fees, premiums, and discounts associated with these investments is deferred ~~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 is then recorded on the basis of cash received until accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed. In addition, for loans we originate, the related origination expenses are deferred and recognized as a component of interest ~~income;~~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 June 30, 2020 and December 31, 2019, we had 0 restricted cash ~~represents~~on our consolidated balance sheets.

Table of Contents

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

Through our subsidiaries, we have oversight of certain servicing accounts held with third-party servicers, or Servicing Accounts, which relate to borrower escrows and other cash ~~held~~balances aggregating $350.4 million and $450.8 million as of June 30, 2020 and December 31, 2019, 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 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. The initial CECL reserve recorded on January 1, 2020 is reflected as a direct charge to retained earnings on our consolidated statements of changes in equity; however subsequent changes to the CECL reserve are ~~required~~recognized through net income (loss) o

n our consolidated statements of operations. While ASU 2016-13 does not require any particular method for determining the CECL reserve, it does specify the reserve should be based on relevant information about past events, including historical loss experience, current portfolio and market conditions, and reasonable and supportable forecasts for the duration of each respective loan. In addition, other than a few narrow exceptions, ASU 2016-13 requires that all financial instruments subject to ~~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 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, which includes zero realized loan losses since the launch of our senior loan origination business in 2013, with market loan loss data licensed from Trepp LLC. This database includes commercial mortgage-backed securities, or CMBS, issued since January 1, 1999 through May 31, 2020. Within this database, we focused our historical loss reference calculations on the most relevant subset of available CMBS data, which we determined based on loan metrics that are most comparable to our loan portfolio including asset type, geography, and

loan-to-value,

or LTV. We believe this CMBS data, which includes month-over-month loan and property performance, is ~~indicated when it is deemed probable that we will not be able~~the most relevant, available, and comparable dataset to ~~collect all amounts due~~our portfolio.

Our loans typically include commitments to ~~us pursuant~~fund incremental proceeds to our borrowers over t

he life of the loan, which future funding commitments are also subject to the ~~contractual terms~~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 ~~loan. If a~~CECL reserve will similarly impact our consolidated net income (loss).

For both the funded and unfunded portions of our loans, we consider our internal risk rating of each loan ~~is determined to be impaired, we write down~~as the ~~loan through a charge to the provision for loan losses. Impairment~~primary credit quality indicator underlying our assessment.

Table of these loans, which are collateral dependent, is measured by comparing the estimated fair value of the underlying collateral, less costs to sell, to the book value of the respective loan. These valuations require significant judgments, which include assumptions regarding capitalization rates, leasing, creditworthiness of major tenants, occupancy rates, availability of financing, exit plan, loan sponsorship, actions of other lenders, and other factors deemed necessary by our Manager. Actual losses, if any, could ultimately differ from these estimates.

Contents

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

The CECL reserve is measured on a collective basis wherever similar risk characteristics exist within a pool of similar assets. We have identified the following pools and measure the reserve for credit losses using the following methods:

•

U.S. Loans

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

•

Non-U.S. Loans

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

•

Unique Loans

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

•

Impaired Loans

: practical expedient applied for

collateral-dependent

loans. The CECL reserve is assessed on an individual basis for these loans by comparing the estimated fair value of the underlying collateral, less costs to sell, to the book value of the respective loan. These valuations require significant judgments, which include assumptions regarding capitalization rates, discount rates, leasing, creditworthiness of major tenants, occupancy rates, availability and cost of financing, exit plan, loan sponsorship, actions of other lenders, and other factors deemed relevant by our Manager. Actual losses, if any, could ultimately differ from these estimates.

We adopted ASU

2016-13

using the modified-retrospective method for all financial assets measured at amortized cost. Prior to our adoption, we had no loan loss provisions on our consolidated balance sheets. We recorded a cumulative-effective adjustment to the opening retained earnings in our consolidated statement of equity as of January 1, 2020.

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


	Impact of ASU 2016-13 Adoption
Assets:
Loans
U.S. Loans	$	8,955
Non-U.S. Loans		3,631
Unique Loans		1,356

CECL reserve on loans	$	13,942

CECL reserve on held-to-maturity debt securities		445
Liabilities:
CECL reserve on unfunded loan commitments		3,263

Total impact of ASU 2016-13 adoption on retained earnings	$	17,650

Contractual Term and Unfunded Loan Commitments

Expected credit losses are estimated over the contractual term of each loan, adjusted for expected prepayments. As part of our quarterly review of our loan portfolio, we assess the expected repayment date of each loan, which is used to determine the contractual term for purposes of computing our CECL reserve.

Additionally, the expected credit losses over the contractual period of our loans are subject to the obligation to extend credit through our unfunded loan commitments. The CECL reserve for unfunded loan commitments is adjusted 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.

Table of Contents

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

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

		2 3 -		~~Low~~ Medium 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~~

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 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 31, 2016 and we no longer have any equity investments in unconsolidated subsidiaries in our consolidated financial statements.~~

June 30, 2020

Derivative Financial Instruments

We classify all derivative financial instruments as either other assets or other liabilities on our consolidated balance sheets at fair value.

On the date we enter into a derivative contract, we designate each contract as (i) a hedge of a net investment in a foreign operation, or net investment hedge, (ii) a hedge of a forecasted transaction or of the variability of cash flows to be received or paid related to a recognized asset or liability, or cash flow hedge, (iii) a hedge of a recognized asset or liability, or fair value hedge, or (iv) a derivative instrument not to be designated as a hedging derivative, or non-designated hedge. For all derivatives other than those designated as non-designated hedges, we formally document our hedge relationships and designation at the contract’s inception. This documentation includes the identification of the hedging instruments and the hedged items, its risk management objectives, strategy for undertaking the hedge transaction and our evaluation of the effectiveness of its hedged transaction.

On a quarterly basis, we also formally assess whether the derivative we designated in each hedging relationship is expected to be, and has been, highly effective in offsetting changes in the value or cash flows of the hedged items. If it is determined that a derivative is not highly effective at hedging the designated exposure, hedge accounting is discontinued and the changes in fair value of the instrument are included in net income (loss) prospectively. ~~Changes~~Effective April 1, 2020, our net investment hedges are assessed using a method based on changes in spot exchange rates. Gains and losses, representing hedge components excluded from the assessment of effectiveness, are recognized in interest income on our consolidated statements of operations over the contractual term of our net investment hedges on a systematic and rational basis, as documented at hedge inception in accordance with our accounting policy election. All other changes in the fair value of our derivative instruments that qualify as hedges are reported as a component of accumulated other comprehensive income (loss) on our consolidated financial statements. Deferred gains and losses are reclassified out of accumulated other comprehensive income (loss) and into net income (loss) in the same period or periods during which the hedged transaction affects earnings, and are presented in the same line item as the earnings effect of the hedged item. For cash flow hedges, this is typically when the periodic swap settlements are made, while for net investment hedges, this occurs when the hedged item is sold or substantially liquidated. To the extent a derivative does not qualify for hedge accounting and is deemed a non-designated hedge, the changes in its fair value are included in net income (loss) concurrently.

Table of Contents

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

Secured Debt Agreements

Where applicable, we record investments financed with ~~repurchase~~secured debt agreements as separate assets and the related borrowings under any ~~repurchase~~secured debt agreements are recorded as separate liabilities on our consolidated balance sheets. Interest income earned on the investments and interest expense incurred on the ~~repurchase~~secured debt agreements are reported separately on our consolidated statements of operations.

Senior Loan Participations

In certain instances, we finance our loans through the non-recourse syndication of a senior loan interest to a third-party. Depending on the particular structure of the syndication, the senior loan interest may remain on our GAAP balance sheet or, in other cases, the sale will be recognized and the senior loan interest will no longer be included in our consolidated financial statements. When these sales are not recognized under GAAP we reflect the transaction by recording a loan participations sold liability on our consolidated balance sheet, however this gross presentation does not impact stockholders’ equity or net ~~income.~~income (loss). When the sales are recognized, our balance sheet only includes our remaining subordinate loan and not the non-consolidated senior interest we sold.

Secured Term Loans

We record our secured term loans as liabilities on our consolidated balance sheets. Where applicable, any issue discount or transaction expenses are deferred and amortized through the maturity date of the secured term loans as additional

non-cash

interest expense.

Convertible Notes

The “Debt with Conversion and Other Options” Topic of the Financial Accounting Standards Board, or FASB, Accounting Standards Codification, or ASC, requires the liability and equity components of convertible debt instruments that may be settled in cash upon conversion, including partial cash settlement, to be separately accounted for in a manner that reflects the issuer’s nonconvertible debt borrowing rate. The initial proceeds from the sale of convertible notes are allocated between a liability component and an equity component in a manner that reflects interest expense at the rate of similar nonconvertible debt that could have been issued at such time. The equity component represents the excess initial proceeds received over the fair value of the liability component of the notes as of the date of issuance. We measured the estimated fair value of the debt component of our convertible notes as of the respective issuance dates based on our nonconvertible debt borrowing rate. The equity component of each series of our convertible notes is reflected within additional

paid-in

capital on our consolidated balance sheet, and the resulting ~~debt~~issue discount is amortized over the period during which such convertible notes are expected to be outstanding (through the maturity date) as additional

non-cash

interest expense. The additional

non-cash

interest expense attributable to such convertible notes will increase in subsequent periods through the maturity date as the notes accrete to their par value over the same period.

Deferred Financing Costs

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

Fair Value of Financial Instruments

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

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.

Table of Contents

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

Financial instruments measured and reported at fair value are classified and disclosed based on the observability of inputs used in the determination, as follows:

~~Level 1: Generally includes only unadjusted quoted prices that are available in active markets for identical financial instruments as of the reporting date.~~

•

Level 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 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.~~14

. 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.~~

Mana

ger.

During the three months ended June 30, 2020, we recorded an aggregate $69.7 million CECL reserve specifically related to two of our loans receivable with an aggregate outstanding principal balance of $334.2 million.

The CECL reserve was recorded based o

n our

Manager’s e

sti

mation

of the fair value of the loan’s underlying collateral as of June 30, 2020. These loans receivable are therefore measured at fair value on a nonrecurring basis using significant unobservable inputs, and are classified as Level 3 assets in the fair value hierarchy.

The significant unobserva

ble

inputs used to estimate the fair value of these loans receivable include the exit c

apitalization rate assumption used to

forecast the future sa

le price of the underlying real estate collateral, which ranged from

4.25% to 4.80%.

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.

•

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

•

Debt securities held-to-maturity: The fair value of these instruments was estimated by utilizing third-party pricing service providers assuming the securities are not sold prior to maturity. In determining the value of a particular investment, pricing service providers may use broker-dealer quotations, reported trades, or valuation estimates from their internal pricing models to determine the reported price.

Table of ~~cash and cash equivalents approximates fair value.~~

Contents

~~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, occupancy rates, availability and cost of financing, exit plan, sponsorship, actions of other lenders, and indications of market value from other market participants.

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.

~~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)

•

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.

•

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

•

Convertible notes, net: Each series of the convertible notes is actively traded and their fair values were obtained using quoted market prices.

Income Taxes

Our financial results generally do not reflect provisions for current or deferred income taxes on our REIT taxable income. We believe that we operate in a manner that will continue to allow us to be taxed as a REIT and, as a result, we generally do not expect to pay substantial corporate level taxes other than those payable by our taxable REIT subsidiaries. If we were to fail to meet these requirements, we may be subject to federal, state, and local income tax on current and past income, and penalties. Refer to Note 1312 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 (loss) 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 1413 for additional information.

Earnings per Share

Basic earnings per share, or Basic EPS, is computed in accordance with the

two-class

method and is based on the net earnings allocable to our class A common stock, including restricted class A common stock and deferred stock units, divided by the weighted-average number of shares of our class A common stock, including restricted class A common stock and deferred stock units outstanding during the period. Our restricted class A common stock is considered a participating security, as defined by GAAP, and has been included in our Basic EPS under the

two-class

method as these restricted shares have the same rights as our other shares of class A common stock, including participating in any gains or losses.

Diluted earnings per share, or Diluted EPS, is determined using the treasury stock method, and is based on the net earnings allocable to our class A common stock, including restricted class A common stock and deferred stock units, divided by the weighted-average number of shares of our class A common stock, including restricted class A common stock and deferred stock units. Refer to Note 1110 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 translation adjustments arising from the translation of

non-U.S.

dollar denominated subsidiaries are recorded in other comprehensive income (loss).

Table of Contents

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

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, the FASB issued ASU 2017-12 “Derivatives and Hedging Topic 815: Targeted Improvements to Accounting for Hedging Activities,” or ASU 2017-12. ASU 2017-12 is intended 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 flow 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 in the third quarter of 2017, which did not have an impact on our 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 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~~

“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.~~income

(

loss

)

. ASU

2016-13 ~~will replace~~

replaced the ~~“incurred loss”~~incurred loss model under ~~existing~~previous guidance with ~~an “expected loss”~~a CECL model for instruments measured at amortized cost, and ~~require~~requires entities to record ~~allowances~~reserves for

available-for-sale

debt securities rather than reduce the carrying amount, as they ~~do today~~did previously under the other-than-temporary impairment model. It also ~~simplifies~~simplified the accounting model for purchased credit-impaired debt securities and loans. We adopted ASU

2016-13 ~~is effective for fiscal years beginning after December 15, 2019~~

on January 1, 2020, and ~~is to be adopted through~~recorded a $17.7 million cumulative-effect adjustment to retained earnings as of the beginning of the first reporting period in which the guidance is effective. While we are currently evaluating the impact ASU 2016-13 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.

earnings.

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. 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 ~~be applied retrospectively. We do not anticipate~~assume that the ~~adoption~~index upon which future hedged transactions will be based matches the index on the corresponding derivatives. Application of ~~ASU 2014-09 will have a material~~these expedients preserves the presentation of derivatives consistent with our past presentation. We continue to evaluate the impact ~~on our consolidated financial statements.~~

of ASU

2020-04

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

Table of Contents

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

3. LOANS RECEIVABLE, NET

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

   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


	June 30, 2020			December 31, 2019
Number of loans		128			128
Principal balance	$	16,434,631		$	16,277,343
Net book value	$	16,161,353		$	16,164,801
Unfunded loan commitments (1)	$	3,590,868		$	3,911,868
Weighted-average cash coupon (2)		L + 3.17	%		L + 3.20	%
Weighted-average all-in yield (2)		L + 3.52	%		L + 3.55	%
Weighted-average maximum maturity (years) (3)		3.5			3.8

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, 2019	$	16,277,343		$	(112,542	)	$	16,164,801
Loan fundings		1,240,642			—			1,240,642
Loan repayments		(953,069	)		—			(953,069	)
Unrealized (loss) gain on foreign currency translation		(130,285	)		1,232			(129,053	)
Deferred fees and other items		—			(11,969	)		(11,969	)
Amortization of fees and other items		—			28,051			28,051

Loans Receivable, as of June 30, 2020	$	16,434,631		$	(95,228	)	$	16,339,403

CECL reserve								(178,050	)

Loans Receivable, net, as of June 30, 2020							$	16,161,353


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

Table of Contents

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

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

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%


June 30, 2020
Property Type	Number of Loans		Net Book Value			Total Loan Exposure (1)(2)		Percentage of Portfolio
Office		60	$	9,580,065		$	9,940,103		59%
Hospitality		14		2,220,051			2,295,799		13
Multifamily		36		1,881,529			1,947,388		11
Industrial		7		840,065			844,665		5
Retail		4		533,088			544,682		3
Self-Storage		2		289,329			289,441		2
Condominium		2		232,220			233,621		1
Other		3		763,056			1,078,545		6

Total loans receivable		128	$	16,339,403		$	17,174,244		100%

CECL reserve				(178,050	)

Loans receivable, net			$	16,161,353


Geographic Location	Number of Loans		Net Book Value			Total Loan Exposure (1)(2)		Percentage of Portfolio
United States
Northeast		27	$	4,277,301		$	4,301,875		25%
West		28		2,924,455			3,304,345		19
Southeast		25		2,363,782			2,376,630		14
Midwest		9		1,044,542			1,048,537		6
Southwest		12		614,003			616,253		4
Northwest		1		15,515			15,530		—

Subtotal		102		11,239,598			11,663,170		68
International
United Kingdom		13		1,658,666			1,997,241		12
Ireland		1		1,323,243			1,333,139		8
Spain		2		1,208,597			1,214,209		7
Germany		1		198,675			250,803		1
Australia		2		232,376			233,425		1
Italy		1		186,671			188,510		1
Netherlands		1		96,634			97,731		1
Belgium		1		87,222			87,304		1
Canada		3		75,534			75,684		—
France		1		32,187			33,028		—

Subtotal		26		5,099,805			5,511,074		32

Total loans receivable		128	$	16,339,403		$	17,174,244		100%

CECL reserve				(178,050	)

Loans receivable, net			$	16,161,353


(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~~$739.6 million of such non-consolidated senior interests as of ~~September~~June 30, ~~2017.~~ 2020.
(2)		Excludes investment exposure to the $857.3 million 2018 Single Asset Securitization. See Note 4 for details of the subordinate position we own in the 2018 Single Asset Securitization.

Table of Contents

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, 2019
Property Type	Number of Loans	Net Book Value		Total Loan Exposure (1)(2)		Percentage of Portfolio
Office	63	$	9,946,055	$	10,266,567	61%
Hospitality	14		2,199,220		2,281,718	13
Multifamily	36		1,596,333		1,642,664	10
Industrial	5		603,917		607,423	4
Retail	3		373,045		381,040	2
Self-Storage	2		291,994		292,496	2
Condominium	1		232,778		234,260	1
Other	4		921,459		1,259,696	7

	128	$	16,164,801	$	16,965,864	100%


Geographic Location	Number of Loans		Net Book Value		Total Loan Exposure (1)(2)		Percentage of Portfolio
United States
Northeast		25	$	3,789,477	$	3,815,580		22%
West		30		3,143,323		3,451,914		20
Southeast		23		2,321,444		2,334,852		14
Midwest		10		1,174,581		1,180,240		7
Southwest		11		464,989		467,532		3
Northwest		3		52,891		52,989		—

Subtotal		102		10,946,705		11,303,107		66
International
United Kingdom		13		1,738,536		2,102,501		12
Ireland		1		1,318,196		1,330,647		8
Spain		2		1,231,061		1,237,809		7
Australia		3		360,047		361,763		2
Germany		1		195,081		251,020		1
Italy		1		178,740		180,897		1
Belgium		1		86,807		87,201		1
Canada		3		77,656		77,953		1
France		1		31,972		32,966		1

Subtotal		26		5,218,096		5,662,757		34

Total		128	$	16,164,801	$	16,965,864		100%


(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~~$688.5 million of such non-consolidated senior interests as of December 31, ~~2016.~~ 2019.
(2)		Excludes investment exposure to the $930.0 million 2018 Single Asset Securitization. See Note 4 for details of the subordinate position we own in the 2018 Single Asset Securitization.

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.

Table of Contents

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

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

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


	June 30, 2020							December 31, 2019
Risk Rating	Number of Loans		Net Book Value			Total Loan Exposure (1)(2)		Number of Loans		Net Book Value		Total Loan Exposure (1)(2)
1		6	$	403,025		$	404,596		6	$	376,379	$	378,427
2		28		3,143,641			3,163,083		30		3,481,123		3,504,972
3		78		9,509,007			10,306,208		89		12,137,963		12,912,722
4		14		2,951,069			2,966,195		3		169,336		169,743
5		2		332,661			334,162		—		—		—

Total loans receivable		128	$	16,339,403		$	17,174,244		128	$	16,164,801	$	16,965,864

CECL reserve				(178,050	)						—

Loans receivable, net			$	16,161,353						$	16,164,801

(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~~$739.6 million and ~~$1.0 billion~~$688.5 million of such

non-consolidated

senior interests as of ~~September~~June 30, ~~2017~~2020 and December 31, ~~2016,~~2019, respectively.

(2)

Excludes investment exposure to the 2018 Single Asset Securitization of $857.3 million and $930.0 million as of June 30, 2020 and December 31, 2019, respectively. See Note 4 for details of the subordinate

position

we own in the 2018 Single Asset Securitization.

The weighted-average risk rating of our total loan exposure was ~~2.6~~

3.0 and ~~2.5~~ 2.8

as of ~~September~~June 30, ~~2017~~2020 and December 31, ~~2016,~~2019, respectively. The increase in ~~weighted-average~~the risk rating was primarily ~~driven by repayments~~the result of loans with ~~lower~~an aggregate principal balance of $3.1 billion that were downgraded to a

“4”

“5”

as of June 30, 2020 to reflect the higher risk in loans collateralized by hospitality assets and select other assets that are particularly negatively impacted by the COVID-19 pandemic.

