Financial Data and Key Metrics Changes - In Q2 2023, the company reported distributable earnings (DE) of $0.79 per share, consistent with Q1 levels and up 18% year-over-year, covering the dividend by 127% [2][23] - GAAP net income for the quarter was $0.59 per share, reflecting a decrease from $0.68 per share in Q1 due to an incremental $28 million CECL reserve [46][103] - Total liquidity reached a record $1.8 billion, with an adjusted debt-to-equity ratio of 3.4 times, down from 3.5 times in the previous quarter [31][33] Business Line Data and Key Metrics Changes - The loan portfolio decreased by $1 billion as repayments outpaced loan funding, which was limited to existing loans [8] - The multifamily segment, comprising 26% of the portfolio, continues to perform well, with market rent growth 35% higher than the national average [17] - The company upgraded eight loans this quarter, including two from four-rated to three-rated, indicating cash flow recovery and significant paydowns [26] Market Data and Key Metrics Changes - The company observed a healthy mix of sales and refinancings, collecting $1.5 billion in repayments, including over $350 million from office loans [96] - The office segment remains challenged, with downgrades reflecting ongoing market dynamics, but only 10% of the portfolio is watch-listed or impaired [25][64] - Industrial and essential retail sectors are performing robustly, with hotels in urban locations showing sustained revenue per available room (RevPAR) above 2019 levels [27] Company Strategy and Development Direction - The company is focused on a proactive derisking strategy, managing its portfolio through tailored approaches to enhance credit positions and sponsor commitments [6][15] - There is a high bar for new investments, but the opportunity set is expanding with increased loan requests and evaluations of multiple loan portfolio acquisitions [19][45] - The company aims to maintain a conservative balance sheet while prioritizing optionality and capital preservation [97] Management's Comments on Operating Environment and Future Outlook - Management noted that while credit outcomes for challenged assets will take time to materialize, the overall portfolio's earnings power provides a cushion against deterioration [75] - The company is optimistic about the liquidity returning to the market, which is expected to improve transaction activity [51] - Management emphasized the importance of maintaining a strong earnings power and dividend coverage to navigate the current economic environment [70] Other Important Information - The company increased its general reserve by $11 million to $166 million, reflecting a comprehensive review of risks in the portfolio [33] - The overall portfolio is 96% performing, with limited tough credit situations [34] - The company has no corporate debt maturities until 2026, providing stability in its capital structure [32] Q&A Session Summary Question: Can you provide details on the loans sold and their underlying collateral? - Management confirmed that one loan was a large mixed-use office asset, and the other was a parking portfolio, both sold at par to enhance liquidity [39][50] Question: What is the outlook for repayments and transaction activity? - Management indicated an increase in transaction activity and liquidity compared to the previous quarter, with expectations for continued repayments [40][51] Question: Why not consider offering preferred equity to borrowers for relief? - Management acknowledged the potential for preferred equity but emphasized a historical focus on senior lending while remaining open to creative solutions [58][70] Question: How does the company view the stability of book value amid provisioning? - Management believes that while there may be some lumpiness in quarters, the overall earnings power of the portfolio provides a meaningful cushion against credit deterioration [72][75] Question: What drove the increase in CECL reserves for non-US loans? - Management explained that the increase was due to macro metrics affecting the general reserve, not specific impairment decisions [86][89]

PART I. FINANCIAL INFORMATION [ITEM 1. FINANCIAL STATEMENTS](index=5&type=section&id=ITEM%201.%20FINANCIAL%20STATEMENTS) The unaudited consolidated financial statements detail the company's financial position, operations, and equity changes [Consolidated Balance Sheets](index=5&type=section&id=Consolidated%20Balance%20Sheets) Consolidated Balance Sheets (in thousands) | Item | June 30, 2023 | December 31, 2022 | | :--- | :--- | :--- | | **Assets** | | | | Cash and cash equivalents | $482,856 | $291,340 | | Loans receivable, net | $24,118,874 | $24,691,743 | | Other assets | $260,906 | $370,902 | | **Total Assets** | **$24,862,636** | **$25,353,985** | | **Liabilities** | | | | Secured debt, net | $13,431,039 | $13,528,164 | | Securitized debt obligations, net | $2,666,414 | $2,664,010 | | Asset-specific debt, net | $870,147 | $942,503 | | Loan participations sold, net | $235,857 | $224,232 | | Term loans, net | $2,108,015 | $2,114,549 | | Senior secured notes, net | $395,760 | $395,166 | | Convertible notes, net | $295,208 | $514,257 | | Other liabilities | $294,007 | $426,904 | | **Total Liabilities** | **$20,296,447** | **$20,809,785** | | **Equity** | | | | Total Blackstone Mortgage Trust, Inc stockholders' equity | $4,540,662 | $4,518,794 | | Non-controlling interests | $25,527 | $25,406 | | **Total Equity** | **$4,566,189** | **$4,544,200** | | **Total Liabilities and Equity** | **$24,862,636** | **$25,353,985** | - Assets of consolidated variable interest entities (VIEs) totaled **$3.2 billion** and liabilities totaled **$2.7 billion** as of June 30, 2023 and December 31, 2022, which can only be used to settle obligations of each respective VIE[22](index=22&type=chunk) [Consolidated Statements of Operations](index=6&type=section&id=Consolidated%20Statements%20of%20Operations) Consolidated Statements of Operations (in thousands, except per share data) | Item | Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | | :--- | :--- | :--- | :--- | :--- | | Interest and related income | $521,892 | $283,687 | $1,013,276 | $518,119 | | Less: Interest and related expenses | $344,549 | $136,619 | $661,746 | $237,333 | | **Income from loans and other investments, net** | **$177,343** | **$147,068** | **$351,530** | **$280,786** | | Management and incentive fees | $32,815 | $27,065 | $63,865 | $50,551 | | General and administrative expenses | $13,022 | $12,409 | $25,887 | $24,769 | | **Total other expenses** | **$45,837** | **$39,474** | **$89,752** | **$75,320** | | Increase in current expected credit loss reserve | $(27,807) | $(12,983) | $(37,630) | $(10,446) | | Income before income taxes | $103,699 | $94,611 | $224,148 | $195,020 | | Income tax provision | $1,202 | $746 | $3,095 | $892 | | **Net income** | **$102,497** | **$93,865** | **$221,053** | **$194,128** | | Net income attributable to Blackstone Mortgage Trust, Inc | $101,651 | $93,250 | $219,408 | $192,937 | | Basic Net income per share | $0.59 | $0.55 | $1.27 | $1.14 | | Diluted Net income per share | $0.58 | $0.54 | $1.25 | $1.12 | [Consolidated Statements of Comprehensive Income](index=7&type=section&id=Consolidated%20Statements%20of%20Comprehensive%20Income) Consolidated Statements of Comprehensive Income (in thousands) | Item | Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | | :--- | :--- | :--- | :--- | :--- | | Net income | $102,497 | $93,865 | $221,053 | $194,128 | | Unrealized gain (loss) on foreign currency translation | $28,469 | $(130,207) | $50,328 | $(175,429) | | Realized and unrealized (loss) gain on derivative financial instruments | $(25,557) | $128,685 | $(49,609) | $174,199 | | **Other comprehensive income (loss)** | **$2,912** | **$(1,522)** | **$719** | **$(1,230)** | | **Comprehensive income** | **$105,409** | **$92,343** | **$221,772** | **$192,898** | | Comprehensive income attributable to Blackstone Mortgage Trust, Inc | $104,563 | $91,728 | $220,127 | $191,707 | [Consolidated Statements of Changes in Equity](index=8&type=section&id=Consolidated%20Statements%20of%20Changes%20in%20Equity) Consolidated Statements of Changes in Equity (in thousands) | Item | Balance at Dec 31, 2022 | Balance at Mar 31, 2023 | Balance at Jun 30, 2023 | | :--- | :--- | :--- | :--- | | Class A Common Stock | $1,717 | $1,723 | $1,723 | | Additional Paid-In Capital | $5,475,804 | $5,483,740 | $5,491,640 | | Accumulated Other Comprehensive Income (Loss) | $10,022 | $7,828 | $10,740 | | Accumulated Deficit | $(968,749) | $(958,064) | $(963,441) | | Blackstone Stockholders' Equity | $4,518,794 | $4,535,227 | $4,540,662 | | Non-Controlling Interests | $25,406 | $25,472 | $25,527 | | **Total Equity** | **$4,544,200** | **$4,560,699** | **$4,566,189** | **Key Changes (Dec 31, 2022 to Jun 30, 2023):** * Net income: $117,757 (Q1 2023) + $101,651 (Q2 2023) = $219,408 * Dividends declared on common stock: $(107,072) (Q1 2023) + $(107,028) (Q2 2023) = $(214,100) * Other comprehensive income (loss): $(2,194) (Q1 2023) + $2,912 (Q2 2023) = $718 [Notes to Consolidated Financial Statements](index=12&type=section&id=Notes%20to%20Consolidated%20Financial%20Statements) - **Blackstone Mortgage Trust** operates as a REIT, originating senior loans collateralized by commercial real estate in North America, Europe, and Australia, and is externally managed by BXMT Advisors L.L.C, a subsidiary of Blackstone Inc[86](index=86&type=chunk) - The unaudited consolidated financial statements are prepared in accordance with GAAP for interim financial information and include accounts of wholly-owned subsidiaries, majority-owned subsidiaries, and variable interest entities (VIEs) where the company is the primary beneficiary[87](index=87&type=chunk)[88](index=88&type=chunk)[89](index=89&type=chunk) [1. ORGANIZATION](index=12&type=section&id=1.%20ORGANIZATION) - Blackstone Mortgage Trust, Inc operates as a REIT, originating senior loans collateralized by commercial real estate in North America, Europe, and Australia[86](index=86&type=chunk) - The company conducts its operations as a REIT for U.S federal income tax purposes, aiming to distribute all net taxable income to stockholders and maintain an exclusion from registration under the Investment Company Act of 1940[59](index=59&type=chunk) [2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES](index=12&type=section&id=2.%20SUMMARY%20OF%20SIGNIFICANT%20ACCOUNTING%20POLICIES) - The financial statements are prepared in accordance with GAAP for interim financial information, consolidating accounts of wholly-owned, majority-owned, and primary beneficiary VIEs[87](index=87&type=chunk)[88](index=88&type=chunk)[89](index=89&type=chunk) - The preparation of financial statements requires management to make estimates and assumptions that affect reported amounts of assets, liabilities, revenues, and expenses[92](index=92&type=chunk) [Basis of Presentation](index=12&type=section&id=Basis%20of%20Presentation) - The unaudited consolidated financial statements are prepared in accordance with GAAP for interim financial information and Form 10-Q instructions, with all necessary adjustments consisting of normal recurring items[87](index=87&type=chunk) [Principles of Consolidation](index=12&type=section&id=Principles%20of%20Consolidation) - The company consolidates entities controlled through majority ownership or voting rights, and Variable Interest Entities (VIEs) where it is the primary beneficiary[89](index=89&type=chunk) - The Multifamily Joint Venture, where the company contributed **85% of equity**, is consolidated due to controlling financial interest, with non-controlling interests representing Walker & Dunlop's share[91](index=91&type=chunk) [Use of Estimates](index=13&type=section&id=Use%20of%20Estimates) - Preparation of consolidated financial statements requires estimates and assumptions affecting reported asset/liability amounts and revenue/expense disclosures, with actual results potentially differing materially[92](index=92&type=chunk) [Revenue Recognition](index=13&type=section&id=Revenue%20Recognition) - Interest income from loans receivable is recognized over the life of each investment using the effective interest method on an accrual basis[93](index=93&type=chunk) [Cash and Cash Equivalents](index=13&type=section&id=Cash%20and%20Cash%20Equivalents) - Cash and cash equivalents include cash in banks and liquid investments with original maturities of three months or less[63](index=63&type=chunk)[94](index=94&type=chunk) [Loans Receivable](index=13&type=section&id=Loans%20Receivable) - The company originates and purchases commercial real estate debt and related instruments, generally held as long-term investments at amortized cost[64](index=64&type=chunk) [Current Expected Credit Losses Reserve](index=13&type=section&id=Current%20Expected%20Credit%20Losses%20Reserve) - The CECL reserve reflects the current estimate of potential credit losses for loans, recognized through net income[65](index=65&type=chunk)[68](index=68&type=chunk)[97](index=97&type=chunk) - Impaired loans are assessed individually by comparing the estimated fair value of underlying collateral (less costs to sell) to the loan's book value[68](index=68&type=chunk) [Contractual Term and Unfunded Loan Commitments](index=14&type=section&id=Contractual%20Term%20and%20Unfunded%20Loan%20Commitments) - Expected credit losses are estimated over the contractual term of each loan, adjusted for expected repayments[69](index=69&type=chunk)[98](index=98&type=chunk)[99](index=99&type=chunk) [Credit Quality Indicator](index=15&type=section&id=Credit%20Quality%20Indicator) - The primary credit quality indicator for CECL reserve is the internal risk rating, assigned quarterly on a **5-point scale** (1=Very Low Risk, 5=Impaired/Loss Likely) based on factors like LTV, debt yield, property type, and market dynamics[72](index=72&type=chunk)[101](index=101&type=chunk) [Estimation of Economic Conditions](index=15&type=section&id=Estimation%20of%20Economic%20Conditions) - The CECL reserve is adjusted for current and future economic conditions, including unemployment, interest rates, inflation, and recession expectations, using licensed macroeconomic forecasts and information from the Manager[73](index=73&type=chunk)[102](index=102&type=chunk) [Derivative Financial Instruments](index=15&type=section&id=Derivative%20Financial%20Instruments) - Derivative financial instruments are classified as other assets or liabilities at fair value[74](index=74&type=chunk)[103](index=103&type=chunk) - Effectiveness of hedges is assessed quarterly; if not highly effective, hedge accounting is discontinued[75](index=75&type=chunk)[76](index=76&type=chunk) [Secured Debt and Asset-Specific Debt](index=16&type=section&id=Secured%20Debt%20and%20Asset-Specific%20Debt) - Investments financed with secured or asset-specific debt are recorded as separate assets and liabilities[77](index=77&type=chunk) - Syndication of non-recourse senior loan interests may remain on the GAAP balance sheet (as a loan participations sold liability) or be recognized as a sale, impacting balance sheet presentation but not stockholders' equity or net income[105](index=105&type=chunk) [Senior Loan Participations](index=16&type=section&id=Senior%20Loan%20Participations) - Proceeds or payments from periodic settlements of derivative instruments are classified in the same section as the underlying hedged item on the consolidated statement of cash flows[132](index=132&type=chunk) [Term Loans](index=16&type=section&id=Term%20Loans) - Term loans are recorded as liabilities, with issue discounts or transaction expenses deferred and amortized as non-cash interest expense over their life[78](index=78&type=chunk)[134](index=134&type=chunk) [Senior Secured Notes](index=16&type=section&id=Senior%20Secured%20Notes) - Senior secured notes are recorded as liabilities, with issue discounts or transaction expenses deferred and amortized as non-cash interest expense over their life[78](index=78&type=chunk) [Convertible Notes](index=16&type=section&id=Convertible%20Notes) - Convertible note proceeds are classified as debt, and shares issuable are included in diluted EPS using the if-converted method if dilutive[106](index=106&type=chunk) [Deferred Financing Costs](index=16&type=section&id=Deferred%20Financing%20Costs) - Deferred financing costs, including issuance and other costs related to debt obligations, are included as a reduction in the net book value of the related liability and amortized as interest expense using the effective interest method over the life of the obligations[135](index=135&type=chunk) [Underwriting Commissions and Offering Costs](index=16&type=section&id=Underwriting%20Commissions%20and%20Offering%20Costs) - Underwriting commissions and offering costs for common stock offerings reduce additional paid-in capital[79](index=79&type=chunk)[107](index=107&type=chunk) [Fair Value of Financial Instruments](index=17&type=section&id=Fair%20Value%20of%20Financial%20Instruments) - ASC 820 defines fair value based on exit price and establishes a hierarchy (Level 1, 2, 3) based on observability of inputs[109](index=109&type=chunk)[110](index=110&type=chunk)[137](index=137&type=chunk) - As of June 30, 2023, **$214.4 million** asset-specific CECL reserve for seven loans was measured at fair value (Level 3) using unobservable inputs like exit capitalization rates (**5.25%-7.75%**) and unlevered discount rates (**7.28%-9.75%**)[111](index=111&type=chunk) - Fair values for various financial instruments are estimated using discounted cash flow methodologies, third-party pricing services, or quoted market prices, depending on the instrument type[112](index=112&type=chunk)[114](index=114&type=chunk)[115](index=115&type=chunk)[116](index=116&type=chunk)[117](index=117&type=chunk)[143](index=143&type=chunk)[144](index=144&type=chunk)[145](index=145&type=chunk)[146](index=146&type=chunk) [Income Taxes](index=18&type=section&id=Income%20Taxes) - The company generally does not reflect provisions for current or deferred income taxes on REIT taxable income, expecting to operate as a REIT and distribute substantially all taxable income[147](index=147&type=chunk) [Stock-Based Compensation](index=18&type=section&id=Stock-Based%20Compensation) - Stock-based compensation for awards to the Manager, affiliates' employees, and directors is recognized on a variable basis over the vesting period, based on the value of Class A common stock[148](index=148&type=chunk) [Earnings per Share](index=18&type=section&id=Earnings%20per%20Share) - Basic EPS is computed using the two-class method, based on net earnings allocable to Class A common stock (including restricted stock and deferred stock units)[120](index=120&type=chunk)[149](index=149&type=chunk) [Foreign Currency](index=19&type=section&id=Foreign%20Currency) - Foreign exchange gains/losses on non-U.S dollar transactions are recorded in consolidated statements of operations[121](index=121&type=chunk) [Recent Accounting Pronouncements](index=19&type=section&id=Recent%20Accounting%20Pronouncements) - ASU 2022-02, effective January 1, 2023, eliminates troubled debt restructuring guidance and requires new disclosures for loan refinancings/restructurings[122](index=122&type=chunk) [Reference Rate Reform](index=19&type=section&id=Reference%20Rate%20Reform) - Substantially all floating rate U.S dollar loans and financings transitioned from LIBOR to one-month term SOFR as of June 30, 2023[123](index=123&type=chunk) [3. LOANS RECEIVABLE, NET](index=20&type=section&id=3.