Table of Contents

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

Current Expected Credit Loss Reserve

The CECL reserve required under GAAP reflects our current estimate of potential credit losses related to the loans and debt securities included in our consolidated balance sheets. Refer to Note 2 for further discussion of our CECL reserve. The following table presents the activity in our loans receivable CECL reserve by investment pool for the

three and

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


	U.S. Loans			Non-U.S. Loans			Unique Loans		Impaired Loans		Total
Loans Receivable, Net
CECL reserve as of December 31, 2019	$	—		$	—		$	—	$	—	$	—
Initial CECL reserve on January 1, 2020		8,955			3,631			1,356		—		13,942
Increase in CECL reserve		52,449			16,114			25,884		69,661		164,108

CECL reserve as of June 30, 2020	$	61,404		$	19,745		$	27,240	$	69,661	$	178,050

CECL reserve as of March 31, 2020	$	64,861		$	21,825		$	26,008	$	—	$	112,694
(Decrease) increase in CECL reserve		(3,457	)		(2,080	)		1,232		69,661		65,356

CECL reserve as of June 30, 2020	$	61,404		$	19,745		$	27,240	$	69,661	$	178,050

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

(loss)

on our consolidated statements of operations. During the three and six months ended June 30, 2020, we recorded an increase of $65.4 million and $164.1 million, respectively, in the current expected credit loss reserve against our loans receivable portfolio, bringing our total CECL reserve to $178.1 million as of June 30, 2020. This CECL reserve reflects the macroeconomic impact of the

COVID-19

pandemic on commercial real estate markets generally, as well as certain loans assessed for impairment in our portfolio. See Note 2 for further discussion of

COVID-19.

During the first quarter of 2020, we entered into a loan modification

related to a multifamily asset in New York City

which is classified as a troubled debt restructuring under GAAP. This modification included, among other changes, an additional borrower contribution of capital, a reduction in loan spread, and an extension of the loan’s maturity date to November 9, 2020. As of June 30, 2020, we recorded a

$14.8

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

$52.8

million as of June 30, 2020. The CECL reserve was recorded based on our Manager’s estimation of the fair value of the loan’s underlying collateral as of June 30, 2020, and to reflect ongoing loan modification discussions. As of June 30, 2020, the borrower was current with all terms of the loan, including payments of interest.

As of June 30, 2020, we recorded a

$54.9

million CECL reserve on a loan

related to a ho

spitality

set in New York

City

with an outstanding principal balance of

$281.4

Table of Contents

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

Our primary credit quality indicator is our risk ratings, ~~and not rating downgrades in~~which are further discussed above. The following table presents the ~~existing portfolio.~~

~~We did not have any impaired loans, nonaccrual loans, or loans in maturity default~~net book value of our loan portfolio as of ~~September~~June 30, ~~2017 or December 31, 2016.~~

2020 by year of origination, investment pool, and risk rating ($ in thousands):

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

As of June 30, 2020

2020

2019

2018

2017

2016

Prior

Total

U.S. loans

1
$
20,362
$
199,351
$
—
$
43,979
$
22,153
$
—
$
285,845

2

—

86,727

1,907,488

758,791

79,947

223,466

3,056,419

3

586,916

2,404,636

1,625,490

1,116,969

229,517

228,698

6,192,226

4

65,860

165,782

1,042,967

63,212

110,158

—

1,447,979

5

—

—

—

—

—

—

—

Total U.S. loans
$
673,138
$
2,856,496
$
4,575,945
$
1,982,951
$
441,775
$
452,164
$
10,982,469

Non-U.S.
loans

1
$
—
$
—
$
117,180
$
—
$
—
$
—
$
117,180

2

—

—

—

87,222

—

—

87,222

3

96,634

2,423,414

430,690

—

103,880

—

3,054,618

4

—

231,923

—

—

—

—

231,923

5

—

—

—

—

—

—

—

Total
Non-U.S.
loans
$
96,634
$
2,655,337
$
547,870
$
87,222
$
103,880
$
—
$
3,490,943

Unique loans

1
$
—
$
—
$
—
$
—
$
—
$
—
$
—

2

—

—

—

—

—

—

—

3

—

—

178,505

—

—

83,658

262,163

4

—

294,492

976,675

—

—

—

1,271,167

5

—

—

—

—

—

—

—

Total unique loans
$
—
$
294,492
$
1,155,180
$
—
$
—
$
83,658
$
1,533,330

Impaired loans

1
$
—
$
—
$
—
$
—
$
—
$
—
$
—

2

—

—

—

—

—

—

—

3

—

—

—

—

—

—

—

4

—

—

—

—

—

—

—

5

—

—

279,874

—

—

52,787

332,661

Total impaired loans
$
—
$
—
$
279,874
$
—
$
—
$
52,787
$
332,661

Total loans receivable

1
$
20,362
$
199,351
$
117,180
$
43,979
$
22,153
$
—
$
403,025

2

—

86,727

1,907,488

846,013

79,947

223,466

3,143,641

3

683,550

4,828,050

2,234,685

1,116,969

333,397

312,356

9,509,007

4

65,860

692,197

2,019,642

63,212

110,158

—

2,951,069

5

—

—

279,874

—

—

52,787

332,661

Total loans receivable
$
769,772
$
5,806,325
$
6,558,869
$
2,070,173
$
545,655
$
588,609
$
16,339,403

CECL reserve

(178,050
)

Loans receivable, net
$
16,161,353

(1) Date loan was originated or acquired by us. Origination dates are subsequently updated to reflect material loan modifications.
(2) Excludes the $75.8
million net book value of our held-to-maturity debt securities which represents our subordinate position we own in the 2018 Single Asset Securitization, and is included in other assets on our consolidated balance sheets. See Note 4 for details of the subordinate position we own in the 2018 Single Asset Securitization.
23

Table of Contents

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

Multifamily Joint Venture

As discussed in Note 2, we entered into a Multifamily Joint Venture in April 2017. As of ~~September~~June 30, ~~2017,~~2020 and December 31, 2019, our Multifamily Joint Venture held ~~$146.1~~$624.1 million and $670.5 million of loans, respectively, which are included in the loan disclosures above. Refer to Note 2 for additional discussion of our Multifamily Joint Venture.

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)~~

5. 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


	June 30, 2020			December 31, 2019
Loan portfolio payments held by servicer (1)	$	81,261		$	49,584
Debt securities held-to-maturity (2)		79,955			86,638
CECL reserve		(4,119	)		—

Debt securities held-to-maturity, net		75,836			86,638
Accrued interest receivable		60,792			66,649
Collateral deposited under derivative agreements		22,180			30,800
Prepaid taxes		376			376
Prepaid expenses		328			739
Derivative assets		327			1,079
Other		834			1,115

Total	$	241,934		$	236,980


(1)		Represents loan principal and interest payments held by our third-party loan servicer as of the balance sheet date which were remitted to us during the subsequent remittance cycle.

(2)

Represents the subordinate position we own in the 2018

Single Asset Securitization, which held aggregate loan assets of $857.3 million and $930.0 million as of June 30, 2020 and December 31, 2019, respectively, with a yield to

full maturity of L+10.0% and a maximum maturity date of June 9, 2025, assuming all extension options are exercised by the borrower. Refer to Note 15 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 by investment pool for the

three and

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


	U.S. Loans			Non-U.S. Loans		Unique Loans		Impaired Loans		Total
Debt Securities Held-To-Maturity
CECL reserve as of December 31, 2019	$	—		$	—	$	—	$	—	$	—
Initial CECL reserve on January 1, 2020		445			—		—		—		445
Increase in CECL reserve		3,674			—		—		—		3,674

CECL reserve as of June 30, 2020	$	4,119		$	—	$	—	$	—	$	4,119

CECL reserve as of March 31, 2020	$	5,122		$	—	$	—	$	—	$	5,122
Decrease in CECL reserve		(1,003	)		—		—				(1,003	)

CECL reserve as of June 30, 2020	$	4,119		$	—	$	—	$	—	$	4,119

Table of Contents

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

Our initial CECL reserve against our debt securities

held-to-maturity

of $445,000 recorded on January 1, 2020 is reflected as a direct charge to retained earnings on our consolidated statements of changes in equity; however subsequent changes to the CECL reserve are recognized through net income

(loss)

on our consolidated statements of operations. During the three and six months ended June 30, 2020, we recorded a decrease of $1.0 million and an increase of $3.7 million, respectively, in the expected credit loss reserve against our debt securities

held-to-maturity,

bringing our total CECL reserve to $4.1 million as of June 30, 2020. This CECL reserve reflects the macroeconomic impact of the

COVID-19

pandemic on commercial real estate markets generally and is not specific to any loan losses or impairments in our portfolio. See Note 2 for further discussion of

COVID-19.

Other Liabilities

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

     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


	June 30, 2020		December 31, 2019
Accrued dividends payable	$	90,642	$	83,702
Derivative liabilities		26,164		42,263
Accrued interest payable		20,895		24,831
Accrued management and incentive fees payable		20,496		20,159
Current expected credit loss reserve for unfunded loan commitments (1)		15,002		—
Accounts payable and other liabilities		4,114		5,008

Total	$	177,313	$	175,963


(1)		Represents ~~pending transfers from our third-party loan servicer that were remitted~~the CECL reserve related to our ~~banking counterparties during~~unfunded loan commitments. See Note 2 for further discussion of the ~~subsequent remittance cycle.~~ CECL reserve.

Current Expected Credit Loss Reserve for Unfunded Loan Commitments

As of June 30, 2020, we had unfunded commitments of $3.6 billion related to 91 loans receivable. The expected credit losses over the contractual period of our loans are subject to the obligation to extend credit through our unfunded loan commitments. See Note 2 for further discussion of the CECL reserve related to our unfunded loan commitments, and Note 17 for further discussion of our unfunded loan commitments. The following table presents the activity in the CECL reserve related to our unfunded loan commitments by investment pool for the three and six months ended June 30, 2020 ($ in thousands):


	U.S. Loans			Non-U.S. Loans			Unique Loans		Impaired Loans		Total
Unfunded Loan Commitments
CECL reserve as of December 31, 2019	$	—		$	—		$	—	$	—	$	—
Initial CECL reserve on January 1, 2020		2,801			453			9		—		3,263
Increase in CECL reserve		10,035			1,625			79		—		11,739

CECL reserve as of June 30, 2020	$	12,836		$	2,078		$	88	$	—	$	15,002

CECL reserve as of March 31, 2020	$	19,793		$	2,672		$	71	$	—	$	22,536
(Decrease) increase in CECL reserve		(6,957	)		(594	)		17		—		(7,534	)

CECL reserve as of June 30, 2020	$	12,836		$	2,078		$	88	$	—	$	15,002

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

(loss)

on our consolidated statements of operations. During the three and six months ended June 30, 2020, we recorded a decrease of $7.5 million and an increase of $11.7 million, respectively, in the expected credit loss reserve against our unfunded loan commitments, bringing our total CECL reserve to $15.0 million as of June 30, 2020. This CECL reserve reflects the macroeconomic impact of the

COVID-19

pandemic on commercial real estate markets generally and is not specific to any loan losses or impairments in our portfolio. See Note 2 for further discussion of

COVID-19.

Table of Contents

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

5. SECURED DEBT AGREEMENTS, NET

During the three months ended June 30, 2020, we

entered into agreements with 7 of our secured credit facility lenders, representing an aggregate $7.9 billion of our secured credit

facilities, to temporarily suspend credit mark provisions on certain of their portfolio assets in exchange for: (i) cash repayments; (ii) pledges of additional collateral; and (iii) reductions in our available borrowings.

Our secured debt agreements include secured credit facilities, ~~the GE portfolio acquisition facility,~~ asset-specific financings, and a revolving credit agreement. 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 Agreements
	Borrowings Outstanding
	June 30, 2020			December 31, 2019
Secured credit facilities	$	9,431,109		$	9,753,059
Asset-specific financings		285,343			330,879
Revolving credit agreement		—			—

Total secured debt agreements	$	9,716,452		$	10,083,938

Deferred financing costs (1)		(26,911	)		(29,008	)

Net book value of secured debt	$	9,689,541		$	10,054,930


(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.

Table of Contents

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

Secured Credit Facilities

~~During the nine months ended September 30, 2017, we added two new~~

The following table details our secured credit facilities ~~related to our Multifamily Joint Venture, providing an aggregate additional $450.0 million~~as 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 $500.0 million credit facility. The following tables detail our credit facilitiesJune 30, 2020 ($ 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


	June 30, 2020
	Credit Facility Borrowings						Collateral
Lender	Potential (1)		Outstanding		Available (1)		Assets (2)
Deutsche Bank	$	2,011,496	$	2,011,496	$	—	$	2,673,795
Barclays		1,637,749		1,607,267		30,482		2,110,436
Wells Fargo		1,516,822		1,497,542		19,280		1,960,089
Citibank		916,680		899,627		17,053		1,189,282
Goldman Sachs		582,860		582,854		6		781,016
Bank of America		540,376		540,376		—		750,722
Morgan Stanley		492,293		492,293		—		786,931
MetLife		444,502		444,502		—		556,015
JP Morgan		415,535		388,182		27,353		558,291
Santander		244,607		244,607		—		306,082
Société Générale		236,698		236,698		—		301,932
Goldman Sachs - Multi. JV (3)		234,464		234,464		—		306,555
US Bank - Multi. JV (3)		220,139		217,281		2,858		275,174
Bank of America - Multi. JV (3)		33,920		33,920		—		42,400

	$	9,528,141	$	9,431,109	$	97,032	$	12,598,720

(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)~~

~~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)~~

(2)

Represents the principal balance 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.

collateral assets.

~~(5)~~

(3)

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 secured credit facilities was ~~$4.0~~$9.2 billion for the ~~nine~~six months ended ~~September~~June 30, ~~2017.~~2020. As of ~~September~~June 30, ~~2017,~~2020, we had aggregate borrowings of ~~$4.4~~$9.4 billion outstanding under our secured credit facilities, with a weighted-average cash coupon of LIBOR plus ~~1.88%~~1.62% per annum, a weighted-average

all-in

cost of credit, including associated fees and expenses, of LIBOR plus ~~2.09%~~1.82% per annum, and a weighted-average advance rate of ~~78.8%~~75.6%. As of ~~September~~June 30, ~~2017,~~2020, outstanding borrowings under these facilities had a weighted-average maturity, ~~excluding~~including extension options, ~~and term-out provisions,~~ of ~~1.5~~ 3.4

years.

Table of Contents

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

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


	December 31, 2019
	Credit Facility Borrowings						Collateral
Lender	Potential (1)		Outstanding		Available (1)		Assets (2)
Wells Fargo	$	2,056,769	$	2,018,057	$	38,712	$	2,621,806
Deutsche Bank		2,037,795		1,971,860		65,935		2,573,447
Barclays		1,629,551		1,442,083		187,468		2,044,654
Citibank		1,159,888		1,109,837		50,051		1,473,745
Bank of America		603,660		513,660		90,000		775,678
Morgan Stanley		524,162		468,048		56,114		706,080
Goldman Sachs		474,338		450,000		24,338		632,013
MetLife		417,677		417,677		—		536,553
Société Générale		333,473		333,473		—		437,130
US Bank - Multi. JV (3)		279,838		279,552		286		350,034
JP Morgan		303,288		259,062		44,226		386,545
Santander		239,332		239,332		—		299,597
Goldman Sachs - Multi. JV (3)		203,846		203,846		—		261,461
Bank of America - Multi. JV (3)		46,572		46,572		—		58,957

	$	10,310,189	$	9,753,059	$	557,130	$	13,157,700


(1)		Potential borrowings represents the total amount we could draw under each facility based on collateral already approved and pledged. When undrawn, these amounts are immediately available to us at our sole discretion under the terms of each credit facility.
(2)		Represents the principal balance of the collateral assets.
(3)		These facilities finance the loan investments of our consolidated Multifamily Joint Venture. Refer to Note 2 for additional discussion of our Multifamily Joint Venture.

The weighted-average outstanding balance of our secured credit facilities was ~~$2.9~~$8.9 billion for the ~~nine~~six months ended ~~September 30, 2016.~~December 31, 2019. As of December 31, ~~2016,~~2019, we had ~~aggregated~~aggregate borrowings of ~~$3.6~~$9.8 billion outstanding under our secured credit facilities, with a weighted-average cash coupon of LIBOR plus ~~1.82%~~1.60% per annum, a weighted-average

all-in

cost of credit, including associated fees and expenses, of LIBOR plus ~~2.02%~~1.79% per annum, and a weighted-average advance rate of ~~79.1%~~79.4%. As of December 31, ~~2016,~~2019, outstanding borrowings under these facilities had a weighted-average maturity, ~~excluding~~including extension options, ~~and term-out provisions,~~ of ~~1.5~~3.6 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.

Table of Contents

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

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

2020:


Lender	Currency	Guarantee (1)	Margin Call (2)	Term/Maturity
~~Wells Fargo~~ Morgan Stanley	$	~~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⁾ March 1, 2022
~~Deutsche Bank~~ Goldman Sachs - Multi. JV (3)	$	~~35%~~ 25%	Collateral marks only	~~Term matched~~⁽³⁾ July 12, 2022 (6)
~~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⁾ (3)	$	43%	Collateral marks only	July 19, ~~2021~~2023 (7)
~~Goldman Sachs~~ JP Morgan	$ / £	43%	Collateral marks only	January 7, 2024 (8)
Bank of America	$	50%	Collateral marks only	May 21, 2024 (9)
MetLife	$	62%	Collateral marks only	September 23, 2025 (10)
Deutsche Bank	$ / €	60% (4)	Collateral marks only	Term matched (11)
Citibank	$ / £ / € / A$ / C$	25%	Collateral marks only	Term matched (11)
Société Générale	$ / £ / €	25%	Collateral marks only	Term matched (11)
Santander	€	50%	Collateral marks only	Term matched (11)
Wells Fargo	$ / C$	25% (5)	Collateral marks only	Term matched (11)
US Bank - Multi. JV⁽⁶⁾ (3)	$	25%	Collateral marks only	~~July 12, 2020~~ Term matched (11)
Barclays	$ / £ / €	25%	Collateral marks only	Term matched (11)
Goldman Sachs	$ / £ / €	25%	Collateral marks only	Term matched (11)


(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. These provisions have been temporarily suspended on certain of our facilities as described above.
(3)		These facilities finance the loan investments of our consolidated Multifamily Joint Venture. Refer to Note 2 for additional discussion of our Multifamily Joint Venture.
(4)		Specific borrowings outstanding of $934.7 million are 100 % guaranteed. The remainder of the credit facility borrowings are 25 % guaranteed.
(5)		In addition to the 25 % guarantee across all borrowings, there is an incremental guarantee of $146.6 million related to $195.4 million of specific borrowings outstanding.
(6)		Includes a one-year extension option which may be exercised at our sole discretion.
(7)		Includes two one-year extension options which may be exercised at our sole discretion.
(8)		Includes two one-year extension options which may be exercised at our sole discretion.
(9)		Includes two one-year extension options which may be exercised at our sole discretion.
(10)		Includes five one-year extension options which may be exercised at our sole discretion.
(11)		These secured credit facilities have various availability periods during which new advances can be made and which are generally subject to each lender’s discretion. Maturity dates for advances outstanding are tied to the term of each respective collateral asset.


Currency	Potential Borrowings (1)		Outstanding Borrowings		Floating Rate Index (2)	Spread	Advance Rate (3)
$		$ 5,783,708		$ 5,693,741	USD LIBOR	L + 1.63%	75.3%
€		€ 2,227,183		€ 2,220,917	EURIBOR	E + 1.44%	79.6%
£		£ 818,468		£ 818,468	GBP LIBOR	L + 1.95%	71.5%
A$		A$ 245,254		A$ 245,254	BBSY	BBSY + 1.90%	72.5%
C$		C$ 78,924		C$ 78,886	CDOR	CDOR + 1.80%	78.3%

		$ 9,528,141		$ 9,431,109		INDEX + 1.62%	75.6%

~~(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.~~ Floating rate indices are generally matched to the payment timing under the terms of each secured credit facility and its respective collateral assets.
(3)		Represents weighted-average advance rate based on the approved outstanding principal balance of the collateral assets pledged.

Table of Contents

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 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


	June 30, 2020
Asset-Specific Financings	Count	Principal Balance		Book Value		Wtd. Avg. Yield/Cost (1)			Guarantee (2)		Wtd. Avg. Term (3)
Collateral assets	3	$	356,679	$	346,051		L+5.20	%		n/a		Feb. 2023
Financing provided	3	$	285,343	$	279,132		L+3.60	%	$	16,546		Feb. 2023

	December 31, 2019
Asset-Specific Financings	Count	Principal Balance		Book Value		Wtd. Avg. Yield/Cost (1)			Guarantee (2)		Wtd. Avg. Term (3)
Collateral assets	4	$	429,983	$	417,820		L+4.90	%		n/a		Mar. 2023
Financing provided	4	$	330,879	$	323,504		L+3.42	%	$	97,930		Mar. 2023


(1)		These floating rate loans and related liabilities are indexed to the various benchmark rates relevant in each arrangement in terms of currency and payment frequency. Therefore the net exposure to each benchmark rate is in direct proportion to our net assets indexed to that rate. In addition to cash coupon, yield/cost includes the amortization of deferred origination fees / financing costs.
(2)		Other than amounts guaranteed on an ~~asset-by-asset~~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~~is 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~~$312.5 million for the ~~nine~~six months ended ~~September~~June 30, ~~2017~~2020 and ~~$557.9~~$262.5 million for the ~~nine~~six months ended ~~September 30, 2016.~~

December 31, 2019.

Revolving Credit Agreement

~~During the second quarter of 2017, we increased the borrowing capacity under our~~

We have a $250.0 million full recourse secured revolving credit agreement with Barclays ~~by $125.0 million to $250.0 million. This full recourse facility~~that is designed to finance first mortgage originations for up to ~~six~~nine months as a bridge to term financing or syndication. Advances under the agreement are subject to availability under a specified borrowing base and accrue interest at a per annum pricing rate equal to the sum of (i) an applicable base rate or Eurodollar rate and (ii) an applicable margin, in each case, dependent on the applicable type of loan collateral. The maturity date of the facility is April 4, ~~2020.~~

2023.

During the ~~nine~~six months ended ~~September~~June 30, ~~2017, the weighted-average outstanding~~2020, we had no borrowings under the revolving credit agreement ~~were $23.5 million~~ and we recorded interest expense of ~~$1.7 million,~~$901,000, including ~~$575,000~~$459,000 of amortization of deferred fees and expenses. ~~As of September 30, 2017,~~

During the six months ended December 31, 2019, 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~~ and we recorded interest expense of ~~$915,000,~~$972,000, including ~~$248,000~~$525,000 of amortization of deferred fees and expenses. ~~As of December 31, 2016 we had no outstanding borrowings under the agreement.~~

Debt Covenants

~~Each of the~~

The guarantees related to our secured debt agreements contain the following ~~uniform~~ financial covenants: (i) our ratio of earnings before interest, taxes, depreciation, and amortization, or EBITDA, to fixed charges, as defined in the agreements, shall be not less than 1.4 to 1.0; (ii) our tangible net worth, as defined in the agreements, shall not be less than ~~$1.9~~$3.0 billion as of each measurement date plus 75% of the net cash proceeds of future equity issuances subsequent to ~~September~~June 30, ~~2017;~~2020; (iii) cash liquidity shall not be less than the greater of (x) $10.0 million or (y) no more than 5% of our recourse indebtedness; and (iv) our indebtedness shall not exceed 83.33% of our total assets. As of ~~September~~June 30, ~~2017~~2020 and December 31, ~~2016,~~2019, we were in compliance with these covenants.

~~7. LOAN PARTICIPATIONS SOLD, NET~~

~~The financing of a loan by the non-recourse sale of a senior interest~~ Refer to Note 7 for information regarding financial covenants contained in the agreements governing our senior secured term loan ~~through a participation agreement generally does not qualify as a sale under GAAP. Therefore, in the instance~~facility.

Table 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.

Contents

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


~~(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.~~

6. SECURITIZED DEBT OBLIGATIONS, NET

In the ~~second~~first quarter of 2020 and the fourth quarter of 2017, we financed certain pools of our loans through collateralized loan obligations, which we refer to as the 2020 CLO and 2017 CLO, respectively, or collectively, the CLOs. We have also financed one of our loans through a single asset securitization vehicle, or the 2017 Single Asset Securitization. The 2020 CLO, 2017 CLO, and the 2017 Single Asset Securitization ~~which is~~have issued securitized debt obligations that are

non-recourse

to us. The CLOs and the 2017 Single Asset Securitization are consolidated in our financial statements. ~~The Securitization has issued securitized debt obligations that are non-recourse to us.~~ Refer to Note 1615 for further discussion of our CLOs and 2017 Single Asset Securitization.

Table of Contents

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

The following ~~table details~~tables detail our securitized debt obligations ($ 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


	June 30, 2020
Securitized Debt Obligations	Count		Principal Balance		Book Value		Wtd. Avg. Yield/Cost (1)			Term (2)
2020 Collateralized Loan Obligation
Collateral assets		34	$	1,500,000	$	1,500,000		L+3.20	%		December 2023
Financing provided		1		1,243,125		1,231,872		L+1.42	%		February 2038
2017 Collateralized Loan Obligation
Collateral assets		16		717,763		717,763		L+3.33	%		January 2023
Financing provided		1		535,263		534,120		L+1.77	%		June 2035
2017 Single Asset Securitization
Collateral assets (3)		1		688,611		687,775		L+3.57	%		June 2023
Financing provided		1		474,620		474,620		L+1.63	%		June 2033
Total
Collateral assets		51	$	2,906,374	$	2,905,538		L+3.32	%

Financing provided (4)		3	$	2,253,008	$	2,240,612		L+1.54	%


	December 31, 2019
Securitized Debt Obligations	Count		Principal Balance		Book Value		Wtd. Avg. Yield/Cost (1)			Term (2)
2017 Collateralized Loan Obligation
Collateral assets		18	$	897,522	$	897,522		L+3.43	%		September 2022
Financing provided		1		715,022		712,517		L+1.98	%		June 2035
2017 Single Asset Securitization
Collateral assets (3)		1		711,738		710,260		L+3.60	%		June 2023
Financing provided		1		474,620		474,567		L+1.64	%		June 2033
Total
Collateral assets		19	$	1,609,260	$	1,607,782		L+3.51	%

Financing provided (4)		2	$	1,189,642	$	1,187,084		L+1.84	%


(1)		In addition to cash coupon, ~~yield/cost~~ all-in yield includes the amortization of deferred origination and extension fees, ~~/ financing costs.~~ loan origination costs, purchase discounts, and accrual of exit fees. All-in yield for the total portfolio assume applicable floating benchmark rates for weighted-average calculation.
(2)		Loan term represents weighted-average final maturity, assuming all extension options are exercised by the borrower. Repayments of securitized debt obligations are tied to timing of the related collateral loan asset repayments. The term of these obligations represents the rated final distribution date of the ~~securitization.~~ securitizations.
(3)		The collateral assets for the 2017 Single Asset Securitization include the total loan amount, of which we securitized $500.0 million.
(4)		During the three and ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2020, we recorded ~~$3.8~~$10.7 million and $22.7 million, respectively, of interest expense related to our securitized debt obligations. During the three and six months ended June 30, 2019, we recorded $12.5 million and $25.0 million, respectively, of interest expense related to our securitized debt obligations.

~~We did not have any securitized debt obligations as~~

Table of ~~December 31, 2016.~~

Contents

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

7. SECURED TERM LOANS, NET

During the three months ended June 30, 2020

we entered into a $325.0 million senior secured term loan facility, or the 2020 Term Loan. As of June 30, 2020, the following senior secured term loan facilities, or Secured Term Loans, were outstanding ($ in thousands):

Term Loans

Face Value

Interest Rate

(1)

All-in

Cost

(1)(2)

Maturity

2019 Term Loan

743,134

L+2.25

L+2.52

April 23, 2026

2020 Term Loan

325,000

L+4.75

L+5.60

April 23, 2026


(1)		The 2020 Term Loan includes a LIBOR floor of 1.00%.
(2)		Includes issue discount and transaction expenses that are amortized through interest expense over the life of the Secured Term Loans.

The 2019 and 2020 Term Loans are partially amortizing, with an amount equal to 1.0% per annum of the aggregate principal balance due in quarterly installments. The issue discount and transaction expenses on the 2019 Term Loan were $1.6 million and $10.1 million, respectively, which will be amortized into interest expense over the life of the 2019 Term Loan. The issue discount and transaction expenses of the 2020 Term Loan were $9.6 million and

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

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


	June 30, 2020			December 31, 2019
Face value	$	1,068,134		$	746,878
Unamortized discount		(10,739	)		(1,456	)
Deferred financing costs		(12,232	)		(9,280	)

Net book value	$	1,045,163		$	736,142

The guarantee under our Secured Term Loans contains the financial covenant that our indebtedness shall not exceed 83.33% of our total assets. As of June 30, 2020 and December 31, 2019, we were in compliance with this covenant. Refer to Note 2 for additional discussion of our accounting policies for the Secured Term Loans.

Table of Contents

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

8. CONVERTIBLE NOTES, NET

As of ~~September~~June 30, ~~2017,~~2020, 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 Rate (2)		Maturity
May 2017	$	402,500		4.38	%		4.85	%		28.0324		May 5, 2022
March 2018	$	220,000		4.75	%		5.33	%		27.6052		March 15, 2023


(1)		Includes issuance costs that are amortized through interest expense over the life of the Convertible Notes using the effective interest method.
(2)		Represents the shares of class A common stock per $1,000 principal amount of Convertible Notes, which is equivalent to a conversion price of ~~$27.67~~$35.67 and ~~$35.67~~$36.23 per share of class A common stock, respectively, for the ~~November 2013 and~~ May 2017 and March 2018 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 respective May 2017 and March 2018 convertible notes supplemental ~~indenture has not~~indentures have 0t been exceeded as of ~~September~~June 30, ~~2017.~~ 2020.

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 convertible notes. Accordingly, as of September 30, 2017, the May 2017 convertible notes had an aggregate outstanding face value of $402.5 million.

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, 2018 and~~ January 31, 2022 and December 14, 2022 for the ~~November 2013~~May 2017 and ~~May 2017~~March 2018 convertible notes, respectively, at the applicable conversion rate in effect on the conversion date. Thereafter, the Convertible Notes are convertible at the option of the holder at any time until the second scheduled trading day immediately preceding the maturity date. ~~Neither series of the Convertible Notes were convertible as of September 30, 2017.~~ We may not redeem the Convertible Notes prior to maturity. The last reported sale price of our class A common stock of ~~$31.02~~$24.09 on ~~September 29, 2017, the last trading day in the quarter ended September~~June 30, ~~2017,~~2020 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 and March 2018 convertible notes. We have the intent and ability to settle each series of the Convertible Notes in cash and, as a result, the potential conversion of the Convertible Notes did not have any impact on our diluted earnings per share.

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

~~The following table details~~

Upon our issuance of the March 2018 convertible notes, we recorded a $1.5 million discount based on the implied value of the conversion option and an assumed effective interest ~~expense related to~~rate of 5.25%, as well as $5.2 million of issue discount and issuance costs. Including the ~~Convertible Notes ($ 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

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

~~Blackstone Mortgage Trust, Inc.~~

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

~~(Unaudited)~~

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

~~Accrued~~


	June 30, 2020			December 31, 2019
Face value	$	622,500		$	622,500
Unamortized discount		(7,277	)		(8,801	)
Deferred financing costs		(513	)		(628	)

Net book value	$	614,710		$	613,071

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


	Three Months Ended				Six Months Ended
	June 30,				June 30,
	2020		2019		2020		2019
Cash coupon	$	7,015	$	7,015	$	14,030	$	14,030
Discount and issuance cost amortization		828		788		1,639		1,560

Total interest expense	$	7,843	$	7,803	$	15,669	$	15,590

As of both June 30, 2020 and December 31, 2019, accrued interest payable for the Convertible Notes was ~~$9.0 million and $755,000 as of September 30, 2017 and December 31, 2016, respectively.~~$6.0 million. Refer to Note 2 for additional discussion of our accounting policies for the Convertible Notes.

~~10.~~

Table of Contents

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

9. 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~~

~~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 Hedges of Interest Rate Risk

Certain of our ~~financing~~ transactions expose us to interest rate risks, which include a fixed versus floating rate mismatch between our assets and liabilities. We use derivative financial instruments, which include interest rate caps and swaps, and may also include interest rate options, floors, and other interest rate derivative contracts, to hedge interest rate ~~risk associated with our borrowings where there is potential for an index mismatch.~~

risk.

~~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 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

June 30, 2020

Interest Rate Derivatives

Number of
Instruments

Notional
Amount

Strike

Index

Wtd.-Avg.

Maturity (Years)

Interest Rate Swaps

17,273

1.0%

CDOR

0.2

Interest Rate Caps

21,387

3.0%

CDOR

0.5

December 31, 2019

Interest Rate Derivatives

Number of
Instruments

Notional
Amount

Strike

Index

Wtd.-Avg.

Maturity (Years)

Interest Rate Swaps

17,273

1.0%

CDOR

0.7

Interest Rate Caps

21,387

3.0%

CDOR

1.0

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~~June 30, ~~2017,~~2020, we estimate that an additional ~~$561,000~~$13,000 will be reclassified from accumulated other comprehensive income (loss) as an increase to interest ~~income.~~

~~Non-designated~~expense.

Net Investment Hedges

of Foreign Currency Risk

Certain of our international investments expose us to fluctuations in foreign interest rates and currency exchange rates. These fluctuations may impact the value of our cash receipts and payments in terms of our functional currency, the U.S. dollar. We use foreign currency forward contracts to protect the value or fix the amount of certain investments or cash flows in terms of the U.S. dollar. During the three ~~and nine~~ months ended ~~September 30, 2017,~~March 31, 2020, we ~~recorded losses~~terminated all of ~~$42,000~~our outstanding foreign currency forward contracts, with aggregate notional amounts of

€

552.1 million, £365.5 million, A$134.8 million, and ~~$355,000, respectively, related to non-designated hedges that were reported as a component of interest expense in our consolidated financial statements.~~C$23.7 million. During the three ~~and nine~~ months ended ~~September~~June 30, ~~2016,~~2020, we ~~recorded losses~~entered into foreign currency forward contracts with aggregate notional amounts of ~~$528,000~~

€

620.4 million, £530.2 million, A$92.8 million, 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

C$24.4 million.

Table of Contents

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

~~Valuation~~

Designated Hedges of ~~Derivative Instruments~~

Foreign Currency Risk

The following table ~~summarizes the fair value~~details our outstanding foreign exchange derivatives that were designated as net investment hedges of ~~our derivative financial instruments ($~~foreign currency risk (notional amount 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.~~


June 30, 2020					December 31, 2019
	Number of		Notional			Number of		Notional
Foreign Currency Derivatives	Instruments		Amount		Foreign Currency Derivatives	Instruments		Amount
Buy USD / Sell EUR Forward		7	€	607,690	Buy USD / Sell GBP Forward		4	£	527,100
Buy USD / Sell GBP Forward		5	£	385,087	Buy USD / Sell EUR Forward		5	€	525,600
Buy USD / Sell AUD Forward		1	A$	92,800	Buy USD / Sell AUD Forward		3	A$	135,600
Buy USD / Sell CAD Forward		2	C$	24,400	Buy USD / Sell CAD Forward		1	C$	23,200

Non-designated

Hedges of Foreign Currency Risk

The following table details our outstanding foreign exchange derivatives that were

non-designated

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


June 30, 2020					December 31, 2019
	Number of		Notional			Number of		Notional
Non-designated Hedges	Instruments		Amount		Non-designated Hedges	Instruments		Amount
Buy USD / Sell GBP Forward		1	£	145,113	Buy CAD / Sell USD Forward		1	C$	15,900
Buy USD / Sell EUR Forward		3	€	68,810	Buy USD / Sell CAD Forward		1	C$	15,900
Buy EUR / Sell USD Forward		2	€	56,100	Buy GBP / Sell EUR Forward		1	€	12,857
					Buy AUD / Sell USD Forward		1	A$	10,000
					Buy USD / Sell AUD Forward		1	A$	10,000

Financial Statement Impact of Hedges of Foreign Currency Risk

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

   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 )

			Amount of Income (Expense) Recognized
			from Foreign Exchange Contracts
			Three Months			Six Months
Foreign Exchange Contracts	Location of Income		Ended			Ended
in Hedging Relationships	(Expense) Recognized		June 30, 2020			June 30, 2020
Designated Hedges		Interest Income (1)	$	509		$	509
Non-Designated Hedges		Interest Income (1)		5			5
Non-Designated Hedges		Interest Expense (2)		(361	)		(1,515	)

Total			$	153		$	(1,001	)


(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.

Table of Contents

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

Valuation and Other Comprehensive Income

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


	Fair Value of Derivatives in an				Fair Value of Derivatives in a
	Asset Position (1) as of				Liability Position (2) as of
	June 30, 2020		December 31, 2019		June 30, 2020		December 31, 2019
Derivatives designated as hedging instruments:
Foreign exchange contracts	$	321	$	—	$	24,706	$	41,728
Interest rate derivatives		—		96		9		—

Total	$	321	$	96	$	24,715	$	41,728

Derivatives not designated as hedging instruments:
Foreign exchange contracts	$	6	$	983	$	1,449	$	535
Interest rate derivatives		—		—		—		—

Total	$	6	$	983	$	1,449	$	535

Total Derivatives	$	327	$	1,079	$	26,164	$	42,263

(1)

Included in other assets in our consolidated balance sheets.

(2)

Included in other liabilities in our consolidated balance sheets.

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


	Amount of Gain (Loss) Recognized in OCI on Derivatives						Location of Gain (Loss)			Amount of Gain (Loss) Reclassified from Accumulated OCI into Income
	Three Months			Six Months			Reclassified from			Three Months			Six Months
Derivatives in Hedging Relationships	Ended June 30, 2020			Ended June 30, 2020			Accumulated OCI into Income			Ended June 30, 2020			Ended June 30, 2020
Net Investment Hedges
Foreign exchange contracts (1)	$	(30,656	)	$	73,430			Interest Expense		$	—		$	—
Cash Flow Hedges
Interest rate derivatives		(18	)		(85	)		Interest Expense	(2)		(9	)		20

Total	$	(30,674	)	$	73,345					$	(9	)	$	20


(1)		During the three and ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2020, we paid net cash settlements of ~~$8.7~~$4.7 million and ~~$11.8~~received net cash settlements of $57.0 million, respectively, on our foreign currency forward ~~contracts, compared to receiving $19.2 million and $17.4 million during the same periods in 2016.~~contracts. Those amounts are included as a component of accumulated other comprehensive income ( loss ) on our consolidated balance sheets.
(2)		During the three months ended ~~September~~June 30, ~~2017,~~2020, we recorded total interest and related ~~income~~expenses of ~~$146.4~~$84.9 million, which included interest ~~income~~expenses of ~~$41,000~~$9,000 related to our cash flow hedges. During the ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2020, we ~~incurred~~recorded total interest and related expenses of ~~$168.9~~$189.1 million, which included ~~$900,000~~$20,000 related to income generated by our cash flow ~~hedges.~~ 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~~June 30, ~~2017,~~2020, we were in a net liability position with each such derivative counterparty and posted collateral of ~~$7.8 million.~~$22.2 million under these derivative contracts. As of December 31, ~~2016~~2019, we were in a net ~~asset~~liability position with each such derivative counterparty and posted collateral of ~~$79,000.~~

$30.8 million under these derivative contracts.

Table of Contents

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

~~11.~~

10. EQUITY

Stock and Stock Equivalents

Authorized Capital

During the three months ended June 30, 2020, we filed articles of amendment to our

charter

authorizing

us to issue an additional 200,000,000 shares of common stock. As of ~~September~~June 30, ~~2017,~~2020, 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~~June 30, ~~2017.~~

2020.

Class A Common Stock and Deferred Stock Units

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

The following table details our

issuances

of class A common stock during the six months ended June 30, 2020

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


	Class A Common Stock Offerings				2020 Total /
	May 2020 (1)		June 2020		Wtd. Avg.
Shares issued		840,696		10,000,000		10,840,696
Gross share issue price (2)	$	22.93	$	28.20	$	27.79
Net share issue price (3)	$	22.93	$	27.91	$	27.52
Net proceeds (4)	$	19,277	$	278,322	$	297,599


(1)		Represents shares issued to our Manager in satisfaction of the management and incentive fees accrued in the first quarter of 2020. The per share price was calculated based on the volume-weighted average price on the NYSE of our class A common stock over the five trading days following our April 29, 2020 first quarter 2020 earnings conference call.
(2)		Represents the weighted-average gross price per share paid by the underwriters or sales agents, as applicable , in June 2020.
(3)		Represents the weighted-average net proceeds per share after underwriting or sales discounts and commissions, as applicable , in June 2020.
(4)		Net proceeds represents proceeds received from the underwriters less applicable transaction costs in June 2020.

We also issue restricted class A common stock under our stock-based incentive plans. Refer to Note 1413 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.

Table of Contents

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

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

   Nine Months Ended September 30,
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


	Six Months Ended June 30,
Common Stock Outstanding (1)	2020		2019
Beginning balance		135,263,728		123,664,577
Issuance of class A common stock (2)		10,841,667		10,535,181
Issuance of restricted class A common stock, net		351,333		317,339
Issuance of deferred stock units		21,077		15,697

Ending balance		146,477,805		134,532,794


(1)		Includes deferred stock units held by members of our board of directors of ~~189,587~~281,143 and ~~162,371~~244,536 as of ~~September~~June 30, ~~2017~~2020 and ~~2016,~~2019, respectively.
(2)		~~Consists of~~ Includes 971 and ~~812~~553 shares issued under our dividend reinvestment program during the ~~nine~~six months ended ~~September~~June 30, ~~2017~~2020 and ~~2016,~~2019, respectively.