%20LOANS%20RECEIVABLE%2C%20NET) Overall Loans Receivable Portfolio Statistics (in thousands) | Metric | June 30, 2023 | December 31, 2022 | | :--- | :--- | :--- | | Number of loans | 191 | 203 | | Principal balance | $24,590,905 | $25,160,343 | | Net book value | $24,118,874 | $24,691,743 | | Unfunded loan commitments | $3,009,727 | $3,806,153 | | Weighted-average cash coupon | +3.43% | +3.44% | | Weighted-average all-in yield | +3.77% | +3.84% | | Weighted-average maximum maturity (years) | 2.7 | 3.1 | - The loan portfolio's weighted-average risk rating remained at **2.9** as of both June 30, 2023, and December 31, 2022[37](index=37&type=chunk) Loans Receivable Activity (in thousands) | Item | As of December 31, 2022 | As of June 30, 2023 | | :--- | :--- | :--- | | Loans Receivable, Net Book Value | $25,017,880 | $24,482,749 | | Loan fundings | $715,507 | $715,507 | | Loan repayments and sales | $(1,471,756) | $(1,471,756) | | Unrealized gain (loss) on foreign currency translation | $185,509 | $185,509 | | Deferred fees and other items | $(8,088) | $(8,088) | | Amortization of fees and other items | $43,697 | $43,697 | | CECL reserve | $(363,875) | $(363,875) | | **Loans Receivable, net** | **$24,691,743** | **$24,118,874** | [Current Expected Credit Loss Reserve](index=25&type=section&id=Current%20Expected%20Credit%20Loss%20Reserve) Loans Receivable CECL Reserve Activity (in thousands) | Investment Pool | CECL Reserve as of Dec 31, 2022 | Increase (decrease) in CECL Reserve (Q1 2023) | CECL Reserve as of Mar 31, 2023 | Increase (decrease) in CECL Reserve (Q2 2023) | CECL Reserve as of Jun 30, 2023 | | :--- | :--- | :--- | :--- | :--- | :--- | | U.S Loans | $67,880 | $5,314 | $73,194 | $1,199 | $74,393 | | Non-U.S Loans | $22,519 | $(2,823) | $19,696 | $9,296 | $28,992 | | Unique Loans | $45,960 | $483 | $46,443 | $(354) | $46,089 | | Impaired Loans | $189,778 | $7,480 | $197,258 | $17,143 | $214,401 | | **Total** | **$326,137** | **$10,454** | **$336,591** | **$27,284** | **$363,875** | - The total loans receivable CECL reserve increased by **$27.3 million** during Q2 2023 to **$363.9 million**, reflecting impairment assessments and macroeconomic conditions[41](index=41&type=chunk) - An aggregate **$214.4 million** asset-specific CECL reserve was related to seven impaired loans with an amortized cost basis of **$1.1 billion** as of June 30, 2023[41](index=41&type=chunk) [Loan Modifications Pursuant to ASC 326](index=28&type=section&id=Loan%20Modifications%20Pursuant%20to%20ASC%20326) - In Q2 2023, three loan modifications were executed for office assets[50](index=50&type=chunk) - The third modification included a nineteen-month term extension, a **2.74% rate reduction**, conversion to fixed rate with partial interest paid in-kind, and a **$4.9 million** borrower repayment at modification[50](index=50&type=chunk) - As of June 30, 2023, the aggregate amortized cost basis for the first two modified loans was **$286.7 million** (risk rating 5), and for the third loan was **$229.9 million** (risk rating 4)[50](index=50&type=chunk) [Multifamily Joint Venture](index=28&type=section&id=Multifamily%20Joint%20Venture) - The Multifamily Joint Venture held **$798.6 million** in loans as of June 30, 2023, a slight increase from **$795.6 million** as of December 31, 2022[10](index=10&type=chunk) [4. OTHER ASSETS AND LIABILITIES](index=28&type=section&id=4.%20OTHER%20ASSETS%20AND%20LIABILITIES) [Other Assets](index=28&type=section&id=Other%20Assets) Components of Other Assets (in thousands) | Item | June 30, 2023 | December 31, 2022 | | :--- | :--- | :--- | | Accrued interest receivable | $188,844 | $189,569 | | Loan portfolio payments held by servicer | $49,087 | $68,489 | | Derivative assets | $12,689 | $7,349 | | Collateral deposited under derivative agreements | $9,020 | $103,110 | | Accounts receivable and other assets | $674 | $1,318 | | Prepaid expenses | $592 | $1,067 | | **Total** | **$260,906** | **$370,902** | [Other Liabilities](index=29&type=section&id=Other%20Liabilities) Components of Other Liabilities (in thousands) | Item | June 30, 2023 | December 31, 2022 | | :--- | :--- | :--- | | Accrued dividends payable | $106,832 | $106,455 | | Accrued interest payable | $72,594 | $80,263 | | Secured debt repayments pending servicer remittance | $36,815 | $60,585 | | Accrued management and incentive fees payable | $32,815 | $33,830 | | Derivative liabilities | $19,962 | $119,665 | | Current expected credit loss reserve for unfunded loan commitments | $16,272 | $16,380 | | Accounts payable and other liabilities | $8,717 | $9,726 | | **Total** | **$294,007** | **$426,904** | [Current Expected Credit Loss Reserve for Unfunded Loan Commitments](index=29&type=section&id=Current%20Expected%20Credit%20Loss%20Reserve%20for%20Unfunded%20Loan%20Commitments) - As of June 30, 2023, the company had **$3.0 billion** in unfunded commitments related to 105 loans receivable, impacting expected credit losses[15](index=15&type=chunk) CECL Reserve Activity for Unfunded Loan Commitments (in thousands) | Investment Pool | CECL Reserve as of Dec 31, 2022 | Decrease in CECL Reserve (Q1 2023) | CECL Reserve as of Mar 31, 2023 | (Decrease) increase in CECL Reserve (Q2 2023) | CECL Reserve as of Jun 30, 2023 | | :--- | :--- | :--- | :--- | :--- | :--- | | U.S Loans | $11,748 | $(148) | $11,600 | $(404) | $11,196 | | Non-U.S Loans | $4,632 | $(483) | $4,149 | $927 | $5,076 | | **Total** | **$16,380** | **$(631)** | **$15,749** | **$523** | **$16,272** | [5. SECURED DEBT, NET](index=30&type=section&id=5.%20SECURED%20DEBT%2C%20NET) Secured Debt (in thousands) | Item | June 30, 2023 | December 31, 2022 | | :--- | :--- | :--- | | Secured credit facilities | $13,451,427 | $13,549,748 | | Acquisition facility | — | — | | Total secured debt | $13,451,427 | $13,549,748 | | Deferred financing costs | $(20,388) | $(21,584) | | **Net book value of secured debt** | **$13,431,039** | **$13,528,164** | - During the six months ended June 30, 2023, the company obtained approval for **$73.9 million** of new borrowings against **$92.4 million** of collateral assets[163](index=163&type=chunk) [Secured Credit Facilities](index=30&type=section&id=Secured%20Credit%20Facilities) - Secured credit facilities are bilateral agreements used to finance diversified pools of senior loan collateral, structured for currency, index, and term-matched financing without capital markets-based mark-to-market provisions[19](index=19&type=chunk) Secured Credit Facilities by Spread (Six Months Ended June 30, 2023, in thousands) | Spread | New Financings | Total Borrowings | Wtd Avg All-in Cost | Collateral | Wtd Avg All-in Yield | Net Interest Margin | | :--- | :--- | :--- | :--- | :--- | :--- | :--- | | +1.50% or less | $1,329,508 | $7,433,204 | +1.53% | $10,465,647 | +3.24% | +1.71% | | +1.51% to +1.75% | $368,265 | $2,246,223 | +1.88% | $3,538,815 | +3.73% | +1.85% | | +1.76% to +2.00% | $405,723 | $1,514,541 | +2.16% | $2,483,240 | +4.14% | +1.98% | | +2.01% or more | $1,246,650 | $2,355,780 | +2.63% | $3,207,088 | +4.78% | +2.15% | | **Total** | **$3,350,146** | **$13,549,748** | **+1.85%** | **$19,694,790** | **+3.70%** | **+1.85%** | - As of June 30, 2023, **$1.3 billion** was available to be drawn at the company's discretion under its credit facilities[4](index=4&type=chunk) [Acquisition Facility](index=31&type=section&id=Acquisition%20Facility) - The company has a **$100.0 million** full recourse secured credit facility for financing eligible first mortgage originations for up to nine months, with a variable borrowing cost and maturity date of April 3, 2024[5](index=5&type=chunk) - No borrowings were made under the acquisition facility during the six months ended June 30, 2023, with interest expense of **$447,000** recorded[9](index=9&type=chunk) [Financial Covenants](index=32&type=section&id=Financial%20Covenants) - The company is subject to financial covenants including an EBITDA to fixed charges ratio not less than **1.4 to 1.0**, tangible net worth not less than **$3.6 billion** (plus 75%-85% of future equity proceeds), cash liquidity greater than **$10.0 million** or **5%** of recourse indebtedness, and indebtedness not exceeding **83.33%** of total assets[6](index=6&type=chunk) - As of June 30, 2023, and December 31, 2022, the company was in compliance with all secured debt covenants[6](index=6&type=chunk) [6. SECURITIZED DEBT OBLIGATIONS, NET](index=33&type=section&id=6.%20SECURITIZED%20DEBT%20OBLIGATIONS%2C%20NET) - The company finances certain loan pools through CLOs, which are consolidated as VIEs and issue non-recourse securitized debt obligations[173](index=173&type=chunk) Securitized Debt Obligations and Collateral Assets (June 30, 2023, in thousands) | CLO | Senior CLO Securities Outstanding (Count) | Principal Balance | Book Value | Wtd Avg Yield/Cost | Term | | :--- | :--- | :--- | :--- | :--- | :--- | | 2021 FL4 | 1 | $803,750 | $800,779 | +1.69% | May 2038 | | 2020 FL3 | 1 | $808,750 | $808,171 | +2.15% | Nov 2037 | | 2020 FL2 | 1 | $1,059,234 | $1,057,464 | +1.55% | Feb 2038 | | **Total Senior CLO Securities Outstanding** | **3** | **$2,671,734** | **$2,666,414** | **+1.77%** | | | **Underlying Collateral Assets (Count)** | **61** | **$3,316,109** | **$3,316,109** | **+3.25%** | | Securitized Debt Obligations and Collateral Assets (December 31, 2022, in thousands) | CLO | Senior CLO Securities Outstanding (Count) | Principal Balance | Book Value | Wtd Avg Yield/Cost | Term | | :--- | :--- | :--- | :--- | :--- | :--- | | 2021 FL4 | 1 | $803,750 | $799,626 | +1.57% | May 2038 | | 2020 FL3 | 1 | $808,750 | $806,757 | +2.14% | Nov 2037 | | 2020 FL2 | 1 | $1,061,041 | $1,057,627 | +1.55% | Feb 2038 | | **Total Senior CLO Securities Outstanding** | **3** | **$2,673,541** | **$2,664,010** | **+1.73%** | | | **Underlying Collateral Assets (Count)** | **63** | **$3,317,916** | **$3,317,916** | **+3.38%** | | - Interest expense related to securitized debt obligations was **$43.3 million** for Q2 2023 and **$83.1 million** for the six months ended June 30, 2023[183](index=183&type=chunk) [7. ASSET-SPECIFIC DEBT, NET](index=34&type=section&id=7.%20ASSET-SPECIFIC%20DEBT%2C%20NET) Asset-Specific Debt (in thousands) | Item | Count | Principal Balance | Book Value (June 30, 2023) | Wtd Avg Yield/Cost | Wtd Avg Term | | :--- | :--- | :--- | :--- | :--- | :--- | | Financing provided | 2 | $875,616 | $870,147 | +3.25% | Feb 2026 | | Collateral assets | 2 | $1,040,020 | $1,030,689 | +4.01% | Feb 2026 | | Item | Count | Principal Balance | Book Value (Dec 31, 2022) | Wtd Avg Yield/Cost | Wtd Avg Term | | :--- | :--- | :--- | :--- | :--- | :--- | | Financing provided | 4 | $950,278 | $942,503 | +3.29% | Jan 2026 | | Collateral assets | 4 | $1,094,450 | $1,081,035 | +4.73% | Jan 2026 | - Asset-specific debt is non-recourse and term-matched to corresponding collateral loans, with floating rates currency and index-matched to applicable benchmark rates[211](index=211&type=chunk) [8. LOAN PARTICIPATIONS SOLD, NET](index=35&type=section&id=8.%20LOAN%20PARTICIPATIONS%20SOLD%2C%20NET) Loan Participations Sold (in thousands) | Item | Count | Principal Balance | Book Value (June 30, 2023) | Wtd Avg Yield/Cost | Term | | :--- | :--- | :--- | :--- | :--- | :--- | | Senior Participation | 1 | $236,276 | $235,857 | +3.22% | Mar 2027 | | Total Loan | 1 | $295,345 | $293,639 | +4.86% | Mar 2027 | | Item | Count | Principal Balance | Book Value (Dec 31, 2022) | Wtd Avg Yield/Cost | Term | | :--- | :--- | :--- | :--- | :--- | :--- | | Senior Participation | 1 | $224,744 | $224,232 | +3.22% | Mar 2027 | | Total Loan | 1 | $280,930 | $278,843 | +4.86% | Mar 2027 | - The sale of non-recourse senior interests in loans through participation agreements generally does not qualify for sale accounting, resulting in the whole loan as an asset and participation as a liability on the balance sheet[187](index=187&type=chunk) - Interest expense related to loan participations sold was **$4.2 million** for Q2 2023 and **$8.0 million** for the six months ended June 30, 2023[213](index=213&type=chunk) [9. TERM LOANS, NET](index=35&type=section&id=9.%20TERM%20LOANS%2C%20NET) Outstanding Senior Term Loan Facilities (June 30, 2023, in thousands) | Term Loan | Face Value | Interest Rate | All-in Cost | Maturity | | :--- | :--- | :--- | :--- | :--- | | B-1 Term Loan | $915,609 | +2.36% | +2.65% | Apr 23, 2026 | | B-3 Term Loan | $413,055 | +2.86% | +3.54% | Apr 23, 2026 | | B-4 Term Loan | $817,556 | +3.50% | +4.11% | May 9, 2029 | | **Total face value** | **$2,146,220** | | | | Net Book Value of Term Loans (in thousands) | Item | June 30, 2023 | December 31, 2022 | | :--- | :--- | :--- | | Face value | $2,146,220 | $2,157,218 | | Deferred financing costs and unamortized discount | $(38,205) | $(42,669) | | **Net book value** | **$2,108,015** | **$2,114,549** | - Term Loans are partially amortizing (**1.0% per annum** quarterly installments) and include issue discounts and transaction expenses amortized into interest expense[214](index=214&type=chunk) - The Term Loans contain a financial covenant that indebtedness shall not exceed **83.33%** of total assets, with which the company was in compliance as of June 30, 2023, and December 31, 2022[191](index=191&type=chunk) [10. SENIOR SECURED NOTES, NET](index=36&type=section&id=10.%20SENIOR%20SECURED%20NOTES%2C%20NET) Outstanding Senior Secured Notes (June 30, 2023, in thousands) | Item | Face Value | Interest Rate | All-in Cost | Maturity | | :--- | :--- | :--- | :--- | :--- | | Senior Secured Notes | $400,000 | 3.75% | 4.04% | Jan 15, 2027 | Net Book Value of Senior Secured Notes (in thousands) | Item | June 30, 2023 | December 31, 2022 | | :--- | :--- | :--- | | Face value | $400,000 | $400,000 | | Deferred financing costs | $(4,240) | $(4,834) | | **Net book value** | **$395,760** | **$395,166** | - Transaction expenses of **$6.3 million** for Senior Secured Notes are amortized into interest expense[217](index=217&type=chunk) - The Senior Secured Notes include a financial covenant that indebtedness shall not exceed **83.33%** of total assets, with which the company was in compliance as of June 30, 2023, and December 31, 2022[218](index=218&type=chunk) [11. CONVERTIBLE NOTES, NET](index=37&type=section&id=11.%20CONVERTIBLE%20NOTES%2C%20NET) - During the six months ended June 30, 2023, the company repaid the aggregate **$220.0 million** principal amount of its March 2018 convertible senior notes at maturity[220](index=220&type=chunk) Outstanding Convertible Senior Notes (June 30, 2023, in thousands) | Convertible Notes Issuance | Face Value | Interest Rate | All-in Cost | Conversion Price | Maturity | | :--- | :--- | :--- | :--- | :--- | :--- | | March 2022 | $300,000 | 5.50% | 5.94% | $36.27 | Mar 15, 2027 | Net Book Value of Convertible Notes (in thousands) | Item | June 30, 2023 | December 31, 2022 | | :--- | :--- | :--- | | Face value | $300,000 | $520,000 | | Deferred financing costs and unamortized discount | $(4,792) | $(5,743) | | **Net book value** | **$295,208** | **$514,257** | Interest Expense Related to Convertible Notes (in thousands) | Item | Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | | :--- | :--- | :--- | :--- | :--- | | Cash coupon | $4,125 | $8,132 | $10,389 | $15,384 | | Discount and issuance cost amortization | $319 | $790 | $950 | $1,578 | | **Total interest expense** | **$4,444** | **$8,922** | **$11,339** | **$16,962** | [12. DERIVATIVE FINANCIAL INSTRUMENTS](index=37&type=section&id=12.%20DERIVATIVE%20FINANCIAL%20INSTRUMENTS) - The company uses derivative financial instruments to minimize risks and costs associated with investments and financing, which may or may not qualify for hedge accounting[222](index=222&type=chunk) Fair Value of Derivative Financial Instruments (in thousands) | Item | June 30, 2023 (Asset) | Dec 31, 2022 (Asset) | June 30, 2023 (Liability) | Dec 31, 2022 (Liability) | | :--- | :--- | :--- | :--- | :--- | | Foreign exchange contracts (designated hedges) | $11,060 | $501 | $19,087 | $111,573 | | Interest rate derivatives (designated hedges) | $1,388 | — | — | — | | Foreign exchange contracts (non-designated hedges) | $241 | $6,848 | $875 | $8,092 | | Interest rate derivatives (non-designated hedges) | — | — | — | — | | **Total Derivatives** | **$12,689** | **$7,349** | **$19,962** | **$119,665** | [Net Investment Hedges of Foreign Currency Risk](index=38&type=section&id=Net%20Investment%20Hedges%20of%20Foreign%20Currency%20Risk) - Foreign currency forward contracts are used to protect the value or fix the amount of international investments or cash flows in U.S dollars[199](index=199&type=chunk) Outstanding Foreign Exchange Derivatives (Net Investment Hedges, Notional Amounts in thousands) | Currency | June 30, 2023 (Number of Instruments) | June 30, 2023 (Notional Amount) | Dec 31, 2022 (Number of Instruments) | Dec 31, 2022 (Notional Amount) | | :--- | :--- | :--- | :--- | :--- | | Buy USD / Sell SEK Forward | 2 | kr 1,004,507 | 2 | kr 1,003,626 | | Buy USD / Sell GBP Forward | 5 | £ 706,195 | 6 | £ 690,912 | | Buy USD / Sell EUR Forward | 7 | € 684,078 | 8 | € 722,311 | | Buy USD / Sell AUD Forward | 5 | A$ 452,074 | 8 | A$ 541,813 | | Buy USD / Sell DKK Forward | 2 | kr 195,656 | 3 | kr 195,019 | | Buy USD / Sell CAD Forward | 2 | C$ 22,189 | 2 | C$ 22,187 | | Buy USD / Sell CHF Forward | 4 | CHF 7,116 | 2 | CHF 5,263 | [Cash Flow Hedges of Interest Rate Risk](index=38&type=section&id=Cash%20Flow%20Hedges%20of%20Interest%20Rate%20Risk) - The company uses interest rate swaps and other derivatives to hedge interest rate risk from fixed vs floating rate mismatches in financing transactions[225](index=225&type=chunk) Outstanding Interest Rate Derivatives (Cash Flow Hedges, June 30, 2023, in thousands) | Interest Rate Derivatives | Number of Instruments | Notional Amount | Fixed Rate | Index | Wtd Avg Maturity (Years) | | :--- | :--- | :--- | :--- | :--- | :--- | | Interest Rate Swaps | 1 | $229,858 | 4.60% | SOFR | 1.4 | - No cash flow hedges of interest rate risk were outstanding as of December 31, 2022[253](index=253&type=chunk) - An estimated **$1.4 million** will be reclassified from accumulated other comprehensive income (loss) as a decrease to interest expense over the twelve months following June 30, 2023[225](index=225&type=chunk) [Financial Statement Impact of Hedges of Foreign Currency and Interest Rate Risks](index=39&type=section&id=Financial%20Statement%20Impact%20of%20Hedges%20of%20Foreign%20Currency%20and%20Interest%20Rate%20Risks) Effect of Derivative Financial Instruments on Consolidated Statements of Operations (in thousands) | Derivatives in Hedging Relationships | Location of Income (Expense) Recognized | Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | | :--- | :--- | :--- | :--- | :--- | :--- | | Designated Hedges | Interest Income | $7,072 | $3,238 | $15,479 | $4,982 | | Designated Hedges | Interest Expense | $75 | — | $75 | — | | Non-Designated Hedges | Interest Income | $51 | $(7) | $68 | $(8) | | Non-Designated Hedges | Interest Expense | $(43) | $55 | $(62) | $65 | | **Total** | | **$7,155** | **$3,286** | **$15,560** | **$5,039** | Amount of Gain (Loss) on Derivatives Recognized in OCI (in thousands) | Derivatives in Hedging Relationships | Three Months Ended June 30, 2023 | Six Months Ended June 30, 2023 | | :--- | :--- | :--- | | Foreign exchange contracts (Net Investment Hedges) | $(26,945) | $(50,997) | | Interest rate derivatives (Cash Flow Hedges) | $1,388 | $1,388 | | **Total** | **$(25,557)** | **$(49,609)** | - During the three and six months ended June 30, 2023, net cash settlements of **$7.8 million** and **$139.2 million**, respectively, were paid on foreign currency forward contracts, included in accumulated other comprehensive income[205](index=205&type=chunk) [Credit-Risk Related Contingent Features](index=40&type=section&id=Credit-Risk%20Related%20Contingent%20Features) - Agreements with derivative counterparties may trigger default on derivative obligations if the company defaults on any indebtedness[229](index=229&type=chunk) - As of June 30, 2023, **$9.0 million** in collateral was posted with counterparties, down from **$103.1 million** as of December 31, 2022[229](index=229&type=chunk) [13. EQUITY](index=40&type=section&id=13.