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~~six months ended ~~September~~June 30, ~~2017,~~2020, we issued ~~428~~646 shares and 971 shares, respectively, of class A common stock under the dividend reinvestment component of the plan compared to ~~262~~272 shares and ~~812~~553 shares, respectively, for the same periods in ~~2016.~~2019. As of ~~September~~June 30, ~~2017,~~2020, a total of ~~9,997,356~~9,993,053 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 six 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~~one additional ATM ~~Agreements.~~Agreement. Sales of class A 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. We did not sell any shares of our class A common stock under ~~the~~ ATM Agreements during the ~~nine~~six months ended ~~September~~June 30, ~~2017~~2020. During the six months ended June 30, 2019, we issued and ~~2016.~~sold 1,909,628 shares of class A common stock under ATM Agreements, generating net proceeds totaling $65.4 million. As of ~~September~~June 30, ~~2017,~~2020, sales of our class A common stock with an aggregate sales price of ~~$188.6~~$363.8 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 (loss) as calculated in accordance with GAAP, to our stockholders each year to comply with the REIT provisions of the Internal Revenue Code of 1986, as amended, or the Internal Revenue Code. Our dividend policy remains subject to revision at the discretion of our board of directors. 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.

Table of Contents

Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

On ~~September~~June 15, ~~2017,~~2020, we declared a dividend of $0.62 per share, or ~~$58.8~~$90.6 million in aggregate, that was paid on ~~October 13, 2017~~July 15, 2020, to stockholders of record as of ~~September~~June 30, ~~2017.~~2020. The following table details our dividend activity ($ 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 June 30,				Six Months Ended June 30,
	2020		2019		2020		2019
Dividends declared per share of common stock	$	0.62	$	0.62	$	1.24	$	1.24
Total dividends declared	$	90,642	$	83,259	$	174,562	$	161,172

Earnings Per Share

We calculate our basic and diluted earnings per share using the two-class method for all periods presented as the unvested shares of our restricted class A common stock qualify as participating securities, as defined by GAAP. These restricted shares have the same rights as our other shares of class A common stock, including participating in any dividends, and therefore have been included in our basic and diluted net income

(loss)

per share calculation. Our Convertible Notes are excluded from dilutive earnings per share as we have the intent and ability to settle these instruments in cash.

The following table sets forth the calculation of basic and diluted net income

(loss)

per share of class A common stock based on the weighted-average of both restricted and unrestricted class A common stock outstanding ($ in thousands, except per share data):

   Three Months Ended 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 June 30,				Six Months Ended June 30,
	2020		2019		2020			2019
Net income (loss) (1)	$	17,544	$	75,174	$	(35,808	)	$	151,738
Weighted-average shares outstanding, basic and diluted		138,299,418		126,475,244		136,959,341			125,410,064

Per share amount, basic and diluted	$	0.13	$	0.59	$	(0.26	)	$	1.21

(1)

~~(1)~~

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

Trust.

~~Blackstone Mortgage Trust, Inc.~~

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

~~(Unaudited)~~

Other Balance Sheet Items

Accumulated Other Comprehensive ~~Loss~~

Income

As of ~~September~~June 30, ~~2017,~~2020, total accumulated other comprehensive ~~loss~~income was ~~$32.4~~$8.9 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~~$137.8 million of net realized and unrealized gains related to changes in the fair value of derivative ~~instruments.~~instruments, offset by $128.9 million of cumulative unrealized currency translation adjustments on assets and liabilities denominated in foreign currencies. As of December 31, ~~2016,~~2019, total accumulated other comprehensive loss was ~~$56.2~~$16.2 million, primarily representing ~~(i) $107.5~~$80.7 million of cumulative unrealized currency translation adjustments on assets and liabilities denominated in foreign currencies, ~~and (ii) an offsetting $51.3~~offset by $64.5 million of net realized and unrealized gains related to changes in the fair value of derivative instruments.

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~~June 30, ~~2017,~~2020, our Multifamily Joint Venture’s total equity was ~~$41.2~~$140.1 million, of which ~~$35.0~~$119.1 million was owned by ~~Blackstone Mortgage Trust,~~us, and ~~$6.2~~$21.0 million was allocated to

non-controlling

interests. As of December 31, ~~2016, we did not have any non-controlling interests on~~2019, our ~~consolidated financial statements.~~

~~12.~~Multifamily Joint Venture’s total equity was $147.3 million, of which $125.2 million was owned by us, and $22.1 million was allocated to

non-controlling

interests.

11. OTHER EXPENSES

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

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Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

Management and Incentive Fees

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

During the three and ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2020, we incurred ~~$9.5~~$14.8 million and ~~$28.6~~$29.2 million, respectively, of management fees payable to our Manager, compared to ~~$9.5~~$13.3 million and ~~$28.4~~$26.4 million during the same ~~periods~~period in ~~2016.~~2019. In addition, during the three and ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2020, we incurred ~~$3.7~~$5.7 million and ~~$11.9~~$10.5 million, respectively, of incentive fees payable to our Manager, compared to ~~$4.2~~$7.7 million and ~~$14.8~~$14.4 million during the same ~~periods~~period in ~~2016.~~

2019. During the three months ended June 30, 2020, we issued 840,696 shares of class A common stock to our Manager in satisfaction of our aggregate $19.3 million of management and incentive fees

crued in

the first quarter of 2020.

As of ~~September~~June 30, ~~2017~~2020 and December 31, ~~2016,~~2019 we had accrued management and incentive fees payable to our Manager of ~~$13.2~~$20.5 million and ~~$12.8~~$20.2 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). During the three and nine months ended September 30, 2016 we recognized $354,000 and $1.1 million, 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.~~


	Three Months Ended June 30,				Six Months Ended June 30,
	2020		2019		2020		2019
Professional services (1)	$	1,752	$	1,249	$	3,414	$	2,439
Operating and other costs (1)		882		894		2,335		1,249

Subtotal		2,634		2,143		5,749		3,688
Non-cash compensation expenses
Restricted class A common stock earned		8,527		7,629		17,079		15,272
Director stock-based compensation		125		125		250		250

Subtotal		8,652		7,754		17,329		15,522

Total general and administrative expenses	$	11,286	$	9,897	$	23,078	$	19,210


(1)		During the three and six months ended June 30, 2020, we recognized an aggregate $200,000 and $576,000, respectively, of expenses related to our Multifamily Joint Venture. During the three and six months ended June 30, 2019, we recognized an aggregate $164,000 and $333,000, respectively, of expenses related to our Multifamily Joint Venture.

12. 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.

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Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

maintain our qualification as a REIT for any taxable year, we may be subject to material penalties as well as federal, state, and local income tax on our taxable income at regular corporate rates and we would not be able to qualify as a REIT for the subsequent four full taxable years. As of June 30, 2020 and December 31, 2019, we were in compliance with all REIT requirements.

Securitization transactions could result in the creation of taxable mortgage pools for federal income tax purposes. As a REIT, so long as we own 100% of the equity interests in a taxable mortgage pool, we generally would not be adversely affected by the characterization of the securitization as a taxable mortgage pool. Certain categories of stockholders, however, such as foreign stockholders eligible for treaty or other benefits, stockholders with net operating losses, and certain

tax-exempt

stockholders that are subject to unrelated business income tax, or UBTI, could be subject to increased taxes on a portion of their dividend income from us that is attributable to the taxable mortgage pool. We have not made UBTI distributions to our common stockholders and do not intend to make such UBTI distributions in the future.

During the three and six months ended June 30, 2020, we recorded a current income tax provision of $23,000 and $173,000, respectively, primarily related to activities of our taxable REIT subsidiaries and various state and local taxes. During the three and six months ended June 30, 2019, we recorded a current income tax provision of $46,000 and $147,000, respectively. We did 0t have any deferred tax assets or liabilities as of June 30, 2020 or December 31, 2019.

We have net operating losses, or NOLs, generated by our predecessor business that may be carried forward and utilized in current or future periods. 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, 2019, we had estimated NOLs of $159.0 million that will expire in 2029, unless they are utilized by us prior to expiration.

As of June 30, 2020, tax years 2016 through 2019 remain subject to examination by taxing authorities.

13. STOCK-BASED INCENTIVE PLANS

We are externally managed by our Manager and do not currently have any employees. However, as of June 30, 2020, our Manager, certain individuals employed by an affiliate of our Manager, and certain members of our board of directors were compensated, in part, through our issuance of stock-based instruments.

We had stock-based incentive awards outstanding under 9 benefit plans as of June 30, 2020. Seven of such benefit plans have expired and 0 new awards may be issued under them. Under our two current benefit plans, a maximum of 5,000,000 shares of our class A common stock may be issued to our Manager, our directors and officers, and certain employees of affiliates of our Manager. As of June 30, 2020, there were 2,870,936 shares available under our current benefit plans.

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, 2019		1,698,582		$	34.52
Granted		351,582			37.19
Vested		(502,638	)		34.26
Forfeited		(249	)		35.83

Balance as of June 30, 2020		1,547,277		$	35.21

These shares generally vest in installments over a three-year period, pursuant to the terms of the respective award agreements and the terms of our current benefit plans. The 1,547,277 shares of restricted class A common stock outstanding as of June 30, 2020 will vest as follows: 501,794 shares will vest in 2020; 690,100 shares will vest in

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Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

2021; and 355,383 shares will vest in 2022. As of June 30, 2020, total unrecognized compensation cost relating to unvested share-based compensation arrangements was $53.0 million based on the grant date fair value of shares granted subsequent to July 1, 2018. The compensation cost of our share based compensation arrangements for awards granted before July 1, 2018 is based on the closing price of our class A common stock of $31.43 on June 29, 2018, the last trading day prior to July 1, 2018. This cost is expected to be recognized over a weighted-average period of 1.1 years from June 30, 2020.

14. 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):


	June 30, 2020								December 31, 2019
	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Assets
Derivatives	$	—	$	327	$	—	$	327	$	—	$	1,079	$	—	$	1,079
Liabilities
Derivatives	$	—	$	26,164	$	—	$	26,164	$	—	$	42,263	$	—	$	42,263

Refer to Note 2 for further discussion regarding fair value measurement.

Fair Value of Financial Instruments

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


	June 30, 2020						December 31, 2019
	Book		Face		Fair		Book		Face		Fair
	Value		Amount		Value		Value		Amount		Value
Financial assets
Cash and cash equivalents	$	1,259,836	$	1,259,836	$	1,259,836	$	150,090	$	150,090	$	150,090
Loans receivable, net		16,161,353		16,434,631		16,214,574		16,164,801		16,277,343		16,279,904
Debt securities held-to-maturity (1)		75,836		82,002		68,940		86,638		88,958		88,305
Financial liabilities
Secured debt agreements, net		9,689,541		9,716,452		9,716,452		10,054,930		10,083,938		10,083,938
Securitized debt obligations, net		2,240,612		2,253,008		2,172,578		1,187,084		1,189,642		1,189,368
Secured term loans, net		1,045,163		1,068,134		1,012,228		736,142		746,878		750,769
Convertible notes, net		614,710		622,500		580,810		613,071		622,500		665,900

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

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

15. VARIABLE INTEREST ENTITIES

Consolidated Variable Interest Entities

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

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Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

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


	June 30, 2020			December 31, 2019
Assets:
Loans receivable	$	2,644,344		$	1,349,903
Current expected credit loss reserve		(14,816	)		—

Loans receivable, net		2,629,528			1,349,903
Other assets		79,552			51,788

Total assets	$	2,709,080		$	1,401,691

Liabilities:
Securitized debt obligations, net	$	2,240,612		$	1,187,084
Other liabilities		1,527			1,648

Total liabilities	$	2,242,139		$	1,188,732

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

non-recourse

to us and can only be satisfied from the assets of the VIEs. The consolidation of these VIEs results in an increase in our gross assets, liabilities, interest income and interest expense, however it does not affect our stockholders’ equity or net income

(loss).

Non-Consolidated

Variable Interest Entities

In the third quarter of 2018, we contributed a $517.5 million loan to the $1.0 billion 2018 Single Asset Securitization, which is a VIE, and invested in the related $99.0 million subordinate position. We are not the primary beneficiary of the VIE because we do not have the power to direct the activities that most significantly affect the VIE’s economic performance and, therefore, do not consolidate the 2018 Single Asset Securitization on our balance sheet. We have classified the subordinate position

we o

as a

held-to-maturity

debt security that is included in other assets on our consolidated balance sheets. Our maximum exposure to loss from the 2018 Single Asset Securitization is limited to our book value of $75.8 million as of June 30, 2020.

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

non-consolidated

VIEs.

16. TRANSACTIONS WITH RELATED PARTIES

We are managed by our Manager pursuant to the Management Agreement, the current term of which expires on December 19, 2020, and will be automatically renewed for a one-year term upon such date and each anniversary thereafter unless earlier terminated.

As of June 30, 2020 and December 31, 2019, our consolidated balance sheets included $20.5 million and $20.2 million of accrued management and incentive fees payable to our Manager, respectively. During the three and six months ended June 30, 2020, we paid aggregate management and incentive fees of $19.3 million and $39.4 million, respectively, to our Manager, compared to $19.8 million and $38.4 million during the same periods of 2019. During the three months ended June 30, 2020, we issued 840,696 shares of class A common stock to our Manager in satisfaction of our aggregate $19.3 million of management and incentive fees

accrued in

the first quarter of 2020.

The per share price with respect to such issuance was calculated based on the volume-weighted

average

price on the NYSE of our class A common stock over the five trading days following our April 29, 2020 first quarter 2020 earnings conference call

In addition, during the three and six months ended June 30, 2020, we reimbursed our Manager for expenses incurred on our behalf of $205,000 and $423,000, respectively, compared to $242,000 and $430,000 during the same periods of 2019.

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Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

As of June 30, 2020, our Manager held 768,179 shares of unvested restricted class A common stock, which had an aggregate grant date fair value of $26.3 million, and vest in installments over three years from the date of issuance. During the three and six months ended June 30, 2020, we recorded

non-cash

expenses related to shares held by our Manager of $4.2 million and $8.5 million, respectively, compared to $3.9 million and $7.7 million during the same period of 2019. Refer to Note 13 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 six months ended June 30, 2020 or 2019.

During the six months ended June 30, 2020, we originated two loans whereby the respective borrowers engaged an affiliate of our Manager to act as title insurance agent in connection with these transactions. We did not incur any expenses or receive any revenues as a result of these transactions. There were no similar transactions during the six months ended June 30, 2019.

During the three and six months ended June 30, 2020, we incurred $138,000 and $271,000, respectively, of expenses for various administrative, compliance, and capital market data services to third-party service providers that are affiliates of our Manager, compared to $90,000 and $176,000 during the same periods of 2019.

In the second quarter of 2020, a Blackstone-advised investment vehicle acquired an aggregate $5.0 million participation, or 2%, of the total 2020 Term Loan as a part of a broad syndication lead-arranged by JP Morgan. Blackstone

Securities

Partners L.P., an affiliate of our Manager, was engaged as a book-runner for the transaction and received aggregate fees of $250,000 in such capacity. Both of these transactions were on terms equivalent to those of unaffiliated parties.

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

non-economic

rights under the loan, including voting rights, so long as we are an affiliate of the borrower. The senior loan terms were negotiated by third parties without our involvement and our 33% interest in the senior loan was made on such market terms.

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

Securities

Partners L.P., an affiliate of our Manager, was engaged as a book-runner for the transactions and received aggregate fees of $750,000 in such capacity. Both of these transactions were on terms equivalent to those of unaffiliated parties.

In the second quarter of 2019, we originated

€

191.8 million of a total

€

391.3 million senior loan to a borrower that is wholly owned by a Blackstone-advised investment vehicle. We will forgo all

non-economic

rights under the loan, including voting rights, so long as the Blackstone-advised investment vehicle controls the borrower. 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 2019, we originated £240.1 million of a total £490.0 million senior loan to a borrower that is wholly owned by a Blackstone-advised investment vehicle. We will forgo all

non-economic

rights under the loan, including voting rights, so long as the Blackstone-advised investment vehicle controls the borrower. The senior loan terms were negotiated by a third party without our involvement and our 49% interest in the senior loan was made on such market terms. In the second quarter of 2020, we entered into a loan modification with the borrower. The modification terms were negotiated by the third party

majority

lender, without our involvement.

17. 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 June 30, 2020, no contingencies have been recorded on our consolidated balance sheet as a result of

COVID-19,

however as the global pandemic continues and the economic implications worsen, it may have long-term impacts on our financial condition, results of operations, and cash flows. Refer to Note 2 for further discussion of

COVID-19.

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Blackstone Mortgage Trust, Inc.

Notes to Consolidated Financial Statements (continued)

(Unaudited)

Unfunded Commitments Under Loans Receivable

As of June 30, 2020, we had unfunded commitments of $3.6 billion related to 91 loans receivable. We generally finance the funding of our loan commitments on terms consistent with our overall credit facilities, with an average advance rate of 75.6% for such financed loans, resulting in identified financing for $2.2 billion of our aggregate unfunded loan commitments as of June 30, 2020. Some of our lenders, including substantially all of our financing of construction loans, are contractually obligated to fund their ratable portion of these loan commitments over time, while other lenders have some degree of discretion over future loan funding obligations. We expect to fund our loan

commitments over the tenor of these loans, which have a weighted-average future funding period of 3.9 years. Our future loan fundings comprise funding for capital expenditures and construction, leasing costs, and interest and carry costs, and will vary depending on the progress of capital projects, leasing, and cash flows at the assets underlying our loans. Therefore, the exact timing and amounts of such future loan fundings are uncertain and will depend on the current and future performance of the underlying collateral assets. As a result of the

COVID-19

pandemic, the progress of capital expenditures, construction, and leasing is anticipated to be slower than otherwise expected, and the pace of future funding relating to these capital needs may be commensurately slower.

Principal Debt Repayments

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


			Payment Timing
	Total		Less Than		1 to 3		3 to 5		More Than
	Obligation		1 Year		Years		Years		5 Years
Principal repayments under secured debt agreements (1)	$	9,716,452	$	183,218	$	3,749,063	$	5,544,371	$	239,800
Principal repayments of secured term loans (2)		1,068,134		10,738		21,475		21,475		1,014,446
Principal repayments of convertible notes (3)		622,500		—		622,500		—		—

Total (4)	$	11,407,086	$	193,956	$	4,393,038	$	5,565,846	$	1,254,246


(1)		The allocation of repayments under our secured debt agreements is based on the earlier of (i) the maturity date of each facility, or (ii) the maximum maturity date of the collateral loans, assuming all extension options are exercised by the borrower.
(2)		The Secured Term Loans are partially amortizing, with an amount equal to 1.0% per annum of the principal balance due in quarterly installments. Refer to Note 7 for further details on our secured term loans.
(3)		Reflects the outstanding principal balance of Convertible Notes, excluding any potential conversion premium. Refer to Note 8 for further details on our Convertible Notes.
(4)		Does not include $739.6 million of non-consolidated senior interests and $2.3 billion of securitized debt obligations, as the satisfaction of these liabilities will not require cash outlays from us.

Board of Directors’ Compensation

As of June 30, 2020, of the eight members of our board of directors, our 5 independent directors are entitled to annual compensation of $175,000 each, $75,000 of which will be paid in the form of cash and $100,000 in the form of deferred stock units. The other three board members, including our chairman and our chief executive officer, are not compensated by us for their service as directors. In addition, (i) the chair of our audit committee receives additional annual cash compensation of $20,000, (ii) the other members of our audit committee receive additional annual cash compensation of $10,000, and (iii) the chairs of each of our compensation and corporate governance committees receive additional annual cash compensation of $10,000.

Litigation

From time to time, we may be involved in various claims and legal actions arising in the ordinary course of business. As of June 30, 2020, we were not involved in any material legal proceedings.

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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, 2019, as well as in Part II. Item 1A. Risk Factors in our quarterly report on Form 10-Q for the fiscal period ended March 31, 2020 and elsewhere in this quarterly report on Form 10-Q.

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 of loans secured by high-quality, institutional assets in major markets, sponsored by experienced, well-capitalized real estate investment owners and operators. These senior loans are capitalized by accessing a variety of financing options, including our credit facilities, issuing CLOs or single-asset securitizations, and syndications of senior loan participations, depending on our view of the most prudent financing option available for each of our investments. We are not in the business of buying or trading securities, and the only securities we own are the retained interests from our securitization financing transactions, which we have not financed. We are externally managed by BXMT Advisors L.L.C., or our Manager, a subsidiary of The Blackstone Group Inc., or Blackstone, and are 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 Real Estate is one of the largest owners and operators of real estate in the world, 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.

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

Recent Developments

During the first quarter of 2020, there was a global outbreak of a novel coronavirus, or COVID-19, which has spread to over 200 countries and territories, including the United States, has spread to every state in the United States, and is continuing to spread. The World Health Organization has designated COVID-19 as a pandemic, and numerous countries, including the United States, have declared national emergencies with respect to COVID-19. The United States and other countries have reacted to the COVID-19 outbreak with unprecedented government intervention, including interest rate cuts and economic stimulus. The global impact of the outbreak has been rapidly evolving, and as cases of COVID-19 have continued to be identified in additional countries, many countries have reacted by instituting quarantines and restrictions on travel, closing financial markets and/or restricting trading, and limiting operations of non-essential offices, retail centers, hotels, and other businesses. Such actions are creating disruption in global supply chains, increasing rates of unemployment and adversely impacting many industries, including industries in which the collateral underlying certain of our loans are involved. The outbreak could have a continued adverse impact on economic and market conditions and trigger a period of global economic slowdown.