%20EQUITY) [Authorized Capital](index=40&type=section&id=Authorized%20Capital) - The company is authorized to issue up to **500,000,000 shares** of stock, consisting of **400,000,000 Class A common stock** and **100,000,000 preferred stock**[258](index=258&type=chunk) [Class A Common Stock and Deferred Stock Units](index=40&type=section&id=Class%20A%20Common%20Stock%20and%20Deferred%20Stock%20Units) - Holders of Class A common stock have voting rights and are entitled to dividends[230](index=230&type=chunk) Common Stock Outstanding (Six Months Ended June 30) | Item | 2023 | 2022 | | :--- | :--- | :--- | | Beginning balance | 172,106,593 | 168,543,370 | | Issuance of class A common stock | 3,613 | 1,678,420 | | Issuance of restricted class A common stock, net | 505,432 | 436,831 | | Issuance of deferred stock units | 34,126 | 27,455 | | **Ending balance** | **172,649,764** | **170,686,076** | [Dividend Reinvestment and Direct Stock Purchase Plan](index=41&type=section&id=Dividend%20Reinvestment%20and%20Direct%20Stock%20Purchase%20Plan) - The company has a dividend reinvestment and direct stock purchase plan, with **10,000,000 shares** of Class A common stock registered for issuance[233](index=233&type=chunk) - During the six months ended June 30, 2023, **3,613 shares** of Class A common stock were issued under the dividend reinvestment component[233](index=233&type=chunk) [At the Market Stock Offering Program](index=41&type=section&id=At%20the%20Market%20Stock%20Offering%20Program) - The company has ATM Agreements to sell up to **$699.1 million** of Class A common stock[234](index=234&type=chunk) - No shares were issued under ATM Agreements during the six months ended June 30, 2023[234](index=234&type=chunk) [Dividends](index=41&type=section&id=Dividends) - The company generally intends to distribute substantially all taxable income to stockholders annually to comply with REIT provisions[235](index=235&type=chunk) Dividend Activity (in thousands, except per share data) | Item | Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | | :--- | :--- | :--- | :--- | :--- | | Dividends declared per share | $0.62 | $0.62 | $1.24 | $1.24 | | Class A common stock dividends declared | $106,832 | $105,583 | $213,648 | $211,158 | | Deferred stock unit dividends declared | $196 | $229 | $452 | $455 | | **Total dividends declared** | **$107,028** | **$105,812** | **$214,100** | **$211,613** | [Earnings Per Share](index=42&type=section&id=Earnings%20Per%20Share) - Basic and diluted EPS are calculated using the two-class method, as unvested restricted Class A common stock qualifies as participating securities[237](index=237&type=chunk) Basic and Diluted Net Income Per Share (in thousands, except per share data) | Item | Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | | :--- | :--- | :--- | :--- | :--- | | **Basic Earnings** | | | | | | Net income | $101,651 | $93,250 | $219,408 | $192,937 | | Weighted-average shares outstanding, basic | 172,615,385 | 170,665,601 | 172,606,914 | 169,963,730 | | Per share amount, basic | $0.59 | $0.55 | $1.27 | $1.14 | | **Diluted Earnings** | | | | | | Net income | $101,651 | $93,250 | $219,408 | $192,937 | | Add back: Interest expense on Convertible Notes, net | $3,556 | $5,913 | $7,111 | $8,313 | | Diluted earnings | $105,207 | $99,163 | $226,519 | $201,250 | | Weighted-average common shares outstanding, diluted | 180,886,445 | 185,009,805 | 180,877,974 | 180,332,341 | | Per share amount, diluted | $0.58 | $0.54 | $1.25 | $1.12 | [Accumulated Other Comprehensive Income](index=43&type=section&id=Accumulated%20Other%20Comprehensive%20Income) - As of June 30, 2023, total accumulated other comprehensive income was **$10.7 million**, primarily from **$210.1 million** in net realized/unrealized gains on derivatives, offset by **$199.4 million** in cumulative unrealized currency translation adjustments[240](index=240&type=chunk) [Non-Controlling Interests](index=43&type=section&id=Non-Controlling%20Interests) - Non-controlling interests represent equity in the Multifamily Joint Venture not owned by the company[241](index=241&type=chunk) [14. OTHER EXPENSES](index=44&type=section&id=14.%20OTHER%20EXPENSES) [Management and Incentive Fees](index=44&type=section&id=Management%20and%20Incentive%20Fees) - The Manager earns a base management fee (**1.50%** of outstanding equity) and an incentive fee (**20%** of Core Earnings exceeding **7.00%** of outstanding Equity over 12 months, provided 3-year Core Earnings are positive)[244](index=244&type=chunk) - Accrued management and incentive fees payable to the Manager were **$32.8 million** as of June 30, 2023, down from **$33.8 million** as of December 31, 2022[245](index=245&type=chunk) - Management fees incurred were **$18.6 million** (Q2 2023) and **$37.2 million** (six months 2023)[270](index=270&type=chunk) [General and Administrative Expenses](index=44&type=section&id=General%20and%20Administrative%20Expenses) General and Administrative Expenses (in thousands) | Item | Three Months Ended June 30, 2023 | Three Months Ended June 30, 2022 | Six Months Ended June 30, 2023 | Six Months Ended June 30, 2022 | | :--- | :--- | :--- | :--- | :--- | | Professional services | $3,291 | $2,693 | $6,570 | $5,390 | | Operating and other costs | $2,066 | $1,298 | $3,997 | $2,311 | | Subtotal | $5,357 | $3,991 | $10,567 | $7,701 | | Non-cash compensation expenses | | | | | | Restricted class A common stock earned | $7,492 | $8,245 | $14,984 | $16,723 | | Director stock-based compensation | $173 | $173 | $336 | $345 | | Subtotal | $7,665 | $8,418 | $15,320 | $17,068 | | **Total general and administrative expenses** | **$13,022** | **$12,409** | **$25,887** | **$24,769** | [15. INCOME TAXES](index=44&type=section&id=15.%20INCOME%20TAXES) - The company operates as a REIT, generally distributing at least **90%** of net taxable income to avoid federal income tax[300](index=300&type=chunk) - Current income tax provision was **$1.2 million** (Q2 2023) and **$3.1 million** (six months 2023), primarily for taxable REIT subsidiaries and state/local taxes[248](index=248&type=chunk) - As of June 30, 2023, the company had estimated Net Operating Losses (NOLs) of **$159.0 million** expiring in 2029, with a full valuation allowance recorded as they are probable to expire unutilized[301](index=301&type=chunk) [16. STOCK-BASED INCENTIVE PLANS](index=45&type=section&id=16.%20STOCK-BASED%20INCENTIVE%20PLANS) - A maximum of **10,400,000 shares** of Class A common stock may be issued under two current stock incentive plans[276](index=276&type=chunk) Movement in Outstanding Restricted Class A Common Stock | Item | Restricted Class A Common Stock | Weighted-Average Grant Date Fair Value Per Share | | :--- | :--- | :--- | | Balance as of December 31, 2022 | 1,883,784 | $27.90 | | Granted | 505,432 | $21.37 | | Vested | (562,645) | $27.32 | | **Balance as of June 30, 2023** | **1,826,571** | **$26.27** | - Outstanding restricted Class A common stock generally vests over three years[304](index=304&type=chunk) [17. FAIR VALUES](index=46&type=section&id=17.%20FAIR%20VALUES) [Assets and Liabilities Measured at Fair Value](index=46&type=section&id=Assets%20and%20Liabilities%20Measured%20at%20Fair%20Value) Assets and Liabilities Measured at Fair Value on a Recurring Basis (in thousands) | Item | June 30, 2023 (Level 1) | June 30, 2023 (Level 2) | June 30, 2023 (Level 3) | June 30, 2023 (Total) | Dec 31, 2022 (Level 1) | Dec 31, 2022 (Level 2) | Dec 31, 2022 (Level 3) | Dec 31, 2022 (Total) | | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | | Derivatives (Assets) | — | $12,689 | — | $12,689 | — | $7,349 | — | $7,349 | | Derivatives (Liabilities) | — | $19,962 | — | $19,962 | — | $119,665 | — | $119,665 | [Fair Value of Financial Instruments](index=46&type=section&id=Fair%20Value%20of%20Financial%20Instruments) Book Value, Face Amount, and Fair Value of Financial Instruments (in thousands) | Financial Instruments | Book Value (June 30, 2023) | Face Amount (June 30, 2023) | Fair Value (June 30, 2023) | Book Value (Dec 31, 2022) | Face Amount (Dec 31, 2022) | Fair Value (Dec 31, 2022) | | :--- | :--- | :--- | :--- | :--- | :--- | :--- | | Cash and cash equivalents | $482,856 | $482,856 | $482,856 | $291,340 | $291,340 | $291,340 | | Loans receivable, net | $24,118,874 | $24,590,905 | $23,849,357 | $24,691,743 | $25,160,343 | $24,445,042 | | Secured debt, net | $13,431,039 | $13,451,427 | $13,047,034 | $13,528,164 | $13,549,748 | $13,121,306 | | Securitized debt obligations, net | $2,666,414 | $2,671,734 | $2,502,526 | $2,664,010 | $2,673,541 | $2,597,377 | | Asset-specific debt, net | $870,147 | $875,616 | $864,934 | $942,503 | $950,278 | $934,815 | | Loan participations sold, net | $235,857 | $236,276 | $229,694 | $224,232 | $224,744 | $217,717 | | Secured term loans, net | $2,108,015 | $2,146,220 | $1,993,927 | $2,114,549 | $2,157,218 | $2,103,943 | | Senior secured notes, net | $395,760 | $400,000 | $335,069 | $395,166 | $400,000 | $343,665 | | Convertible notes, net | $295,208 | $300,000 | $257,823 | $514,257 | $520,000 | $478,232 | - Fair value estimates for cash and cash equivalents and convertible notes use Level 1 inputs[306](index=306&type=chunk) [18. VARIABLE INTEREST ENTITIES](index=47&type=section&id=18.%20VARIABLE%20INTEREST%20ENTITIES) - The company consolidates CLOs as VIEs because it controls their relevant interests and has rights to benefits/obligations to absorb losses through subordinate interests[308](index=308&type=chunk) VIE Assets and Liabilities (in thousands) | Item | June 30, 2023 | December 31, 2022 | | :--- | :--- | :--- | | **Assets** | | | | Loans receivable, net | $3,203,110 | $3,223,920 | | Other assets | $14,946 | $15,995 | | **Total Assets** | **$3,218,056** | **$3,239,915** | | **Liabilities** | | | | Securitized debt obligations, net | $2,666,414 | $2,664,010 | | Other liabilities | $7,314 | $7,234 | | **Total Liabilities** | **$2,673,728** | **$2,671,244** | - Assets held by VIEs are restricted to settling VIE obligations and liabilities are non-recourse to the company[309](index=309&type=chunk) [19. TRANSACTIONS WITH RELATED PARTIES](index=47&type=section&id=19.%20TRANSACTIONS%20WITH%20RELATED%20PARTIES) - Accrued management and incentive fees payable to the Manager were **$32.8 million** (June 30, 2023) and **$33.8 million** (December 31, 2022)[284](index=284&type=chunk) - The Manager held **901,515 shares** of unvested restricted Class A common stock (**$24.5 million** aggregate grant date fair value) as of June 30, 2023[311](index=311&type=chunk) - In Q2 2023, a senior loan to a Blackstone-advised investment vehicle was modified, including maturity extension, borrower equity contribution, partial repayment, and interest rate increase[287](index=287&type=chunk) [20. COMMITMENTS AND CONTINGENCIES](index=48&type=section&id=20.%20COMMITMENTS%20AND%20CONTINGENCIES) [Unfunded Commitments Under Loans Receivable](index=48&type=section&id=Unfunded%20Commitments%20Under%20Loans%20Receivable) - As of June 30, 2023, the company had **$3.0 billion** in aggregate unfunded commitments across 105 loans receivable, with **$1.8 billion** of committed or identified financings, resulting in net unfunded commitments of **$1.2 billion**[313](index=313&type=chunk) - Unfunded commitments are for capital expenditures, construction, leasing, and interest/carry costs, with uncertain timing and amounts depending on collateral asset performance[313](index=313&type=chunk) [Principal Debt Repayments](index=48&type=section&id=Principal%20Debt%20Repayments) Contractual Principal Debt Repayments as of June 30, 2023 (in thousands) | Year | Secured Debt | Asset-Specific Debt | Term Loans | Senior Secured Notes | Convertible Notes | Total | | :--- | :--- | :--- | :--- | :--- | :--- | :--- | | 2023 (remaining) | $218,767 | — | $10,998 | — | — | $229,765 | | 2024 | $2,999,518 | — | $21,997 | — | — | $3,021,515 | | 2025 | $1,433,177 | $741,207 | $21,997 | — | — | $2,196,381 | | 2026 | $4,404,473 | — | $1,302,575 | — | — | $5,707,048 | | 2027 | $3,304,294 | — | $8,258 | $400,000 | $300,000 | $4,012,552 | | Thereafter | $1,091,198 | $134,409 | $780,395 | — | — | $2,006,002 | | **Total obligation** | **$13,451,427** | **$875,616** | **$2,146,220** | **$400,000** | **$300,000** | **$17,173,263** | - Total obligation excludes **$2.7 billion** of consolidated securitized debt, **$1.2 billion** of non-consolidated senior interests, and **$236.3 million** of loan participations sold, as their satisfaction does not require cash outlays from the company[314](index=314&type=chunk) [Board of Directors' Compensation](index=48&type=section&id=Board%20of%20Directors'%20Compensation) - Six independent directors receive annual compensation of **$210,000** each (**$95,000** cash, **$115,000** in deferred stock units or restricted common stock)[315](index=315&type=chunk) [Litigation](index=49&type=section&id=Litigation) - As of June 30, 2023, the company was not involved in any material legal proceedings[317](index=317&type=chunk) [ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS](index=50&type=section&id=ITEM%202.%20MANAGEMENT'S%20DISCUSSION%20AND%20ANALYSIS%20OF%20FINANCIAL%20CONDITION%20AND%20RESULTS%20OF%20OPERATIONS) Management provides its perspective on financial condition, operating results, liquidity, and market factors - The company benefits from Blackstone's real estate platform expertise, which informs its credit and underwriting processes and asset management strategy, especially during market volatility[293](index=293&type=chunk) - The six months ended June 30, 2023, were marked by global market volatility due to inflation, rising interest rates, slowing economic growth, and geopolitical conditions, impacting financial institutions and credit availability[339](index=339&type=chunk) [Introduction](index=50&type=section&id=Introduction) - Blackstone Mortgage Trust is a real estate finance company originating senior loans collateralized by commercial real estate in North America, Europe, and Australia, managed by BXMT Advisors L.L.C, a Blackstone subsidiary[319](index=319&type=chunk) - The company operates as a REIT for U.S federal income tax purposes, generally not subject to federal income taxes if it distributes all net taxable income to stockholders[338](index=338&type=chunk) [Recent Developments](index=50&type=section&id=Recent%20Developments) - Continued inflation and central bank monetary tightening (raising interest rates) have created economic uncertainty, potentially increasing net income but also adversely affecting borrowers and collateral values[320](index=320&type=chunk) - The full impact of recent events and future interest rate/inflation changes remains difficult to predict[320](index=320&type=chunk) [Reference Rate Reform](index=51&type=section&id=Reference%20Rate%20Reform) - Substantially all floating rate U.S dollar loans and related financings transitioned from LIBOR to one-month term SOFR as of June 30, 2023[321](index=321&type=chunk) - British Pound Sterling loans and related financings transitioned from GBP LIBOR to daily compounded SONIA as of June 30, 2023[321](index=321&type=chunk) [I. Key Financial Measures and Indicators](index=51&type=section&id=I.%20Key%20Financial%20Measures%20and%20Indicators) - Key financial measures include earnings per share, dividends declared, Distributable Earnings, and book value per share[322](index=322&type=chunk) [Earnings Per Share and Dividends Declared](index=51&type=section&id=Earnings%20Per%20Share%20and%20Dividends%20Declared) Earnings Per Share and Dividends Declared (in thousands, except per share data) | Item | June 30, 2023 | March 31, 2023 | | :--- | :--- | :--- | | Net income | $101,651 | $117,757 | | Weighted-average shares outstanding, basic | 172,615,385 | 172,598,349 | | Per share amount, basic | $0.59 | $0.68 | | Dividends declared per share | $0.62 | $0.62 | [Distributable Earnings](index=51&type=section&id=Distributable%20Earnings) - Distributable Earnings is a non-GAAP measure, defined as GAAP net income (loss) adjusted for non-cash equity compensation, depreciation/amortization, unrealized gains/losses, and certain other non-cash items[323](index=323&type=chunk)[344](index=344&type=chunk) Distributable Earnings (in thousands) | Item | June 30, 2023 | March 31, 2023 | | :--- | :--- | :--- | | Net income | $101,651 | $117,757 | | Increase in current expected credit loss reserve | $27,807 | $9,823 | | Non-cash compensation expense | $7,665 | $7,655 | | Realized hedging and foreign currency (loss) gain, net | $(130) | $889 | | Adjustments attributable to non-controlling interests, net | $(42) | $(29) | | Other items | $43 | $18 | | **Distributable Earnings** | **$136,994** | **$136,113** | | Weighted-average shares outstanding, basic | 172,615,385 | 172,598,349 | | **Distributable Earnings per share, basic** | **$0.79** | **$0.79** | - The CECL reserve is excluded from Distributable Earnings, consistent with other unrealized gains/losses, and potential credit losses are recognized only upon a realization event (e.g, loan repayment or foreclosure)[324](index=324&type=chunk) [Book Value Per Share](index=53&type=section&id=Book%20Value%20Per%20Share) Book Value Per Share (in thousands, except per share data) | Item | June 30, 2023 | March 31, 2023 | | :--- | :--- | :--- | | Stockholders' equity | $4,540,662 | $4,535,227 | | Shares | | | | Class A common stock | 172,310,062 | 172,284,118 | | Deferred stock units | 339,702 | 316,479 | | **Total outstanding** | **172,649,764** | **172,600,597** | | **Book value per share** | **$26.30** | **$26.28** | - Book value per share as of June 30, 2023, was **$26.30**, net of a **$2.20** per share cumulative CECL reserve[322](index=322&type=chunk) [II. Loan Portfolio](index=53&type=section&id=II.