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The outbreak of COVID-19 and its impact on the current financial, economic and capital markets environment, and future developments in these and other areas present uncertainty and risk with respect to our financial condition, results of operations, liquidity, and ability to pay distributions. We expect that these impacts are likely to continue to some extent as the outbreak persists and potentially even longer. The rapid development and fluidity of this situation precludes any prediction as to the ultimate adverse impact of COVID-19 on economic and market conditions, and, as a result, present material uncertainty and risk with respect to us and the performance of our investments. The full extent of the impact and effects of COVID-19 will depend on future developments, including, among other factors, the duration and spread of the outbreak, along with related travel advisories, quarantines and restrictions, the recovery time of the disrupted supply chains and industries, the impact of labor market interruptions, the impact of government interventions, and uncertainty with respect to the duration of the global economic slowdown. For additional discussion with respect to the potential impact of the COVID-19 pandemic on our liquidity and capital resources, see “Liquidity and Capital Resources” below.

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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 the three months ended June 30, 2020 we recorded earnings per share of $0.13, declared a dividend of $0.62 per share, and reported $0.62 per share of Core Earnings. In addition, our book value per share as of June 30, 2020 was $26.45. 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 Earnings to evaluate our performance excluding the effects of certain transactions and GAAP adjustments that we believe 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 (loss) per share and dividends declared per share ($ in thousands, except per share data):


	Three Months Ended
	June 30, 2020		March 31, 2020
Net income (loss) (1)	$	17,544	$	(53,350	)
Weighted-average shares outstanding, basic and diluted		138,299,418		135,619,264

Net income (loss) per share, basic and diluted	$	0.13	$	(0.39	)

Dividends declared per share	$	0.62	$	0.62

(1)

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

Core Earnings

Core Earnings is a non-GAAP measure, which we define as GAAP net income (loss), including realized gains and losses not otherwise included in GAAP net income (loss), and excluding (i) non-cash equity compensation expense, (ii) depreciation and amortization, (iii) unrealized gains (losses), (iv) net income (loss) attributable to our legacy portfolio, and (v) certain non-cash items. Core Earnings may also be adjusted from time to time to exclude one-time events pursuant to changes in GAAP and certain other non-cash charges as determined by our Manager, subject to approval by a majority of our independent directors. During the six months ended June 30, 2020, we recorded a $179.5 million increase in the current expected credit loss, or CECL, reserve, which has been excluded from Core Earnings consistent with other unrealized gains (losses) pursuant to our existing policy for reporting Core Earnings and the terms of the management agreement between our Manager and us.

We believe that Core Earnings provides meaningful information to consider in addition to our net income (loss) and cash flow from operating activities determined in accordance with GAAP. 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 our incentive fee 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 (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 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.

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


	Three Months Ended
	June 30, 2020		March 31, 2020
Net income (loss) (1)	$	17,544	$	(53,350	)
Increase in current expected credit loss reserve		56,819		122,702
Non-cash compensation expense		8,652		8,678
Realized hedging and foreign currency income, net (2)		1,810		8,467
Other items		210		596
Adjustments attributable to non-controlling interests, net		139		(561	)

Core Earnings	$	85,174	$	86,532

Weighted-average shares outstanding, basic and diluted		138,299,418		135,619,264

Core Earnings per share, basic and diluted	$	0.62	$	0.64


(1)		Represents net income (loss) attributable to Blackstone Mortgage Trust.
(2)		For the three months ended June 30, 2020, represents realized gains on the repatriation of unhedged foreign currency. For the three months ended March 31, 2020, primarily represents the forward points earned on our foreign currency forward contracts, which reflect the interest rate differentials between the applicable base rate for our foreign currency investments and USD LIBOR. These forward contracts effectively convert the rate exposure to USD LIBOR, resulting in additional interest income earned in U.S. dollar terms. These amounts were not included in GAAP net income (loss), but rather as a component of Other Comprehensive Income in our consolidated financial statements.

Book Value Per Share

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


	June 30, 2020		March 31, 2020
Stockholders’ equity	$	3,874,763	$	3,650,920
Shares
Class A common stock		146,196,662		135,355,320
Deferred stock units		281,143		268,049

Total outstanding		146,477,805		135,623,369

Book value per share	$	26.45	$	26.92

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II. Loan Portfolio

Loan fundings during the quarter totaled $317.2 million, including $47.9 million of non-consolidated senior interests. Loan repayments during the quarter totaled $385.7 million. We generated interest income of $192.0 million and incurred interest expense of $84.9 million during the quarter, which resulted in $107.1 million of net interest income during the three months ended June 30, 2020.

Portfolio Overview

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


	Three Months Ended			Six Months Ended
	June 30, 2020			June 30, 2020
Loan originations (1)	$	12,000		$	1,311,939
Loan fundings (2)	$	317,239		$	1,317,583
Loan repayments		(385,718	)		(953,069	)

Total net fundings	$	(68,479	)	$	364,514


(1)		Includes new loan originations and additional commitments made under existing loans.
(2)		Loan fundings during the three and six months ended June 30, 2020 include $47.9 million and $76.9 million, respectively, of additional fundings under related non-consolidated senior interests.

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


				Total Investment Exposure
	Balance Sheet Portfolio (1)			Loan Exposure (1)(2)			Other Investments (3)			Total Investment Portfolio
Number of investments		128			128			1			129
Principal balance	$	16,434,631		$	17,174,244		$	857,293		$	18,031,537
Net book value	$	16,161,353		$	16,161,353		$	75,836		$	16,237,189
Unfunded loan commitments (4)	$	3,590,868		$	4,543,086		$	—		$	4,543,086
Weighted-average cash coupon (5)		L + 3.17	%		L + 3.23	%		L + 2.75	%		L + 3.21	%
Weighted-average all-in yield (5)		L + 3.52	%		L + 3.58	%		L + 3.03	%		L + 3.55	%
Weighted-average maximum maturity (years) (6)		3.5			3.5			4.9			3.5
Loan to value (LTV) (7)		64.6	%		64.6	%		42.6	%		63.6	%


(1)		Excludes investment exposure to the $82.0 million subordinate position we own in the $857.3 million 2018 Single Asset Securitization. Refer to Notes 4 and 15 to our consolidated financial statements for further discussion of the 2018 Single Asset Securitization.
(2)		In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements. Total loan exposure encompasses the entire loan we originated and financed, including $739.6 million of such non-consolidated senior interests that are not included in our balance sheet portfolio.
(3)		Includes investment exposure to the $857.3 million 2018 Single Asset Securitization. We do not consolidate the 2018 Single Asset Securitization on our consolidated financial statements, and instead reflect our $82.0 million subordinate position as a component of other assets on our consolidated balance sheet. Refer to Notes 4 and 15 to our consolidated financial statements for further discussion of the 2018 Single Asset Securitization.
(4)		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.
(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, GBP LIBOR, EURIBOR, BBSY, and CDOR, as applicable to each investment. As of June 30, 2020, 97% of our investments by total investment exposure earned a floating rate of interest, primarily indexed to USD LIBOR, and $13.0 billion of such investments earned interest based on floors that are above the applicable index. The other 3% of our investments earned a fixed rate of interest, which we reflect as a spread over the relevant floating benchmark rates, as of June 30, 2020, for purposes of the weighted-averages. In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees.
(6)		Maximum maturity assumes all extension options are exercised by the borrower, however our loans and other investments may be repaid prior to such date. As of June 30, 2020, 51% of our loans and other investments were subject to yield maintenance or other prepayment restrictions and 49% were open to repayment by the borrower without penalty.
(7)		Based on LTV as of the dates loans and other investments were originated or acquired by us.

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


Investment Count	Currency	Total Investment Portfolio		Floating Rate Index (1)	Cash Coupon (2)	All-in Yield (2)
103	$	$	12,520,462	USD LIBOR	L + 3.14%	L + 3.49%
8	€	€	2,810,320	EURIBOR	E + 2.90%	E + 3.24%
13	£	£	1,648,942	GBP LIBOR	L + 3.98%	L + 4.28%
2	A$	A$	338,150	BBSY	BBSY + 4.01%	BBSY + 4.31%
3	C$	C$	102,748	CDOR	CDOR + 3.95%	CDOR + 4.29%

129		$	18,031,537		INDEX + 3.21%	INDEX + 3.55%

(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 USD LIBOR. These forward contracts effectively convert the foreign currency rate exposure for such investments to USD LIBOR.

(2)

The cash coupon and all-in yield of our fixed rate loans are reflected as a spread over USD LIBOR for purposes of the weighted-averages. In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees.

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

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

Portfolio Management

We collected all interest payments that were due under our loans through July 2020, including with respect to loans collateralized by hospitality assets, which we believe demonstrates the overall strength of our loan portfolio and the commitment and financial wherewithal of our borrowers generally, which are primarily affiliated with large real estate private equity funds and other strong, well-capitalized, experienced sponsors.

We maintain a robust asset management relationship with our borrowers and have utilized these relationships to address the potential impacts of the COVID-19 pandemic on our loans secured by properties experiencing cash flow pressure, most significantly hospitality assets. Some of our borrowers have indicated that due to the impact of the COVID-19 pandemic, they will be unable to timely execute their business plans, have had to temporarily close their businesses, or have experienced other negative business consequences and have requested temporary interest deferral or forbearance, or other modifications of their loans. During the three months ended June 30, 2020, we closed 13 loan modifications, representing an aggregate principal balance of $2.4 billion. The loan modifications included term extensions, interest rate changes, repurposing of reserves, temporary deferrals of interest, and performance test or covenant waivers, many of which were coupled with additional equity commitments from sponsors.

We are generally encouraged by our borrowers’ initial response to the COVID-19 pandemic’s impacts on their properties. With limited exceptions, we believe our loan sponsors are committed to supporting assets collateralizing our loans through additional equity investments, and that we will benefit from our long-standing core business model of originating senior loans collateralized by large assets in major markets with experienced, well-capitalized institutional sponsors. Our investment portfolio’s low origination weighted-average LTV of 63.6% as of June 30, 2020 reflects significant equity value that our sponsors are motivated to protect through periods of cyclical disruption. 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 Real Estate is one of the largest owners and operators of real estate in the world, 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.

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As discussed in Note 2 to our consolidated financial statements, our Manager performs a quarterly review of our loan portfolio, assesses the performance of each loan, and assigns it a risk rating between “1” and “5,” from less risk to greater risk. The weighted-average risk rating of our total loan exposure was 3.0 and 2.8 as of June 30, 2020 and December 31, 2019, respectively. The increase in the risk rating was primarily the result of loans with an aggregate principal balance of $3.1 billion that were downgraded to a “4” or “5” as of June 30, 2020 to reflect the higher risk in loans collateralized by hospitality assets and select other assets that are particularly negatively impacted by the COVID-19 pandemic.

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


	June 30, 2020
Risk Rating	Number of Loans		Net Book Value			Total Loan Exposure (1)(2)
1		6	$	403,025		$	404,596
2		28		3,143,641			3,163,083
3		78		9,509,007			10,306,208
4		14		2,951,069			2,966,195
5		2		332,661			334,162

Loans receivable		128	$	16,339,403		$	17,174,244

CECL reserve				(178,050	)

Loans receivable, net			$	16,161,353


(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 $739.6 million of such non-consolidated senior interests as of June 30, 2020.
(2)		Excludes investment exposure to the $857.3 million 2018 Single Asset Securitization. Refer to Notes 4 and 15 to our consolidated financial statements for details of the subordinate position we own in the 2018 Single Asset Securitization.

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.

Our initial CECL reserve of $17.7 million recorded on January 1, 2020 is reflected as a direct charge to retained earnings on our consolidated statements of changes in equity; however subsequent changes to the CECL reserve are recognized through net income (loss) on our consolidated statements of operations. During the six months ended June 30, 2020, we recorded a $179.5 million increase in the current expected credit loss reserve, bringing our total CECL reserve to $197.2 million as of June 30, 2020. This CECL reserve reflects the macroeconomic impact of the COVID-19 pandemic on commercial real estate markets generally, as well as certain loans assessed for impairment in our portfolio. Further, this reserve is not reflective of what we expect our CECL reserve would be absent the current and potential future impacts of the COVID-19 pandemic. See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve.

During the first quarter of 2020, we entered into a loan modification related to a multifamily asset in New York City, which is classified as a troubled debt restructuring under GAAP. This modification included, among other changes, an additional borrower contribution of capital, a reduction in loan spread, and an extension of the loan’s maturity date to November 9, 2020. As of June 30, 2020, we recorded a $14.8 million CECL reserve on this loan, which had an outstanding principal balance of $52.8 million as of June 30, 2020. The CECL reserve was recorded based on our estimation of the fair value of the loan’s underlying collateral as of June 30, 2020, and to reflect ongoing loan modification discussions. As of June 30, 2020, the borrower was current with all terms of the loan, including payments of interest.

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As of June 30, 2020, we recorded a $54.9 million CECL reserve on a loan related to a hospitality asset in New York City with an outstanding principal balance of $281.4 million as of June 30, 2020. The CECL reserve was recorded based on our estimation of the fair value of the loan’s underlying collateral as of June 30, 2020, and to reflect ongoing loan modification discussions. As of June 30, 2020, the borrower was current with all terms of the loan, including payments of interest.

Multifamily Joint Venture

As of June 30, 2020, our Multifamily Joint Venture held $624.1 million of loans, which are included in the loan disclosures above. Refer to Note 2 to our consolidated financial statements for additional discussion of our Multifamily Joint Venture.

Portfolio Financing

Of our $13.5 billion of portfolio financing, $3.8 billion includes consolidated and non-consolidated securitized debt obligations, and non-consolidated senior interests, which are inherently non-mark to market, non-recourse, and term-matched to the financed assets, and we have $9.7 billion of borrowings under our credit facilities and asset-specific financings.

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


	Portfolio Financing
	Outstanding Principal Balance
	June 30, 2020		December 31, 2019
Secured credit facilities	$	9,431,109	$	9,753,059
Asset-specific financings		285,343		330,879
Revolving credit agreement		—		—
Non-consolidated senior interests (1)		739,613		688,521
Securitized debt obligations		2,253,008		1,189,642
Non-consolidated securitized debt obligation (2)		775,291		841,062

Total portfolio financing	$	13,484,364	$	12,803,163


(1)		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.
(2)		Represents the senior non-consolidated investment exposure to the 2018 Single Asset Securitization. We own the related subordinate position, which is classified as a held-to-maturity debt security on our balance sheet. Refer to Notes 4 and 15 to our consolidated financial statements for details of the 2018 Single Asset Securitization.

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Secured Credit Facilities

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


	June 30, 2020
	Credit Facility Borrowings						Collateral
Lender	Potential (1)		Outstanding		Available (1)		Assets (2)
Deutsche Bank	$	2,011,496	$	2,011,496	$	—	$	2,673,795
Barclays		1,637,749		1,607,267		30,482		2,110,436
Wells Fargo		1,516,822		1,497,542		19,280		1,960,089
Citibank		916,680		899,627		17,053		1,189,282
Goldman Sachs		582,860		582,854		6		781,016
Bank of America		540,376		540,376		—		750,722
Morgan Stanley		492,293		492,293		—		786,931
MetLife		444,502		444,502		—		556,015
JP Morgan		415,535		388,182		27,353		558,291
Santander		244,607		244,607		—		306,082
Société Générale		236,698		236,698		—		301,932
Goldman Sachs - Multi. JV (3)		234,464		234,464		—		306,555
US Bank - Multi. JV (3)		220,139		217,281		2,858		275,174
Bank of America - Multi. JV (3)		33,920		33,920		—		42,400

	$	9,528,141	$	9,431,109	$	97,032	$	12,598,720


(1)		Potential borrowings represents the total amount we could draw under each facility based on collateral already approved and pledged. When undrawn, these amounts are immediately available to us at our sole discretion under the terms of each credit facility.
(2)		Represents the principal balance of the collateral assets.
(3)		These facilities finance the loan investments of our consolidated Multifamily Joint Venture. Refer to Note 2 to our consolidated financial statements for additional discussion of our Multifamily Joint Venture.

Asset-Specific Financings

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


	June 30, 2020
Asset-Specific Financings	Count	Principal Balance		Book Value		Wtd. Avg. Yield/Cost (1)			Guarantee (2)		Wtd. Avg. Term (3)
Collateral assets	3	$	356,679	$	346,051		L+5.20	%		n/a		Feb. 2023
Financing provided	3	$	285,343	$	279,132		L+3.60	%	$	16,546		Feb. 2023



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

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Revolving Credit Agreement

We have a $250.0 million full recourse secured revolving credit agreement with Barclays that is designed to finance first mortgage originations for up to nine months as a bridge to term financing or syndication. Advances under the agreement are subject to availability under a specified borrowing base and accrue interest at a per annum pricing rate equal to the sum of (i) an applicable base rate or Eurodollar rate and (ii) an applicable margin, in each case, dependent on the applicable type of loan collateral. The maturity date of the facility is April 4, 2023. As of June 30, 2020, we had no outstanding borrowings under the agreement.

Non-Consolidated Senior Interests

In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements. 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 as of June 30, 2020 ($ in thousands):

June 30, 2020

Non-Consolidated Senior Interests

Count

Principal
Balance

Book
Value

Wtd. Avg.
Yield/Cost

(1)

Guarantee

Wtd. Avg.
Term

Total loan

921,301

n/a

5.83

n/a

Jan. 2024

Senior participation

739,613

n/a

4.42

n/a

Jan. 2024



(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.

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Securitized Debt Obligations

The following table details our securitized debt obligations ($ in thousands):


	June 30, 2020
		Principal		Book		Wtd. Avg.
Securitized Debt Obligations	Count	Balance		Value		Yield/Cost (1)			Term (2)
2020 Collateralized Loan Obligation
Collateral assets	34	$	1,500,000	$	1,500,000		L+3.20	%		December 2023
Financing provided	1		1,243,125		1,231,872		L+1.42	%		February 2038
2017 Collateralized Loan Obligation
Collateral assets	16		717,763		717,763		L+3.33	%		January 2023
Financing provided	1		535,263		534,120		L+1.77	%		June 2035
2017 Single Asset Securitization
Collateral assets (3)	1		688,611		687,775		L+3.57	%		June 2023
Financing provided	1		474,620		474,620		L+1.63	%		June 2033
Total
Collateral assets	51	$	2,906,374	$	2,905,538		L+3.32	%

Financing provided (4)	3	$	2,253,008	$	2,240,612		L+1.54	%



(1)		In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, purchase discounts, and accrual of exit fees. All-in yield for the total portfolio assume applicable floating benchmark rates for weighted-average calculation.
(2)		Loan term represents weighted-average final maturity, assuming all extension options are exercised by the borrower. Repayments of securitized debt obligations are tied to timing of the related collateral loan asset repayments. The term of these obligations represents the rated final distribution date of the securitizations.
(3)		The collateral assets for the 2017 Single Asset Securitization include the total loan amount, of which we securitized $500.0 million.
(4)		During the three and six months ended June 30, 2020, we recorded $10.7 million and $22.7 million, respectively, of interest expense related to our securitized debt obligations.

Refer to Notes 6 and 15 to our consolidated financial statements for additional details of our securitized debt obligations.

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Non-Consolidated Securitized Debt Obligation

In the third quarter of 2018, we contributed a senior loan to the 2018 Single Asset Securitization, and invested in the related subordinate position. We do not consolidate the 2018 Single Asset Securitization on our balance sheet. The non-consolidated securitized debt obligation provides structural leverage for our net investment which is reflected as a held-to-maturity debt security on our balance sheet. The following table details our non-consolidated securitized debt obligations ($ in thousands):

June 30, 2020

Non-Consolidated Securitized Debt Obligation

Count

Principal
Balance

Book
Value

Wtd. Avg.

Yield/Cost

(1)

Wtd. Avg.
Term

(2)

Collateral assets

857,293

n/a

L+3.03

Jun. 2025

Financing provided

775,291

n/a

L+2.25

Jun. 2025



(1)		In addition to cash coupon, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts.
(2)		Loan term represents weighted-average final maturity, assuming all extension options are exercised by the borrower. Repayments of non-consolidated securitized debt obligations are tied to timing of the related collateral loan asset repayments. The term of these obligations represents the rated final distribution date of the securitizations.

Corporate Financing

Secured Term Loans

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

Term Loan Issuance

Face Value

Interest Rate

(1)

All-in Cost

(1)(2)

Maturity

2019 Term Loan

743,134

L+2.25

L+2.52

April 23, 2026

2020 Term Loan

325,000

L+4.75

L+5.60

April 23, 2026



(1)		The 2020 Term Loan borrowing is subject to a LIBOR floor of 1.00%.
(2)		Includes issue discount and transaction expenses that are amortized through interest expense over the life of the Secured Term Loans.