%20Loan%20Portfolio) - Loan fundings totaled **$442.9 million** and loan repayments/sales totaled **$1.5 billion** during Q2 2023, resulting in **$177.3 million** of net interest income[348](index=348&type=chunk) Loan Origination Activity (in thousands) | Item | Three Months Ended June 30, 2023 | Six Months Ended June 30, 2023 | | :--- | :--- | :--- | | Loan originations | — | — | | Loan fundings | $442,861 | $886,490 | | Loan repayments and sales | $(1,534,174) | $(2,128,110) | | **Total net repayments** | **$(1,091,313)** | **$(1,241,620)** | [Portfolio Overview](index=53&type=section&id=Portfolio%20Overview) Overall Loan Portfolio Statistics (June 30, 2023, in thousands) | Metric | Balance Sheet Portfolio | Loan Exposure | | :--- | :--- | :--- | | Number of investments | 191 | 191 | | Principal balance | $24,590,905 | $25,755,473 | | Net book value | $24,118,874 | $24,118,874 | | Unfunded loan commitments | $3,009,727 | $3,009,727 | | Weighted-average cash coupon | +3.43% | +3.39% | | Weighted-average all-in yield | +3.77% | +3.73% | | Weighted-average maximum maturity (years) | 2.7 | 2.7 | | Origination loan to value (LTV) | 64.0% | 63.9% | - Substantially all loans earned a floating rate of interest, primarily indexed to SOFR[354](index=354&type=chunk) Index Rate Floors for Loan Portfolio (June 30, 2023, in thousands) | Index Rate Floors | USD Total Loan Exposure | Non-USD Total Loan Exposure | Total Loan Exposure | | :--- | :--- | :--- | :--- | | Fixed Rate | $40,390 | — | $40,390 | | 0.00% or no floor | $5,220,666 | $7,137,346 | $12,358,012 | | 0.01% to 1.00% floor | $8,045,402 | $827,534 | $8,872,936 | | 1.01% to 1.50% floor | $1,755,631 | $159,826 | $1,915,457 | | 1.51% to 2.00% floor | $1,029,295 | $315,028 | $1,344,323 | | 2.01% or more floor | $1,224,355 | — | $1,224,355 | | **Total** | **$17,315,739** | **$8,439,734** | **$25,755,473** | [Portfolio Management](index=56&type=section&id=Portfolio%20Management) - The company collected **100.0%** of contractual interest payments due in Q2 2023, with virtually no interest deferrals, demonstrating portfolio strength and borrower commitment[451](index=451&type=chunk) - The loan portfolio's weighted-average risk rating remained at **2.9** as of both June 30, 2023, and December 31, 2022, indicating a stable risk profile[452](index=452&type=chunk) - The company maintains a robust asset management relationship with borrowers, leveraging Blackstone's real estate platform expertise to manage the portfolio and mitigate risks, supported by a low weighted-average origination LTV of **63.9%**[466](index=466&type=chunk) [Current Expected Credit Loss Reserve](index=57&type=section&id=Current%20Expected%20Credit%20Loss%20Reserve) - The CECL reserve increased by **$27.3 million** in Q2 2023, bringing the total loans receivable CECL reserve to **$363.9 million**, reflecting impaired loans and macroeconomic conditions[369](index=369&type=chunk) - An aggregate net increase of **$17.1 million** in asset-specific CECL reserve for impaired loans was primarily due to one additional impaired loan in Q2 2023, for which income accrual was suspended[369](index=369&type=chunk) - As of June 30, 2023, **$214.4 million** asset-specific CECL reserve was related to seven loans receivable with an aggregate amortized cost basis of **$1.1 billion**, based on estimated fair value of underlying collateral[369](index=369&type=chunk) [Multifamily Joint Venture](index=58&type=section&id=Multifamily%20Joint%20Venture) - As of June 30, 2023, the Multifamily Joint Venture held **$798.6 million** of loans, included in the company's overall loan disclosures[450](index=450&type=chunk) [Portfolio Financing](index=58&type=section&id=Portfolio%20Financing) Portfolio Financing Principal Balance (in thousands) | Item | June 30, 2023 | December 31, 2022 | | :--- | :--- | :--- | | Secured debt | $13,451,427 | $13,549,748 | | Securitizations | $2,671,734 | $2,673,541 | | Asset-specific debt | $875,616 | $950,278 | | **Total portfolio financing** | **$16,998,777** | **$17,173,567** | [Secured Credit Facilities](index=59&type=section&id=Secured%20Credit%20Facilities) Secured Credit Facilities by Spread (Six Months Ended June 30, 2023, in thousands) | Spread | New Financings | Total Borrowings | Wtd Avg All-in Cost | Collateral | Wtd Avg All-in Yield | Net Interest Margin | | :--- | :--- | :--- | :--- | :--- | :--- | :--- | | +1.50% or less | — | $5,948,547 | +1.54% | $8,579,535 | +3.27% | +1.73% | | +1.51% to +1.75% | — | $2,968,963 | +1.83% | $4,194,995 | +3.57% | +1.74% | | +1.76% to +2.00% | — | $1,919,615 | +2.13% | $2,977,246 | +4.02% | +1.89% | | +2.01% or more | $69,306 | $2,614,302 | +2.61% | $3,598,338 | +4.59% | +1.98% | | **Total** | **$69,306** | **$13,451,427** | **+1.89%** | **$19,350,114** | **+3.68%** | **+1.79%** | - The availability of funding under secured credit facilities is based on mutually agreed collateral portfolios, with structural elements varying by facility[164](index=164&type=chunk) [Acquisition Facility](index=59&type=section&id=Acquisition%20Facility) - The company has a **$100.0 million** full recourse secured credit facility for bridge financing of eligible first mortgage originations for up to nine months, maturing April 3, 2024[375](index=375&type=chunk) - As of June 30, 2023, there were no assets pledged to the acquisition facility and no outstanding borrowings[375](index=375&type=chunk) [Securitizations](index=60&type=section&id=Securitizations) Securitized Debt Obligations and Collateral Assets (June 30, 2023, in thousands) | CLO | Senior CLO Securities Outstanding (Count) | Principal Balance | Book Value | Wtd Avg Yield/Cost | Term | | :--- | :--- | :--- | :--- | :--- | :--- | | 2021 FL4 | 1 | $803,750 | $800,779 | +1.69% | May 2038 | | 2020 FL3 | 1 | $808,750 | $808,171 | +2.15% | Nov 2037 | | 2020 FL2 | 1 | $1,059,234 | $1,057,464 | +1.55% | Feb 2038 | | **Total Senior CLO Securities Outstanding** | **3** | **$2,671,734** | **$2,666,414** | **+1.77%** | | | **Underlying Collateral Assets (Count)** | **61** | **$3,316,109** | **$3,316,109** | **+3.25%** | | - Interest expense related to securitized debt obligations was **$43.3 million** for Q2 2023 and **$83.1 million** for the six months ended June 30, 2023[377](index=377&type=chunk) [Asset-Specific Debt](index=61&type=section&id=Asset-Specific%20Debt) Asset-Specific Debt (June 30, 2023, in thousands) | Item | Count | Principal Balance | Book Value | Wtd Avg Yield/Cost | Wtd Avg Term | | :--- | :--- | :--- | :--- | :--- | :--- | | Financing provided | 2 | $875,616 | $870,147 | +3.25% | Feb 2026 | | Collateral assets | 2 | $1,040,020 | $1,030,689 | +4.01% | Feb 2026 | - Asset-specific debt is currency and index-matched to the applicable benchmark rate of the underlying floating rate loans, with the weighted-average term based on the maximum maturity of corresponding loans[380](index=380&type=chunk) [Corporate Financing](index=61&type=section&id=Corporate%20Financing) Outstanding Corporate Financing (in thousands) | Item | June 30, 2023 | December 31, 2022 | | :--- | :--- | :--- | | Term loans | $2,146,220 | $2,157,218 | | Senior secured notes | $400,000 | $400,000 | | Convertible notes | $300,000 | $520,000 | | **Total corporate financing** | **$2,846,220** | **$3,077,218** | [Term Loans](index=61&type=section&id=Term%20Loans) Outstanding Senior Term Loan Facilities (June 30, 2023, in thousands) | Term Loan | Face Value | Interest Rate | All-in Cost | Maturity | | :--- | :--- | :--- | :--- | :--- | | B-1 Term Loan | $915,609 | +2.36% | +2.65% | Apr 23, 2026 | | B-3 Term Loan | $413,055 | +2.86% | +3.54% | Apr 23, 2026 | | B-4 Term Loan | $817,556 | +3.50% | +4.11% | May 9, 2029 | - The B-3 and B-4 Term Loans are subject to a **0.50% floor** and are indexed to one-month SOFR[449](index=449&type=chunk) [Senior Secured Notes](index=61&type=section&id=Senior%20Secured%20Notes) Outstanding Senior Secured Notes (June 30, 2023, in thousands) | Item | Face Value | Interest Rate | All-in Cost | Maturity | | :--- | :--- | :--- | :--- | :--- | | Senior Secured Notes | $400,000 | 3.75% | 4.04% | Jan 15, 2027 | [Convertible Notes](index=62&type=section&id=Convertible%20Notes) Outstanding Convertible Senior Notes (June 30, 2023, in thousands) | Convertible Notes Issuance | Face Value | Interest Rate | All-in Cost | Conversion Price | Maturity | | :--- | :--- | :--- | :--- | :--- | :--- | | March 2022 | $300,000 | 5.50% | 5.94% | $36.27 | Mar 15, 2027 | - The March 2022 convertible notes are convertible at the holder's option under specific circumstances, with a conversion rate of **27.5702 shares** per **$1,000** principal amount[387](index=387&type=chunk) [Floating Rate Portfolio](index=62&type=section&id=Floating%20Rate%20Portfolio) - The business model generally leads to increased net income with rising interest rates and decreased net income with declining rates, as substantially all investments earn floating rates and are financed with floating rate liabilities[389](index=389&type=chunk) Investment Portfolio's Net Floating Rate Exposure by Currency (June 30, 2023, in thousands) | Item | USD | GBP | EUR | All Other | | :--- | :--- | :--- | :--- | :--- | | Floating rate loans | $16,110,780 | £2,649,469 | €2,578,941 | $2,024,472 | | Floating rate debt | $(12,963,406) | $(1,957,666) | $(1,918,418) | $(1,601,966) | | **Net floating rate exposure** | **$3,147,374** | **£691,803** | **€660,523** | **$422,506** | | **Net floating rate exposure in USD** | **$3,147,374** | **$878,797** | **$720,565** | **$422,506** | - Liabilities are generally currency and index-matched to collateral assets, minimizing net exposure to benchmark rate movements[390](index=390&type=chunk) [III. Our Results of Operations](index=63&type=section&id=III.%20Our%20Results%20of%20Operations) [Op

Blackstone Mortgage Trust, Inc. (NYSE:BXMT) Q1 2023 Earnings Conference Call April 26, 2023 9:00 AM ET Company Participants Tim Hayes - VP, Shareholder Relations Katie Keenan - CEO Tony Marone - CFO Austin Pena - EVP, Investments Conference Call Participants Steve DeLaney - JMP Securities Sarah Barcomb - BTIG Doug Harter - Credit Suisse Stephen Laws - Raymond James Don Fandetti - Wells Fargo Jade Rahmani - KBW Rick Shane - JPMorgan Arren Cyganovich - Citi Operator Good day, and welcome to the Blackstone Mor ...

FORM 10-Q (Mark One) ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 FOR THE QUARTERLY PERIOD ENDED March 31, 2023 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 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, 24th Floor New York, New York 10154 ( ...

Blackstone Mortgage Trust, Inc. (NYSE:BXMT) Q4 2022 Earnings Conference Call February 8, 2023 9:00 AM ET Company Participants Tim Hayes - Vice President, Shareholder Relations Katie Keenan - Chief Executive Officer Tony Marone - Chief Financial Officer Austin Pena - Executive Vice President, Investments Conference Call Participants Doug Harter - Credit Suisse Don Fandetti - Wells Fargo Steve DeLaney - JMP Securities Jade Rahmani - KBW Eric Hagan - BTIG Derek Hewett - Bank of America Stephen Laws - Raymond J ...

Financial Performance - Blackstone Mortgage Trust reported a full year 2022 net income of $24864 million[25] - Full year Distributable Earnings per share was $287, and dividends paid per share were $248[25] - The company achieved a full year dividend coverage of 116%[21, 23] - Q4 Distributable EPS was $087, representing a 12% year-over-year growth[21, 34] Portfolio and Investments - The company has a $268 billion senior loan portfolio secured by institutional assets[7, 35, 42] - The weighted average origination Loan-to-Value (LTV) of the portfolio is 64%[35] - In 2022, the company collected $37 billion in repayments, with office loans representing 45% ($17 billion) of the total[35] - New originations in the second half of 2022 totaled $674 million, with 70% focused on the industrial sector, yielding a loan yield of +549% relative to the portfolio average of +376%[35, 46] Capitalization and Liquidity - The company strategically raised $12 billion of capital in 2022, increasing liquidity to $16 billion[35, 49] - The company's debt structure is well-structured, with 64% being non-mark-to-market and 36% being credit mark-to-market only[50]

Financial Performance - For the year ended December 31, 2022, the company reported a net loss of $47.5 million, compared to a net income of $248.6 million for the year ended December 31, 2021[415]. - The company experienced a net decrease in cash and cash equivalents of $249.5 million for the year ended December 31, 2022, compared to a net increase of $263.2 million for the year ended December 31, 2021[148]. - The company reported cash flows provided by operating activities of $396.8 million for the year ended December 31, 2022, compared to $382.5 million for the year ended December 31, 2021[148]. - Cash flows used in investing activities were $(3.25) billion for the year ended December 31, 2022, compared to $(5.63) billion for the year ended December 31, 2021[148]. - The company paid $421.4 million in dividends on its class A common stock during the year ended December 31, 2022[148]. Corporate Financing and Debt - The company’s total corporate financing as of December 31, 2022, was $3.08 billion, an increase from $2.37 billion as of December 31, 2021[420]. - The debt-to-equity ratio increased to 3.8x as of December 31, 2022, compared to 3.2x as of December 31, 2021[432]. - During the year ended December 31, 2022, the company borrowed an additional $825 million under term loan facilities with an interest rate of SOFR plus 3.50%[480]. - The company issued $300 million of 5.50% convertible senior notes due 2027, and raised $70.7 million from the issuance of 2.3 million shares of Class A common stock[480]. - The company received $1.7 billion of net proceeds from secured debt borrowings during the year ended December 31, 2022[148]. Loan Portfolio and Commitments - The company has unfunded commitments of $3.8 billion related to 121 loans receivable as of December 31, 2022[435]. - The total loan exposure as of December 31, 2022, was $18.43 billion, with an all-in yield of +3.58%[4]. - The principal balance of the loan portfolio was $26.81 billion, with a net book value of $24.69 billion and unfunded loan commitments of $4.51 billion[477]. - The loan portfolio's weighted-average origination loan-to-value (LTV) ratio was 63.9% as of December 31, 2022, indicating significant equity value[3]. - Loan fundings for the year ended December 31, 2022, totaled $344.9 million, with additional fundings of $90.5 million during the last quarter[2]. Credit Risk and CECL Reserve - The company recorded a $211.5 million increase in the Current Expected Credit Loss (CECL) reserve for the year ended December 31, 2022, compared to a $39.9 million decrease in the previous year[427]. - The current expected credit loss (CECL) reserve reflects estimates of potential credit losses related to loans and debt securities, utilizing the Weighted Average Remaining Maturity (WARM) method[106]. - The company is exposed to credit risk, with loan performance dependent on sponsors' ability to generate adequate cash flows from properties serving as collateral[90]. - The company assesses the CECL reserve on an individual basis, which requires significant judgments and assumptions that may change over time[108]. - The sensitivity of assumptions related to the CECL reserve may vary from quarter to quarter, reflecting changes in the loan portfolio and market conditions[108]. Market Conditions and Economic Factors - Rising interest rates may adversely affect existing borrowers, impacting the collateral underlying certain loans[439]. - Inflation has reached generational highs, prompting the Federal Reserve to raise interest rates, which may adversely affect existing borrowers and slow corporate profit growth[93]. - The company is required to distribute at least 90% of its net taxable income annually to maintain its REIT status, with potential tax implications for undistributed income[101]. - The company is subject to various risks associated with the commercial real estate market, including occupancy rates and macroeconomic factors[92]. - Financial services regulation has increased significantly, and future changes in legislation or administration could negatively impact the company's financial performance[179]. Investment Strategy and Management - The company focuses on originating or acquiring senior, floating rate mortgage loans secured by first priority mortgages on commercial real estate assets[475]. - The company is committed to managing risk and incorporates ESG factors into its investment process[487]. - The company relies on Blackstone's expertise in navigating market cycles, which informs its credit and underwriting processes[92]. - The company has established long-term relationships with numerous corporations, which may influence investment decisions[126]. - The company is exploring new strategies for market expansion, particularly in diversified locations across the US and Europe[114]. Regulatory and Compliance Risks - The company conducts operations to avoid registration as an investment company, which may limit its ability to pursue certain investment opportunities[169]. - Compliance with laws and regulations may require changes to business practices, potentially impacting operations and financial condition[172]. - The company is subject to significant restrictions on proprietary trading activities due to the "Volcker Rule" provisions of the Dodd-Frank Act, which may lead to increased capital requirements and regulatory scrutiny[176]. - Non-bank companies face varying licensing requirements across U.S. states and foreign jurisdictions, which could incur additional expenses[203]. - The extensive requirements of the Dodd-Frank Act may significantly affect financial markets and the terms of financing from lender counterparties[205].

Financial Performance - Net income attributable to Blackstone Mortgage Trust for the third quarter was $103.2 million[1] - Third quarter EPS was $0.60, Distributable EPS was $0.71, and dividends paid per basic share were $0.62[1] - The company has $1.7 billion in liquidity[12, 13] - Distributable Earnings for the quarter was $122 million[24] Portfolio Highlights - The company has a fully-scaled $26.1 billion portfolio[11, 13] - The portfolio is 99% performing[12, 14] - The portfolio's weighted average origination LTV is 64%[12, 13] - 96% of the portfolio has rate caps or other structural protections[13] Investment Activity - Third quarter originations totaled $438 million, with 78% backed by industrial assets[13, 20] - Loan fundings were $697 million, while loan repayments were $443 million[13, 20]

Financial Data and Key Metrics Changes - For Q3 2022, the company reported GAAP net income per share of $0.60 and distributable earnings of $0.71 per share, reflecting a 15% increase from Q1 levels [6][40] - The company maintained a liquidity position of $1.7 billion, more than double the level from March 2020 [10][48] - Book value increased slightly to $27.20, with earnings covering the dividend and adding $0.10 to book value [44] Business Line Data and Key Metrics Changes - The company generated $0.71 of distributable earnings, up 13% year-over-year, while maintaining a consistent overall portfolio size of $26 billion [10][42] - The office portfolio remains stable with 92% Class A assets, 100% performing, and $349 million in office loans repaid over the last three months [20][24] - The company closed $438 million of new loans at lower than average LTVs and above average spreads, indicating a focus on quality lending [46] Market Data and Key Metrics Changes - The office segment is facing challenges, but high-quality office spaces are seeing continued tenant demand, with New York City's leasing activity up 28% year-over-year [18][19] - In Europe, the company has seen strong credit performance, with a focus on high conviction sectors and lower LTVs compared to US transactions [26][27] - The overall originations averaged 58% LTV with an all-in yield of 5.41% over base rates, indicating a favorable investment environment [28] Company Strategy and Development Direction - The company emphasizes low leverage, strong borrowers, and high-quality real estate, which positions it well in the current economic environment [8][10] - The strategy includes maintaining a matched balance sheet to insulate against market volatility and focusing on high-quality assets that can capture rent growth [30][35] - The company is looking for unique investment opportunities, including legacy loan acquisitions and new builds in dynamic markets [58][60] Management's Comments on Operating Environment and Future Outlook - Management noted heightened uncertainty in global economic conditions but emphasized the resilience and earnings power of the business [7][10] - The company expects an increasingly attractive investment environment, supported by a robust liquidity position and a focus on high-quality assets [29][48] - Management highlighted the importance of dividend income in periods of high inflation, with a commitment to maintaining a reliable dividend [51][50] Other Important Information - The company has maintained 100% interest collection despite a 300 basis point increase in rates since the beginning of the year [15] - The company has seen no new impairments or non-accrual loans, with a net $937 million of loans upgraded this quarter [43] - The company has a strong track record with lenders, maintaining open dialogue and confidence in its credit performance [82] Q&A Session Summary Question: Quality of downgraded office loans and sponsor equity - Management indicated that the downgraded loans represent only 3% of the portfolio and that sponsors have made recent cash commitments, indicating ongoing investment in the assets [52][53] Question: Net portfolio growth outlook - Management stated that while there are interesting opportunities, the focus will be on maintaining a well-invested portfolio with stable earnings power [55] Question: Appetite for new office loans - Management expressed a selective approach, focusing on high-quality new builds in strong markets while being cautious about legacy assets [58] Question: Repayment outlook for the portfolio - Management expects overall transaction volumes to decrease, with some deals sticking around longer due to patient sponsors [64][66] Question: Sensitivity of cap rates to rising interest rates - Management noted that 96% of loans have rate caps or structural enhancements, which mitigate the impact of rising rates on borrowers' ability to pay [71] Question: Upcoming portfolio loan maturities - Management indicated that upcoming maturities are minimal, about 7% of the portfolio, with plans in place for refinancing or sales [73][75] Question: Conversations with counterparties regarding credit marks - Management reported maintaining strong relationships with lenders, who have confidence in the company's income and liquidity [81][82] Question: Details on rate caps in the portfolio - Management confirmed that rate caps are in place for new originations, with many currently in the money, providing structural protection [84]

UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 10-Q (Mark One) ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 FOR THE QUARTERLY PERIOD ENDED September 30, 2022 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 FOR THE TRANSITION PERIOD FROM ______ TO ______ Commission File Number: 001-14788 Blackstone Mortgage Trust, Inc. (Exact name of Registrant as specified in its charter) Maryland 94-6181 ...