Refer to Notes 2 and 7 to our consolidated financial statements for additional discussion of our Secured Term Loans.

Convertible Notes

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


Convertible Notes Issuance	Face Value		Coupon Rate			All-in Cost (1)			Maturity
May 2017	$	402,500		4.38	%		4.85	%		May 5, 2022
March 2018	$	220,000		4.75	%		5.33	%		March 15, 2023



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

Refer to Notes 2 and 8 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 (loss), while declining interest rates will decrease net income (loss). As of June 30, 2020, 97% of our investments by total investment exposure earned a floating rate of interest and were financed with liabilities that pay interest at floating rates, which resulted in an amount of net equity that is positively correlated to rising interest rates, subject to the impact of interest rate floors on certain of our floating rate investments. As of June 30, 2020, the remaining 3% of our investments by total investment exposure earned a fixed rate of interest, but are financed with liabilities that pay interest at floating rates, which resulted in a negative correlation to rising interest rates to the extent of our financing. In certain instances where we have financed fixed rate assets with floating rate liabilities, we have purchased interest rate swaps or caps to limit our exposure to increases in interest rates on such liabilities.

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Our liabilities are generally currency and index-matched to each collateral asset, resulting in a net exposure to movements in benchmark rates that varies by currency silo based on the relative proportion of floating rate assets and liabilities. The following table details our investment portfolio’s net exposure to interest rates by currency as of June 30, 2020 ($/€/£/A$/C$ in thousands):


	USD			EUR			GBP			AUD			CAD
Floating rate loans (1)(2)	$	12,520,462		€	2,797,610		£	1,290,854		A$	338,150		C$	55,917
Floating rate debt (1)(3)(4)		(10,440,646	)		(2,220,917	)		(818,468	)		(245,254	)		(61,613	)

Net floating rate exposure (5)	$	2,079,816		€	576,693		£	472,386		A$	92,896		C$	(5,696	)



(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)		Includes investment exposure to the 2018 Single Asset Securitization. Refer to Notes 4 and 15 to our consolidated financial statements for details of the subordinate position we own in the 2018 Single Asset Securitization.
(3)		Includes borrowings under secured debt agreements, non-consolidated senior interests, securitized debt obligations, non-consolidated securitized debt obligations, and secured term loans.
(4)		Balance includes two interest rate swaps totaling C$17.3 million ($12.7 million as of June 30, 2020) that are used to hedge a portion of our fixed rate debt.
(5)		In addition, we have one interest rate cap of C$21.4 million ($15.8 million as of June 30, 2020) to limit our exposure to increases in interest rates.

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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						2020 vs.			Six Months Ended						2020 vs.
	June 30,						2019			June 30,						2019
	2020			2019			$			2020			2019			$
Income from loans and other investments
Interest and related income	$	191,982		$	223,369		$	(31,387	)	$	396,857		$	448,128		$	(51,271	)
Less: Interest and related expenses		84,853			116,891			(32,038	)		189,092			235,579			(46,487	)

Income from loans and other investments, net		107,129			106,478			651			207,765			212,549			(4,784	)
Other expenses
Management and incentive fees		20,496			20,984			(488	)		39,773			40,774			(1,001	)
General and administrative expenses		11,286			9,897			1,389			23,078			19,210			3,868

Total other expenses		31,782			30,881			901			62,851			59,984			2,867
Increase in current expected credit loss reserve		(56,819	)		—			(56,819	)		(179,521	)		—			(179,521	)

Income (loss) before income taxes		18,528			75,597			(57,069	)		(34,607	)		152,565			(187,172	)
Income tax provision		23			46			(23	)		173			147			26

Net income (loss)		18,505			75,551			(57,046	)		(34,780	)		152,418			(187,198	)

Net income attributable to non-controlling interests		(961	)		(377	)		(584	)		(1,028	)		(680	)		(348	)

Net income (loss) attributable to Blackstone Mortgage Trust, Inc.	$	17,544		$	75,174		$	(57,630	)	$	(35,808	)	$	151,738		$	(187,546	)

Net income (loss) per share - basic and diluted	$	0.13		$	0.59		$	(0.46	)	$	(0.26	)	$	1.21		$	(1.47	)
Dividends declared per share	$	0.62		$	0.62		$	—		$	1.24		$	1.24		$	—

Income from loans and other investments, net

Income from loans and other investments, net increased $651,000 during the three months ended June 30, 2020, compared to the corresponding period in 2019, primarily due to (i) $13.0 billion of our loans earning interest based on floors that were above the applicable floating rate index, as of June 30, 2020, and (ii) an increase of $2.2 billion in the weighted-average principal balance of our loan portfolio during the three months ended June 30, 2020, as compared to the corresponding period in 2019. This was offset by (i) a decrease in LIBOR and (ii) an increase of $2.2 billion in the weighted-average principal balance of our outstanding financing arrangements during the three months ended June 30, 2020, as compared to the corresponding period in 2019.

Income from loans and other investments, net decreased $4.8 million during the six months ended June 30, 2020 compared to the corresponding period in 2019, primarily due to (i) a decrease in LIBOR and (ii) an increase of $1.8 billion in the weighted-average principal balance of our outstanding financing arrangements during the six months ended June 30, 2020, as compared to the corresponding period in 2019. This was offset by (i) an increase of $1.9 billion in the weighted-average principal balance of our loan portfolio during the six months ended June 30, 2020, as compared to the corresponding period in 2019, and (ii) $1.9 billion of our loans earning interest based on floors that were above the applicable floating rate index, as of June 30, 2019.

Other expenses

Other expenses are composed of management and incentive fees payable to our Manager and general and administrative expenses. Other expenses increased by $901,000 during the three months ended June 30, 2020 compared to the corresponding period in 2019 due to (i) an increase of $1.4 million of management fees payable to our Manager, primarily as a result of net proceeds received from the sale of shares of our class A common stock during 2019 and 2020, (ii) $896,000 of additional non-cash restricted stock amortization related to shares awarded under our long-term incentive plans, and (iii) an increase of $493,000 of general operating expenses. This was partially offset by a decrease of $1.9 million of incentive fees payable to our Manager.

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Other expenses increased by $2.9 million during the six months ended June 30, 2020 compared to the corresponding period in 2019 due to (i) an increase of $2.9 million of management fees payable to our Manager, primarily as a result of net proceeds received from the sale of shares of our class A common stock during 2019 and 2020, (ii) an increase of $2.1 million of general operating expenses, and (iii) $1.8 million of additional non-cash restricted stock amortization related to shares awarded under our long-term incentive plans. This was partially offset by a decrease of $3.9 million of incentive fees payable to our Manager.

Increase in current expected credit loss reserve

During the three months ended June 30, 2020, we recorded a $56.8 million increase in the current expected credit loss reserve. During six months ended June 30, 2020, we recorded a $179.5 million increase in the current expected credit loss reserve. This CECL reserve reflects the macroeconomic impact of the COVID-19 pandemic on commercial real estate markets generally, as well as certain loans assessed for impairment in our portfolio. This reserve is not reflective of what we expect our CECL reserve would be absent the current and potential future impacts of the COVID-19 pandemic. See Notes 2 and 3 to our consolidated financial statements for further discussion of our CECL reserve.

Net income attributable to non-controlling interests

During the three and six months ended June 30, 2020, we recorded $961,000 and $1.0 million, respectively, of net income attributable to non-controlling interests related to our Multifamily Joint Venture.

Dividends per share

During the three months ended June 30, 2020, we declared a dividend of $0.62 per share, or $90.6 million in aggregate, which was paid on July 15, 2020 to common stockholders of record as of June 30, 2020. During the three months ended June 30, 2019, we declared a dividend of $0.62 per share, or $83.3 million in aggregate.

During the six months ended June 30, 2020, we declared aggregate dividends of $1.24 per share, or $174.6 million. During the six months ended June 30, 2019, we declared aggregate dividends of $1.24 per share, or $161.2 million.

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, borrowings under secured debt agreements, and the issuance of secured term loans and issuance and sale of convertible notes. As of June 30, 2020, our balance sheet included $1.7 billion of corporate debt and $13.5 billion of asset-level financing. No portion of our corporate debt matures before 2022 and our asset-specific financing is generally term-matched or matures in 2022 or later. Of our $13.5 billion of asset-level financing, $3.8 billion includes consolidated and non-consolidated securitized debt obligations and senior syndications, which are both inherently non-recourse, non-mark to market, and term-matched to the financed assets, and we have $9.7 billion of borrowings under our credit facilities and asset-specific financings.

During the three months ended June 30, 2020, we entered into agreements with seven of our secured credit facility lenders, representing an aggregate $7.9 billion of our secured credit facilities, to temporarily suspend credit mark provisions on certain of their portfolio assets in exchange for: (i) cash repayments; (ii) pledges of additional collateral; and (iii) reductions of available borrowings.

We are in frequent, consistent dialogue with the providers of our secured credit facilities regarding our management of their collateral assets in light of the impacts of the COVID-19 pandemic. Our Manager’s robust, in-house asset management team has extensive experience managing loans throughout cycles, and maintains a rated special servicer as part of its broader real estate debt investment and asset management platform. The feedback we have received from our lenders indicates that they believe our Manager, as part of the broader Blackstone Real Estate platform, has a superior capability to manage the loans in our portfolio to a successful resolution.

See Notes 5, 6, 7, and 8 to our consolidated financial statements for additional details regarding our secured debt agreements, securitized debt obligations, Secured Term Loans, and Convertible Notes, respectively.

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Debt-to-Equity Ratio and Total Leverage Ratio

The following table presents our debt-to-equity ratio and total leverage ratio:


	June 30, 2020	December 31, 2019
Debt-to-equity ratio (1)	2.6x	3.0x
Total leverage ratio (2)	3.6x	3.7x


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

Sources of Liquidity

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


	June 30, 2020		December 31, 2019
Cash and cash equivalents	$	1,259,836	$	150,090
Available borrowings under secured debt agreements		97,032		598,840
Loan principal payments held by servicer, net (1)		11,570		1,965

	$	1,368,438	$	750,895


(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.

Typically, loan repayments are our largest source of incremental liquidity. For the year ended December 31, 2019, loan repayments generated $998.2 million of liquidity, net of any related financings. Similarly, through June 30, 2020, loan repayments generated $196.3 million of liquidity. We currently expect the pace of loan prepayments will slow while the impacts of the COVID-19 pandemic are ongoing, however, as of June 30, 2020, our portfolio does include $3.4 billion of loans with a final maturity date earlier than December 31, 2022.

During the six months ended June 30, 2020, we generated cash flow from operating activities of $175.7 million. We expect, however, that the impact of the COVID-19 pandemic will put pressure on our cash flow from operations as we enter into loan modifications on certain of our loans permitting interest payments to be capitalized, and as we repay borrowings under our secured credit facilities. Additionally, during the three months ended June 30, 2020, we received $315.4 million of net borrowings under a secured term loan and $278.3 million of net proceeds from the issuance of shares of class A common stock. Furthermore, we are able to generate incremental liquidity through the replenishment provisions of our 2020 CLO, which allow us to replace a loan in the CLO that has been repaid by increasing the principal amount of existing CLO collateral assets to maintain the aggregate amount of collateral assets in the CLO, and the related financing outstanding.

We are focused on fortifying our balance sheet and enhancing our liquidity to best position us to weather near-term market uncertainty, satisfy our loan future funding and financing obligations and to potentially make opportunistic new investments, which will cause us to take some or all of the following actions: raise capital from offerings of securities, borrow additional capital, sell assets, pay our management and incentive fees in shares of our class A common stock, as we did with respect to such fees for the quarter ended March 31, 2020, and/or change our dividend practice, including by reducing the amount of, or temporarily suspending, our future dividends or paying our future dividends in kind for some period of time.

We have access to liquidity through public offerings of debt and equity securities. To facilitate such offerings, in July 2019, we filed a shelf registration statement with the Securities and Exchange Commission, or the SEC, that is effective for a term of three years and expires at the end of July 2022. 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.

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We may also access liquidity through a dividend reinvestment plan and direct stock purchase plan, under which 9,993,053 shares of class A common stock were available for issuance as of June 30, 2020, and our at-the-market stock offering program, pursuant to which we may sell, from time to time, up to $363.8 million of additional shares of our class A common stock as of June 30, 2020. Refer to Note 10 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 $9.7 billion of outstanding borrowings under secured debt agreements, our Secured Term Loans, and our Convertible Notes.

In addition, we had aggregate unfunded loan commitments of $3.6 billion as of June 30, 2020. We generally finance the funding of our loan commitments on terms consistent with our overall credit facilities, with an average advance rate of 75.6% for such financed loans, resulting in identified financing for $2.2 billion of our aggregate unfunded loan commitments as of June 30, 2020. Some of our lenders, including substantially all of our financing of construction loans, are contractually obligated to fund their ratable portion of these loan commitments over time, while other lenders have some degree of discretion over future loan funding obligations. We expect to fund our loan commitments over the tenor of these loans, which have a weighted-average future funding period of 3.9 years. Our future loan fundings comprise funding for capital expenditures and construction, leasing costs, and interest and carry costs, and will vary depending on the progress of capital projects, leasing, and cash flows at the assets underlying our loans. Therefore, the exact timing and amounts of such future loan fundings are uncertain and will depend on the current and future performance of the underlying collateral assets. As a result of the COVID-19 pandemic, the progress of capital expenditures, construction, and leasing is anticipated to be slower than otherwise expected, and the pace of future funding relating to these capital needs may be commensurately slower.

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Contractual Obligations and Commitments

Our contractual obligations and commitments as of June 30, 2020 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)	$	3,590,868	$	93,950	$	787,807	$	2,178,328	$	530,783
Principal repayments under secured debt agreements (2)		9,716,452		183,218		3,749,063		5,544,371		239,800
Principal repayments of secured term loans (3)		1,068,134		10,738		21,475		21,475		1,014,446
Principal repayments of convertible notes (4)		622,500		—		622,500		—		—
Interest payments (2)(5)		871,765		262,479		403,742		174,163		31,381

Total (6)	$	15,869,719	$	550,385	$	5,584,587	$	7,918,337	$	1,816,410


(1)		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 .
(2)		The allocation of repayments under our secured debt agreements for both principal and interest payments is based on the earlier of (i) the maturity date of each facility, or (ii) the maximum maturity date of the collateral loans, assuming all extension options are exercised by the borrower.
(3)		The Secured Term Loans are partially amortizing, with an amount equal to 1.0% per annum of the principal balance due in quarterly installments. Refer to Note 7 to our consolidated financial statements for further details on our secured term loans.
(4)		Reflects the outstanding principal balance of convertible notes, excluding any potential conversion premium. Refer to Note 8 to our consolidated financial statements for further details on our convertible notes.
(5)		Represents interest payments on our secured debt agreements, convertible notes, and Secured Term Loans. Future interest payment obligations are estimated assuming the interest rates in effect as of June 30, 2020 will remain constant into the future. This is only an estimate as actual amounts borrowed and interest rates will vary over time.
(6)		Total does not include $739.6 million of non-consolidated senior interests and $3.0 billion of consolidated and non-consolidated securitized debt obligations, as the satisfaction of these liabilities will not require cash outlays from us.

We are also required to settle our interest rate swaps with our derivative counterparties upon maturity which, depending on interest rate movements, may result in cash received from or due to the respective counterparty. The table above does not include these amounts as they are not fixed and determinable. Refer to Note 9 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 11 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 (loss) 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 and cash equivalents ($ in thousands):


	Six Months Ended June 30,
	2020			2019
Cash flows provided by operating activities	$	175,708		$	157,184
Cash flows used in investing activities		(234,728	)		(90,425	)
Cash flows provided by (used in) financing activities		1,169,772			(91,834	)

Net increase (decrease) in cash and cash equivalents	$	1,110,752		$	(25,075	)

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We experienced a net increase in cash and cash equivalents of $1.1 billion for the six months ended June 30, 2020, compared to a net decrease of $25.1 million for the six months ended June 30, 2019. During the six months ended June 30, 2020, we received (i) $1.2 billion of proceeds from the issuance of collateralized loan obligations, (ii) $928.3 million from loan principal collections, (iii) $315.4 million of net borrowings under a secured term loan, and (iv) $278.3 million in net proceeds from the issuance of shares of class A common stock. We used the proceeds from these activities to (i) fund $1.2 billion of new loans and (ii) repay a net $286.1 million under our secured debt agreements.

Refer to Note 3 to our consolidated financial statements for further discussion of our loan activity. Refer to Notes 5 and 10 to our consolidated financial statements for further discussion of our secured debt agreements and equity.

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~~June 30, ~~2017~~2020 and December 31, ~~2016,~~2019, 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 our taxable REIT subsidiaries and various 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 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.

~~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 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 and notes thereto appearing elsewhere in this quarterly report on Form10-Q.~~ In addition 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 Factors in our annual report on Form 10-K for the year ended December 31, 2016 and elsewhere in this quarterly report on Form 10-Q.

~~Introduction~~

Blackstone Mortgage Trust is a real estate finance company 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 our Manager, a subsidiary of The Blackstone Group L.P., 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 are headquartered in New York City.

~~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 the three months ended September 30, 2017 we recorded earnings per share of $0.61, declared a dividend of $0.62 per share, and reported $0.69 per share of Core Earnings. In addition, our book value per share as 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 Earnings to evaluate our performance excluding the effects of certain transactions and GAAP adjustments that we believe 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), and excluding (i) net income (loss) attributable to our CT Legacy 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.

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 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.

   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.

~~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):~~


~~(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)~~		~~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.

~~GE Portfolio Acquisition Facility~~

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

~~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~~

   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 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 to Notes 8 and 16 to our consolidated financial statements for additional details of our securitized debt obligations.~~

~~Floating Rate Portfolio~~

Generally, our business model is such that rising interest rates will increase our net income, while declining interest rates will decrease net income. As of September 30, 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.

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 loan portfolio’s 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.~~

~~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 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 outstanding borrowings under secured debt agreements, our Convertible Notes, our unfunded loan commitments, dividend distributions to our stockholders, and operating expenses.

~~Contractual Obligations and Commitments~~

~~Our contractual obligations and commitments 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 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.~~

11, 2020, other than a supplement to the accounting policy for our current expected credit loss reserve. Refer to Note 2 to our consolidated financial statements for ~~the~~further description of the accounting policy for our current expected credit loss reserve and our other significant accounting policies.

Table of Contents

VI. Loan Portfolio Details

The following table provides details of our loan portfolio, on aloan-by-loan basis, as of ~~September~~June 30, ~~2017~~2020 ($ 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)(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	LTV (2)		Risk Rating
1	Senior loan	8/14/2019	$	1,333.1	$	1,333.1	$	1,323.2		L + 2.50%		L + 2.85%	12/23/2024	Dublin - IE	Office	$460 / sqft		74%	3
2	Senior loan	3/22/2018		979.9		979.9		976.7		L + 3.15%		L + 3.37%	3/15/2023	Diversified - Spain	Mixed-Use	n/a		71%	4
3	Senior loan	11/25/2019		724.2		625.1		625.1		L + 2.30%		L + 2.75%	12/9/2024	New York	Office	$896 / sqft		65%	3
4	Senior loan	5/11/2017		646.8		615.2		614.4		L + 3.40%		L + 3.57%	6/10/2023	Washington DC	Office	$302 / sqft		62%	3
5	Senior loan (4)	8/6/2015		458.3		458.3		83.7		5.75%		5.77%	10/29/2022	Diversified - EUR	Other	n/a		71%	3
6	Senior loan	8/22/2018		362.5		349.8		348.4		L + 3.15%		L + 3.49%	8/9/2023	Maui	Hospitality	$454,293 / key		61%	4
7	Senior loan	10/23/2018		352.4		345.3		344.8		L + 3.40%		L + 3.87%	10/23/2021	New York	Mixed-Use	$585 / sqft		65%	3
8	Senior loan	4/11/2018		355.0		344.5		343.8		L + 2.85%		L + 3.10%	5/1/2023	New York	Office	$437 / sqft		71%	2
9	Senior loan	1/11/2019		297.7		297.7		294.5		L + 4.35%		L + 4.70%	1/11/2026	Diversified - UK	Other	$294 / sqft		74%	4
10	Senior loan	11/30/2018		292.9		281.4		279.9		L + 2.85%		L + 3.20%	12/9/2023	New York	Hospitality	$301,581 / key		73%	5
11	Senior loan	2/27/2020		300.0		279.0		276.5		L + 2.70%		L + 3.03%	3/9/2025	New York	Mixed-Use	$875 / sqft		59%	3
12	Senior loan	7/31/2018		279.5		276.8		275.5		L + 3.10%		L + 3.52%	8/9/2022	San Francisco	Office	$698 / sqft		50%	2
13	Senior loan	12/11/2018		310.0		254.3		252.6		L + 2.55%		L + 2.96%	12/9/2023	Chicago	Office	$214 / sqft		78%	3
14	Senior loan	11/30/2018		253.9		248.2		247.0		L + 2.80%		L + 3.17%	12/9/2023	San Francisco	Hospitality	$364,513 / key		73%	4
15	Senior loan	9/23/2019		280.9		234.3		231.9		L + 3.00%		L + 3.22%	11/15/2024	Diversified - Spain	Hospitality	$125,124 / key		62%	4
16	Senior loan	5/9/2018		242.9		232.9		232.6		L + 2.60%		L + 3.13%	5/9/2023	New York	Industrial	$66 / sqft		70%	2
17	Senior loan	10/23/2018		290.4		230.8		229.4		L + 2.80%		L + 2.89%	11/9/2024	Atlanta	Office	$215 / sqft		64%	2
18	Senior loan (4)	8/7/2019		745.8		226.5		43.1		L + 3.12%		L + 3.48%	9/9/2025	Los Angeles	Office	$153 / sqft		59%	3
19	Senior loan	9/30/2019		305.5		226.4		226.5		L + 3.66%		L + 3.75%	9/9/2024	Chicago	Office	$196 / sqft		58%	3
20	Senior loan	4/17/2018		225.0		224.8		224.6		L + 3.25%		L + 3.47%	5/9/2023	New York	Office	$209 / sqft		45%	2
21	Senior loan	7/20/2017		249.5		218.6		218.3		L + 4.80%		L + 5.74%	8/9/2022	San Francisco	Office	$363 / sqft		58%	2
22	Senior loan	6/23/2015		209.9		209.9		209.5		L + 3.65%		L + 3.91%	5/8/2022	Washington DC	Office	$235 / sqft		72%	2
23	Senior loan	12/12/2019		260.5		200.3		199.4		L + 2.40%		L + 2.68%	12/9/2024	New York	Office	$95 / sqft		42%	1
24	Senior loan	8/31/2017		203.0		194.7		194.4		L + 2.50%		L + 2.75%	9/9/2023	Orange County	Office	$227 / sqft		64%	3
25	Senior loan	12/22/2016		204.5		190.2		190.1		L + 2.90%		L + 2.98%	12/9/2022	New York	Office	$267 / sqft		64%	3
26	Senior loan	6/27/2019		215.4		188.9		187.4		L + 2.80%		L + 3.16%	8/15/2026	Berlin - DEU	Office	$405 / sqft		62%	3
27	Senior loan	11/5/2019		216.1		188.5		186.7		L + 3.85%		L + 4.45%	2/21/2025	Diversified - IT	Industrial	$373 / sqft		66%	3
28	Senior loan	6/4/2018		187.8		187.8		187.2		L + 3.50%		L + 3.86%	6/9/2024	New York	Hospitality	$309,308 / key		52%	4
29	Senior loan	4/9/2018		1,486.5		185.0		173.1		L + 8.50%		L + 10.64%	6/9/2025	New York	Office	$525 / sqft		48%	2
30	Senior loan	9/25/2019		182.5		182.5		181.3		L + 4.35%		L + 4.93%	9/26/2023	London - UK	Office	$832 / sqft		72%	3

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

continued…

Table of Contents


	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	LTV (2)		Risk Rating
31	Senior loan	11/23/2018		184.4		180.0		178.5		L + 2.62%		L + 2.87%	2/15/2024	Diversified - UK	Office	$1,091 / sqft		50%	3
32	Senior loan	4/3/2018		178.6		177.3		176.9		L + 2.75%		L + 3.06%	4/9/2024	Dallas	Mixed-Use	$502 / sqft		64%	3
33	Senior loan	9/26/2019		175.0		175.0		174.3		L + 3.10%		L + 3.54%	1/9/2023	New York	Office	$256 / sqft		65%	3
34	Senior loan	9/14/2018		174.1		174.1		173.3		L + 3.50%		L + 3.85%	9/14/2023	Canberra - AU	Mixed-Use	$401 / sqft		68%	3
35	Senior loan	12/21/2017		197.5		161.8		161.4		L + 2.65%		L + 3.06%	1/9/2023	Atlanta	Office	$121 / sqft		51%	2
36	Senior loan	9/4/2018		172.7		156.8		156.0		L + 3.00%		L + 3.39%	9/9/2023	Las Vegas	Hospitality	$189,812 / key		70%	4
37	Senior loan	8/23/2017		165.0		153.0		152.9		L + 3.25%		L + 3.58%	10/9/2022	Los Angeles	Office	$311 / sqft		74%	2
38	Senior loan (4)	11/22/2019		470.0		146.2		28.3		L + 3.70%		L + 4.06%	12/9/2025	Los Angeles	Office	$146 / sqft		69%	3
39	Senior loan	12/6/2019		142.6		142.6		141.5		L + 2.80%		L + 3.31%	12/5/2024	London - UK	Office	$944 / sqft		75%	3
40	Senior loan	12/20/2019		139.3		139.3		138.1		L + 3.10%		L + 3.32%	12/18/2026	London - UK	Office	$693 / sqft		75%	3
41	Senior loan	11/16/2018		211.9		137.9		136.3		L + 4.10%		L + 4.69%	12/9/2023	Fort Lauderdale	Mixed-Use	$388 / sqft		59%	3
42	Senior loan	5/11/2017		135.9		135.4		135.1		L + 3.40%		L + 3.64%	6/10/2023	Washington DC	Office	$311 / sqft		38%	2
43	Senior loan	11/14/2017		133.0		133.0		132.8		L + 2.75%		L + 3.00%	6/9/2023	Los Angeles	Hospitality	$532,000 / key		56%	3
44	Senior loan	1/17/2020		203.0		131.8		130.4		L + 2.75%		L + 3.07%	2/9/2025	New York	Mixed-Use	$109 / sqft		43%	3
45	Senior loan	9/5/2019		198.4		130.0		128.3		L + 2.75%		L + 3.24%	9/9/2024	New York	Office	$811 / sqft		62%	3
46	Senior loan	12/14/2018		135.6		123.6		123.3		L + 2.90%		L + 3.27%	1/9/2024	Diversified - US	Industrial	$49 / sqft		57%	3
47	Senior loan	11/27/2019		146.3		122.6		121.3		L + 2.75%		L + 3.13%	12/9/2024	Minneapolis	Office	$123 / sqft		64%	3
48	Senior loan	6/1/2018		125.3		117.9		117.2		L + 3.40%		L + 3.74%	5/28/2023	London - UK	Office	$800 / sqft		70%	1
49	Senior loan	6/28/2019		125.0		117.2		116.7		L + 2.75%		L + 2.91%	2/1/2024	Los Angeles	Office	$591 / sqft		48%	3
50	Senior loan	3/10/2020		140.0		115.9		115.6		L + 2.50%		L + 2.67%	1/9/2025	New York	Mixed-Use	$75 / sqft		53%	3
51	Senior loan	4/25/2019		210.0		113.6		112.8		L + 3.50%		L + 3.75%	9/1/2025	Los Angeles	Office	$511 / sqft		73%	3
52	Senior loan	7/15/2019		144.6		113.5		112.5		L + 2.90%		L + 3.25%	8/9/2024	Houston	Office	$205 / sqft		58%	3
53	Senior loan	4/30/2018		158.9		112.6		111.6		L + 3.25%		L + 3.51%	4/30/2023	London - UK	Office	$507 / sqft		60%	3
54	Senior loan	6/28/2019		181.0		112.0		110.2		L + 3.70%		L + 4.33%	6/27/2024	London - UK	Office	$365 / sqft		71%	3
55	Senior loan	12/21/2018		123.1		106.3		105.6		L + 2.60%		L + 3.00%	1/9/2024	Chicago	Office	$208 / key		72%	2
56	Senior loan	10/16/2018		113.7		104.8		104.3		L + 3.25%		L + 3.57%	11/9/2023	San Francisco	Hospitality	$228,253 / key		72%	4
57	Senior loan	10/17/2016		103.9		103.9		103.9		L + 3.95%		L + 3.96%	10/21/2021	Diversified - UK	Self-Storage	$143 / sqft		73%	3
58	Senior loan	3/13/2018		123.0		103.6		103.0		L + 3.00%		L + 3.27%	4/9/2025	Honolulu	Hospitality	$160,580 / key		50%	3
59	Senior loan	12/19/2018		106.7		103.0		102.9		L + 2.60%		L + 2.94%	12/9/2022	Chicago	Multi	$556,723 / unit		66%	2
60	Senior loan	5/16/2014		100.0		100.0		100.0		L + 3.85%		L + 4.11%	4/9/2022	Miami	Office	$215 / sqft		67%	3

continued…

Table of Contents


	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	LTV (2)		Risk Rating
61	Senior loan	3/25/2020		119.7		97.7		96.6		L + 2.40%		L + 2.78%	3/31/2025	Diversified - NL	Multi	$119,330 / unit		65%	3
62	Senior loan	11/30/2018		151.1		97.5		96.7		L + 2.55%		L + 2.80%	12/9/2024	Washington DC	Office	$305 / sqft		60%	3
63	Senior loan	12/23/2019		109.7		93.9		93.1		L + 2.70%		L + 3.03%	1/9/2025	Miami	Multi	$324,861 / unit		68%	3
64	Senior loan	4/12/2018		103.1		91.8		91.5		L + 2.75%		L + 3.06%	5/9/2023	San Francisco	Office	$239 / sqft		72%	2
65	Senior loan	3/28/2019		98.4		91.6		91.4		L + 3.25%		L + 3.40%	1/9/2024	New York	Hospitality	$236,638 / key		63%	4
66	Senior loan (4)	9/22/2017		91.0		90.2		22.4		L + 5.25%		L + 6.69%	10/9/2022	San Francisco	Multi	$446,078 / unit		46%	3
67	Senior loan	12/10/2018		110.1		87.7		86.7		L + 2.95%		L + 3.34%	12/3/2024	London - UK	Office	$419 / sqft		72%	3
68	Senior loan	2/18/2015		87.7		87.7		87.7		L + 3.75%		L + 4.00%	10/9/2020	Diversified - CA	Office	$181 / sqft		71%	3
69	Senior loan	8/18/2017		87.3		87.3		87.2		L + 4.10%		L + 4.80%	8/18/2022	Brussels - BE	Office	$136 / sqft		59%	2
70	Senior loan	3/31/2017		96.9		87.0		87.1		L + 4.30%		L + 4.67%	4/9/2022	New York	Office	$427 / sqft		64%	3
71	Senior loan	11/22/2019		85.0		85.0		84.7		L + 2.99%		L + 3.27%	12/1/2024	San Jose	Multi	$317,164 / unit		62%	3
72	Senior loan	6/29/2016		83.4		80.0		79.9		L + 2.80%		L + 3.28%	7/9/2021	Miami	Office	$308 / sqft		64%	2
73	Senior loan	6/18/2019		75.0		75.0		74.4		L + 3.15%		L + 3.15%	7/9/2024	Napa Valley	Hospitality	$785,340 / key		74%	4
74	Senior loan	2/20/2019		125.9		72.8		71.5		L + 3.25%		L + 3.89%	2/19/2024	London - UK	Office	$357 / sqft		61%	3
75	Senior loan	10/17/2018		80.4		72.2		72.1		L + 2.60%		L + 3.03%	11/9/2023	San Francisco	Office	$450 / sqft		68%	3
76	Senior loan	6/27/2019		84.0		71.5		71.2		L + 2.50%		L + 2.77%	7/9/2024	West Palm Beach	Office	$245 / sqft		70%	3
77	Senior loan	7/26/2018		84.1		71.1		71.1		L + 2.75%		L + 2.85%	7/1/2024	Columbus	Multi	$66,984 / unit		69%	3
78	Senior loan	3/21/2018		74.3		69.4		69.1		L + 3.10%		L + 3.33%	3/21/2024	Jacksonville	Office	$91 / sqft		72%	2
79	Senior loan	1/30/2020		104.4		66.7		65.9		L + 2.85%		L + 3.22%	2/9/2026	Honolulu	Hospitality	$214,341 / key		63%	4
80	Senior loan	4/5/2018		85.3		65.9		65.7		L + 3.10%		L + 3.51%	4/9/2023	Diversified - US	Industrial	$24 / sqft		54%	3
81	Senior loan	8/22/2019		74.3		65.0		64.5		L + 2.55%		L + 2.93%	9/9/2024	Los Angeles	Office	$389 / sqft		63%	3
82	Senior loan	6/29/2017		64.2		63.4		63.2		L + 3.40%		L + 3.65%	7/9/2023	New York	Multi	$184,768 / unit		69%	4
83	Senior loan	10/5/2018		59.4		59.4		59.1		L + 5.50%		L + 5.65%	10/5/2021	Sydney - AU	Office	$630 / sqft		78%	3
84	Senior loan	11/30/2016		65.2		56.7		56.6		L + 3.10%		L + 3.32%	12/9/2021	Chicago	Retail	$1,167 / sqft		54%	4
85	Senior loan	10/6/2017		55.9		55.8		55.7		L + 2.95%		L + 3.21%	10/9/2022	Nashville	Multi	$99,598 / unit		74%	2
86	Senior loan	8/16/2019		54.3		54.3		54.2		L + 2.75%		L + 2.95%	9/1/2022	Sarasota	Multi	$238,158 / unit		76%	3
87	Senior loan	11/23/2016		53.6		53.6		53.5		L + 3.50%		L + 3.80%	12/9/2022	New York	Multi	$223,254 / unit		65%	4
88	Senior loan	10/31/2018		63.3		52.8		52.6		L + 5.00%		L + 5.67%	11/9/2023	New York	Multi	$274,265 / unit		61%	3
89	Senior loan	3/11/2014		52.8		52.8		52.8		L + 1.84%		L + 1.85%	11/9/2020	New York	Multi	$593,109 / unit		65%	5
90	Senior loan	6/26/2019		66.0		51.8		51.3		L + 3.35%		L + 3.66%	6/20/2024	London - UK	Office	$585 / sqft		61%	3

continued…

Table of Contents


	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	LTV (2)		Risk Rating
91	Senior loan	8/14/2019		70.3		51.5		50.9		L + 2.45%		L + 2.87%	9/9/2024	Los Angeles	Office	$590 / sqft		57%	3
92	Senior loan	6/12/2019		55.0		48.3		48.2		L + 3.25%		L + 3.37%	7/1/2022	Grand Rapids	Multi	$92,529 / unit		69%	3
93	Senior loan	5/24/2018		81.3		46.0		45.6		L + 4.10%		L + 4.59%	6/9/2023	Boston	Office	$89 / sqft		55%	2
94	Senior loan	10/31/2018		53.4		45.3		45.3		L + 5.00%		L + 6.15%	11/9/2023	New York	Condo	$420 / sqft		64%	3
95	Senior loan	9/25/2018		49.3		45.0		44.8		L + 3.50%		L + 3.79%	9/1/2023	Chicago	Multi	$61,202 / unit		70%	3
96	Senior loan	11/3/2017		45.0		44.0		44.0		L + 3.00%		L + 3.08%	11/1/2022	Los Angeles	Office	$205 / sqft		50%	1
97	Senior loan	2/21/2020		43.8		43.8		43.6		L + 3.25%		L + 3.58%	3/1/2025	Atlanta	Multi	$137,304 / unit		68%	3
98	Senior loan	8/29/2017		51.2		43.5		43.5		L + 3.10%		L + 3.52%	10/9/2022	Southern California	Industrial	$91 / sqft		65%	3
99	Senior loan	6/26/2015		41.6		41.0		41.0		L + 3.75%		L + 3.94%	7/9/2020	San Diego	Office	$187 / sqft		73%	3
100	Senior loan	2/20/2019		49.4		39.7		39.4		L + 3.50%		L + 3.91%	3/9/2024	Calgary - CAN	Office	$109 / sqft		52%	3
101	Senior loan	12/27/2016		39.5		39.5		39.4		L + 3.10%		L + 3.45%	1/9/2022	New York	Multi	$784,286 / unit		64%	3
102	Senior loan	12/13/2019		35.9		33.0		32.2		L + 3.55%		L + 4.49%	6/12/2024	Diversified - FR	Industrial	$23 / sqft		55%	3
103	Senior loan	10/31/2019		33.9		33.0		32.9		L + 3.25%		L + 3.34%	11/1/2024	Raleigh	Multi	$162,626 / unit		52%	3
104	Senior loan	10/31/2019		31.5		31.3		31.3		L + 3.25%		L + 3.33%	11/1/2024	Atlanta	Multi	$164,816 / unit		60%	3
105	Senior loan	8/14/2019		31.0		31.0		31.0		L + 5.00%		L + 6.02%	8/14/2020	Orangeburg	Other	$150 / sqft		36%	3
106	Senior loan	10/31/2019		30.2		29.6		29.5		L + 3.25%		L + 3.33%	11/1/2024	Austin	Multi	$156,642 / unit		52%	3
107	Senior loan	6/26/2019		28.0		28.0		28.0		L + 3.25%		L + 3.90%	10/1/2020	Lake Charles	Multi	$104,478 / unit		73%	2
108	Senior loan	10/31/2019		27.2		27.2		27.1		L + 3.25%		L + 3.32%	11/1/2024	Austin	Multi	$135,084 / unit		53%	3
109	Senior loan	5/31/2019		24.4		24.4		24.4		L + 4.00%		L + 4.20%	6/1/2022	Denver	Multi	$162,720 / unit		59%	2
110	Senior loan	12/15/2017		22.5		22.5		22.5		L + 3.50%		L + 3.50%	12/9/2020	Diversified - US	Hospitality	$340,809 / key		50%	3
111	Senior loan	3/24/2020		22.0		22.0		22.0		L + 3.25%		L + 3.26%	10/1/2021	San Jose	Multi	$400,000 / unit		58%	3
112	Senior loan	12/23/2019		26.2		20.5		20.3		L + 2.85%		L + 3.21%	1/9/2025	Miami	Office	$344 / sqft		68%	3
113	Senior loan	2/26/2020		20.4		20.4		20.4		L + 2.80%		L + 3.27%	3/1/2021	Atlanta	Multi	$85,356 / unit		36%	1
114	Senior loan	6/15/2018		22.0		20.4		20.5		L + 3.35%		L + 3.79%	7/1/2022	Phoenix	Multi	$71,430 / unit		78%	3
115	Senior loan	3/8/2017		20.1		20.1		20.1		4.79% (7)		5.12% (7)	12/23/2021	Montreal - CAN	Office	$55 / sqft		45%	2
116	Senior loan	4/26/2019		20.0		20.0		19.9		L + 2.93%		L + 3.38%	5/1/2024	Nashville	Multi	$198,020 / unit		73%	2
117	Senior loan	12/21/2018		22.9		20.0		19.9		L + 3.25%		L + 3.48%	1/1/2024	Daytona Beach	Multi	$74,627 / unit		77%	3
118	Senior loan	3/30/2016		15.8		15.8		16.0		5.15%		5.27%	9/4/2020	Diversified - CAN	Self-Storage	$3,451 / unit		56%	1
119	Senior loan	10/20/2017		17.2		15.1		15.0		L + 4.25%		L + 4.35%	11/1/2021	Houston	Multi	$119,444 / unit		56%	2
120	Senior loan	6/21/2019		14.8		14.5		14.4		L + 3.30%		L + 3.41%	7/1/2022	Portland	Multi	$130,180 / unit		66%	2

continued…

Table of Contents


	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	LTV (2)		Risk Rating
121	Senior loan	4/30/2019		15.5		14.4		14.3			L + 3.00%		L + 3.32%	5/1/2024	Houston	Multi	$46,543 / unit		78%	3
122	Senior loan	5/22/2014		14.0		14.0		14.0			L + 2.90%		L + 3.15%	6/15/2021	Orange County	Office	$25 / sqft		74%	2
123	Senior loan	2/28/2019		15.3		13.9		13.9			L + 3.00%		L + 3.29%	3/1/2024	San Antonio	Multi	$60,621 / unit		75%	3
124	Senior loan	10/1/2019		341.7		12.8		9.2			L + 3.75%		L + 4.25%	10/9/2025	Atlanta	Mixed-Use	$505 / sqft		70%	3
125	Senior loan	5/30/2018		10.1		10.1		10.1			L + 4.15%		L + 4.41%	6/1/2021	Phoenix	Multi	$112,222 / unit		74%	2
126	Senior loan	9/1/2016		6.1		6.1		6.2			L + 4.20%		L + 4.39%	9/1/2022	Atlanta	Multi	$56,544 / unit		72%	1
127	Senior loan	11/30/2018		3.5		3.5		3.6			L + 2.95%		L + 4.20%	10/1/2023	Las Vegas	Multi	$7,289 / unit		70%	2
128	Senior loan (4)	3/23/2020		348.6		0.0		(1.1	)		L + 3.75%		L + 4.38%	1/9/2025	Nashville	Mixed-Use	$348 / sqft		78%	3
	CECL reserve							(178.1	)

	Loans receivable, net		$	21,717.3	$	17,174.2	$	16,161.4			L + 3.23%		L + 3.58%	3.5 yrs					65%	3.0

(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~~Origination dates are ~~not~~subsequently updated ~~for subsequent~~to reflect material loan ~~modifications or upsizes.~~ modifications.

(3)	Total loan amount reflects outstanding principal balance as well as any related unfunded loan commitment.

(4)

In certain instances, we finance our loans through thenon-recourse sale of a senior loan interest that is not included in our consolidated financial statements. As of ~~September~~June 30, ~~2017, three~~2020, five loans in our portfolio have been financed with an aggregate ~~$987.6~~$739.6 million ofnon-consolidated senior interest, which are included in the table above.

Portfolio excludes our $82.0 million subordinate position in the $857.3 million 2018 Single Asset Securitization. Refer to Notes 4 and 15 to our consolidated financial statements for details of the 2018 Single Asset Securitization.

~~(4)~~(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, GBP LIBOR, EURIBOR, BBSY, and CDOR, as applicable to each loan. As of ~~September~~June 30, ~~2017,~~2020, 97% of our loans by total loan exposure earned a floating rate ~~loans were indexed to various benchmark rates, with 91%~~ of ~~floating rate loans by loan exposure~~interest, primarily indexed to USD ~~LIBOR. In addition, $273.9 million~~LIBOR, and $13.0 billion of ~~our floating rate~~such loans earned interest based on floors that are above the applicable ~~index, with an average floor~~index. The other 3% of ~~1.24%,~~our loans earned a fixed rate of interest, which we reflect as a spread over the relevant floating benchmark rates, as of ~~September~~June 30, ~~2017.~~2020, for purposes of the weighted-averages. In addition to cash coupon,all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees.

~~(5)~~(6)

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

~~(6)~~(7)

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

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ITEM 3.

QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Interest Rate Risk

~~Loan~~

Investment Portfolio Net Interest Income

Generally, our business model is such that rising interest rates will increase our net income (loss), while declining interest rates will decrease net ~~income.~~income (loss). As of ~~September~~June 30, ~~2017, 92%~~2020, 97% of our ~~loans~~investments by total ~~loan~~investment exposure earned a floating rate of interest and were financed with liabilities that pay interest at floating rates, which resulted in an amount of net equity that is positively correlated to rising interest rates, subject to the impact of interest rate floors on certain of our floating rate loans. As of ~~September~~June 30, ~~2017,~~2020, the remaining 8%3% of our ~~loans~~investments by total ~~loan~~investment exposure earned a fixed rate of interest, but are financed with liabilities that pay interest at floating rates, which resulted in a negative correlation to rising interest rates to the extent of our financing. In certain instances where we have financed fixed rate assets with floating rate liabilities, we have purchased interest rate swaps or caps to limit our exposure to increases in interest rates on such liabilities.

Certain jurisdictions are currently reforming or phasing out their Interbank Offered Rates, or IBORS, including, without limitation, the London Interbank Offered Rate, Euro Interbank Offered Rate, the Canadian Dollar Offered Rate and the Australian Bank Bill Swap Reference Rate. The timing of the anticipated reforms or phase-outs vary by jurisdiction, with most of the reforms or phase-outs currently scheduled to take effect at the end of calendar year 2021. We are evaluating the operational impact of such changes on existing transactions and contractual arrangements and managing transition efforts. 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 interest expense 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 for the year ended December 31, 2019.

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The following table projects the impact on our interest income and expense, net of incentive fees, for the twelve-month period following ~~September~~June 30, ~~2017,~~2020, 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 )


	Assets (Liabilities) Sensitive to Changes in Interest Rates (1)(2)(3)				Interest Rate Sensitivity as of June 30, 2020
					Increase in Rates						Decrease in Rates (4)
Currency					25 Basis Points			50 Basis Points			25 Basis Points			50 Basis Points
USD	$	12,520,462		Income	$	7,510		$	15,440		$	(4,652	)	$	(4,652	)
		(10,440,646	)	Expense		(17,202	)		(34,851	)		11,164			11,164

	$	2,079,816		Net interest	$	(9,692	)	$	(19,411	)	$	6,512		$	6,512

EUR	$	3,142,835		Income	$	—		$	1,350		$	—		$	—
		(2,494,978	)	Expense		—			(1,068	)		—			—

	$	647,857		Net interest	$	—		$	282		$	—		$	—

GBP	$	1,600,788		Income	$	1,853		$	4,028		$	(908	)	$	(908	)
		(1,014,982	)	Expense		(2,030	)		(4,060	)		1,144			1,144

	$	585,806		Net interest	$	(177	)	$	(32	)	$	236		$	236

AUD	$	233,425		Income	$	—		$	—		$	—		$	—
		(169,299	)	Expense		(339	)		(677	)		202			202

	$	64,126		Net interest	$	(339	)	$	(677	)	$	202		$	202

CAD (5)	$	41,188		Income	$	3		$	6		$	(3	)	$	(6	)
		(45,384	)	Expense		(91	)		(182	)		91			182

	$	(4,196	)	Net interest	$	(88	)	$	(176	)	$	88		$	176

				Total net interest	$	(10,296	)	$	(20,014	)	$	7,038		$	7,126

(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.

Increases (decreases) in interest income and expense are presented net of incentive fees. In addition, $13.0 billion of our loans earned interest based on floors that are above the applicable index as of June 30, 2020. Refer to Note 11 to our consolidated financial statements for additional details of our incentive fee calculation.

(2)	Includes ~~borrowings~~investment exposure to the 2018 Single Asset Securitization. Refer to Notes 4 and 15 to our consolidated financial statements for details of the subordinate position we own in the 2018 Single Asset Securitization.

(3)	Includes amounts outstanding under secured debt agreements, ~~loan participations sold,~~ non-consolidated senior interests, ~~and~~ securitized debt ~~obligations.~~ obligations, non-consolidated securitized debt obligations, and secured term loans.

~~(3)~~(4)

Decrease in rates assumes the applicable benchmark rate for each currency does not decrease below 0%.

(5)	Liabilities balance includes ~~four~~two interest rate swaps totaling C$~~108.2~~17.3 million ($~~86.7~~12.7 million as of ~~September~~June 30, ~~2017)~~2020) that are used to hedge a portion of our fixed rate debt.

~~Loan~~

Investment Portfolio Value

As of ~~September~~June 30, ~~2017, 8%~~2020, 3% of our ~~loans~~investments by ~~total loan~~investment 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~~investments to maturity and so do not expect to realize gains or losses on our fixed rate ~~loan~~investment 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.

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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 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 has 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. These negative conditions have persisted, and in the future may 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 have utilized these relationships to address the potential impacts of the COVID-19 pandemic on our loans secured by properties experiencing cash flow pressure, most significantly hospitality assets. Some of our borrowers have indicated that due to the impact of the COVID-19 pandemic, they will be unable to timely execute their business plans, have had to temporarily close their businesses, or have experienced other negative business consequences and have requested temporary interest deferral or forbearance, or other modifications of their loans. During the three months ended June 30, 2020, we closed 13 loan modifications, representing an aggregate principal balance of $2.4 billion. The loan modifications included term extensions, interest rate changes, repurposing of reserves, temporary deferrals of interest, and performance test or covenant waivers, many of which were coupled with additional equity commitments from sponsors.

We are generally encouraged by our borrowers’ initial response to the COVID-19 pandemic’s impacts on their properties. With limited exceptions, we believe our loan sponsors are committed to supporting assets collateralizing our loans through additional equity investments, and that we will benefit from our long-standing core business model of originating senior loans collateralized by large assets in major markets with experienced, well-capitalized institutional sponsors. Our investment portfolio’s low origination weighted-average LTV of 63.6% as of June 30, 2020, reflects significant equity value that our sponsors are motivated to protect through periods of cyclical disruption. 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.

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.

The COVID-19 pandemic has resulted in extreme volatility in a variety of global markets, including the real estate-related debt markets. U.S. financial markets, in particular, are experiencing limited liquidity and forced selling by certain market participants with insufficient liquidity available to meet current obligations has put further downward pressure on asset prices. In reaction to these tumultuous and unpredictable market conditions, banks and other lenders have generally restricted lending activity and requested margin posting or repayments where applicable for secured loans collateralized by assets with depressed valuations.

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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. During the three months ended June 30, 2020, we entered into agreements with seven of our secured credit facility lenders, representing an aggregate $7.9 billion of our secured credit facilities, to temporarily suspend credit mark provisions on certain of their portfolio assets in exchange for: (i) cash repayments; (ii) pledges of additional collateral; and (iii) reductions of available borrowings.

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 and active monitoring of the asset portfolios that serve as our collateral.

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 foreign currency derivative contracts to further mitigate this exposure.~~

The following table outlines our assets and liabilities that are denominated in a foreign currency (£(€/€£/A$/C$ 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


	June 30, 2020
Foreign currency assets (1)	€	2,849,505		£	1,654,698		A$	344,002		C$	108,478
Foreign currency liabilities (1)		(2,220,577	)		(1,123,093	)		(245,982	)		(78,943	)
Foreign currency contracts - notional		(620,400	)		(530,200	)		(92,800	)		(24,400	)

Net exposure to exchange rate fluctuations	€	8,528		£	1,405		A$	5,220		C$	5,135

____________


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

We estimate that a 10% appreciation of the United States Dollar relative to the British Pound Sterling and the Euro would result in a decline in our net assets in U.S. Dollar terms of $27.9 million and $9.4 million, respectively, as of September 30, 2017.

Substantially all of our net asset exposure to the Euro, the British Pound Sterling, the Australian Dollar, and the Canadian Dollar has been hedged with foreign currency forward contracts.

ITEM 4.

CONTROLS AND PROCEDURES

Evaluation of Disclosure Controls and Procedures

An evaluation of the effectiveness of the design and operation of our “disclosure controls and procedures” (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”)), 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.

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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) 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.

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PART II. OTHER INFORMATION

ITEM 1.

LEGAL PROCEEDINGS

From time to time, we may be involved in various claims and legal actions arising in the ordinary course of business. As of ~~September~~June 30, ~~2017,~~2020, we were not involved in any material legal proceedings.

ITEM 1A.

RISK FACTORS

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

2019, as updated by the information disclosed under Part II, Item 1A of our Quarterly Report on Form 10-Q for the quarterly period ended March 31, 2020.

ITEM 2.

UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS

~~None.~~

On May 11, 2020, we issued 840,696 shares of our class A common stock to our Manager in satisfaction of $19.3 million of management and incentive fees accrued in the first quarter of 2020. The per share price of $22.92954, was calculated based on the volume-weighted average price on the NYSE of our class A common stock over the five trading days following our April 29, 2020 first quarter 2020 earnings conference call. The issuance of such shares was not registered under the Securities Act of 1933, as amended (the “Securities Act”), because the shares were issued in a transaction by the issuer not involving any public offering exempt from registration under Section 4(a)(2) of the Securities Act.

ITEM 3.

DEFAULTS UPON SENIOR SECURITIES

None.

ITEM 4.

MINE SAFETY DISCLOSURES

Not applicable.

ITEM 5.

OTHER INFORMATION

None.

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ITEM 6.

EXHIBITS


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


10.1		~~Second Supplemental Indenture,~~Term Loan Credit Agreement, dated ~~May 5, 2017, between~~as of April 23, 2019, among Blackstone Mortgage Trust, Inc., the ~~Company and The~~lenders party thereto, JPMorgan Chase Bank, ~~of New York Mellon Trust Company,~~ N.A., as ~~trustee (filed~~Administrative Agent, and JP Morgan Chase Bank, N.A., Merrill Lynch, Pierce, Fenner & Smith Incorporated, Barclays Bank Plc, Deutsche Bank Securities Inc. and Blackstone Advisory Partners LP, as ~~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~~Joint Lead Arrangers and ~~incorporated herein by reference).~~Joint Bookrunners

10.2		~~Form~~First Amendment to Term Loan Credit Agreement, dated as of ~~4.375% Convertible Senior Notes due 2022 (included~~November 19, 2019, by and among Blackstone Mortgage Trust, Inc., the subsidiary guarantors party thereto, each lender party thereto and JPMorgan Chase Bank, N.A., as ~~Exhibit A in Exhibit 10.1).~~administrative agent and collateral agent

~~31.1~~ 10.3		Second Amendment to Term Loan Credit Agreement, dated as of May 20, 2020, by and among Blackstone Mortgage Trust, Inc., the subsidiary guarantors party thereto, each lender party thereto and JPMorgan Chase Bank, N.A., as administrative agent and collateral agent

10.4		Third Amendment to Term Loan Credit Agreement, dated as of June 11, 2020, by and among Blackstone Mortgage Trust, Inc., the subsidiary guarantors party thereto, each lender party thereto and JPMorgan Chase Bank, N.A., as administrative agent and collateral agent

10.5		Loan Guaranty, entered into as of April 23, 2019, by and among the subsidiary guarantors and other persons from time to time party thereto and JPMorgan Chase Bank, N.A., as administrative agent and collateral agent

10.6		Pledge and Security Agreement, entered into as of April 23, 2019, by and among Blackstone Mortgage Trust, Inc., the grantors from time to time party thereto and JPMorgan Chase Bank, N.A., as administrative agent and collateral agent

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		Inline XBRL Instance ~~Document~~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

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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.

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.

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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~~ July 29, 2020				/s/ Stephen D. Plavin
Date				Stephen D. Plavin
				Chief Executive Officer
				(Principal Executive Officer)

~~October 24, 2017~~ July 29, 2020				/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


	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		Additional		Accumulated Other
	Common		Paid-In		Comprehensive			Accumulated			Stockholders’			Non-controlling			Total
	Stock		Capital		(Loss) Income			Deficit			Equity			Interests			Equity
Balance at December 31, 2019	$	1,350	$	4,370,014	$	(16,233	)	$	(592,548	)	$	3,762,583		$	22,098		$	3,784,681
Adoption of ASU 2016-13, see Note 2		—		—		—			(17,565	)		(17,565	)		(85	)		(17,650	)
Shares of class A common stock issued, net		4		—		—			—			4			—			4
Restricted class A common stock earned		—		8,550		—			—			8,550			—			8,550
Dividends reinvested		—		162		—			(150	)		12			—			12
Deferred directors’ compensation		—		125		—			—			125			—			125
Other comprehensive income		—		—		34,481			—			34,481			—			34,481
Net (loss) income		—		—		—			(53,350	)		(53,350	)		67			(53,283	)
Dividends declared on common stock, $0.62 per share		—		—		—			(83,920	)		(83,920	)		—			(83,920	)
Contributions from non-controlling interests		—		—		—			—			—			8,108			8,108
Distributions to non-controlling interests		—		—		—			—			—			(6,681	)		(6,681	)

Balance at March 31, 2020	$	1,354	$	4,378,851	$	18,248		$	(747,533	)	$	3,650,920		$	23,507		$	3,674,427

Shares of class A common stock issued, net		108		297,491		—			—			297,599			—			297,599
Restricted class A common stock earned		—		8,527		—			—			8,527			—			8,527
Dividends reinvested		—		165		—			(152	)		13			—			13
Deferred directors’ compensation		—		125		—			—			125			—			125
Other comprehensive loss		—		—		(9,323	)		—			(9,323	)		—			(9,323	)
Net income		—		—		—			17,544			17,544			961			18,505
Dividends declared on common stock, $0.62 per share		—		—		—			(90,642	)		(90,642	)		—			(90,642	)
Distributions to non-controlling interests		—		—		—			—			—			(3,447	)		(3,447	)

Balance at June 30, 2020	$	1,462	$	4,685,159	$	8,925		$	(820,783	)	$	3,874,763		$	21,021		$	3,895,784


	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


	Six Months Ended June 30,
	2020			2019
Cash flows from operating activities
Net (loss) income	$	(34,780	)	$	152,418
Adjustments to reconcile net (loss) income to net cash provided by operating activities
Satisfaction of management and incentive fees in stock		19,277			—
Non-cash compensation expense		17,329			15,522
Amortization of deferred fees on loans and debt securities		(28,325	)		(28,511	)
Amortization of deferred financing costs and premiums/ discount on debt obligations		18,747			15,232
Increase in current expected credit loss reserve		179,521			—
Changes in assets and liabilities, net
Other assets		7,778			(1,285	)
Other liabilities		(3,839	)		3,808

Net cash provided by operating activities		175,708			157,184

Cash flows from investing activities
Origination and fundings of loans receivable		(1,240,642	)		(1,922,219	)
Principal collections and sales proceeds from loans receivable and debt securities		928,348			1,807,121
Origination and exit fees received on loans receivable		11,969			17,721
Receipts under derivative financial instruments		85,465			9,893
Payments under derivative financial instruments		(28,488	)		(2,941	)
Collateral deposited under derivative agreements		(191,540	)		(9,090	)
Return of collateral deposited under derivative agreements		200,160			9,090

Net cash used in investing activities		(234,728	)		(90,425	)


	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


	Net Book Value of Loans Receivable by Year of Origination (1)(2)
	As of June 30, 2020
	2020		2019		2018		2017		2016		Prior		Total
U.S. loans
1	$	20,362	$	199,351	$	—	$	43,979	$	22,153	$	—	$	285,845
2		—		86,727		1,907,488		758,791		79,947		223,466		3,056,419
3		586,916		2,404,636		1,625,490		1,116,969		229,517		228,698		6,192,226
4		65,860		165,782		1,042,967		63,212		110,158		—		1,447,979
5		—		—		—		—		—		—		—

Total U.S. loans	$	673,138	$	2,856,496	$	4,575,945	$	1,982,951	$	441,775	$	452,164	$	10,982,469

Non-U.S. loans
1	$	—	$	—	$	117,180	$	—	$	—	$	—	$	117,180
2		—		—		—		87,222		—		—		87,222
3		96,634		2,423,414		430,690		—		103,880		—		3,054,618
4		—		231,923		—		—		—		—		231,923
5		—		—		—		—		—		—		—

Total Non-U.S. loans	$	96,634	$	2,655,337	$	547,870	$	87,222	$	103,880	$	—	$	3,490,943

Unique loans
1	$	—	$	—	$	—	$	—	$	—	$	—	$	—
2		—		—		—		—		—		—		—
3		—		—		178,505		—		—		83,658		262,163
4		—		294,492		976,675		—		—		—		1,271,167
5		—		—		—		—		—		—		—

Total unique loans	$	—	$	294,492	$	1,155,180	$	—	$	—	$	83,658	$	1,533,330

Impaired loans
1	$	—	$	—	$	—	$	—	$	—	$	—	$	—
2		—		—		—		—		—		—		—
3		—		—		—		—		—		—		—
4		—		—		—		—		—		—		—
5		—		—		279,874		—		—		52,787		332,661

Total impaired loans	$	—	$	—	$	279,874	$	—	$	—	$	52,787	$	332,661

Total loans receivable
1	$	20,362	$	199,351	$	117,180	$	43,979	$	22,153	$	—	$	403,025
2		—		86,727		1,907,488		846,013		79,947		223,466		3,143,641
3		683,550		4,828,050		2,234,685		1,116,969		333,397		312,356		9,509,007
4		65,860		692,197		2,019,642		63,212		110,158		—		2,951,069
5		—		—		279,874		—		—		52,787		332,661

Total loans receivable	$	769,772	$	5,806,325	$	6,558,869	$	2,070,173	$	545,655	$	588,609	$	16,339,403

CECL reserve														(178,050	)

Loans receivable, net													$	16,161,353


	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


	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%


	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


	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


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


	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	%


	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		$	—


	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


	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

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

The weighted-average cash coupon and
all-in
yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR, GBP LIBOR, EURIBOR, BBSY, and CDOR, as applicable to each loan. As of ~~September~~June 30, ~~2017,~~2020, 99% of our ~~floating rate loans were indexed to various benchmark rates, with 91% of floating rate~~ loans by principal balance earned a floating rate of interest, primarily indexed to USD ~~LIBOR. In addition, $273.9 million~~LIBOR, and $12.6 billion of ~~our floating rate~~such loans earned interest based on floors that are above the applicable ~~index, with an average floor~~index. The other 1% of ~~1.24%,~~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 ~~September~~June 30, ~~2017.~~2020 and December 31, 2019, respectively, for purposes of the weighted-averages. As of December 31, ~~2016,~~2019, 99% of our loans by total loan exposure earned a floating rate ~~loans were indexed to various benchmark rates, with 84%~~ of ~~floating rate loans~~interest, primarily indexed to USD ~~LIBOR. In addition, $216.3 million~~LIBOR, and $6.1 billion of ~~our floating rate~~such loans earned interest based on floors that are above the applicable ~~index, with an average floor of 1.27%, as of December 31, 2016.~~index. In addition to cash coupon,
all-in
yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, ~~and~~as well as the accrual of exit fees. ~~Cash coupon and all-in yield assume applicable floating benchmark rates for weighted-average calculation.~~

Maximum maturity assumes all extension options are exercised by the borrower, however our loans may be repaid prior to such date. As of ~~September~~June 30, ~~2017, 72%~~2020, 51% of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and ~~28%~~49% were open to repayment by the borrower without penalty. As of December 31, ~~2016, 64%~~2019, 61% of our loans by principal balance were subject to yield maintenance or other prepayment restrictions and ~~36%~~39% were open to repayment by the borrower without penalty.