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

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 ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 10-Q (Mark One) ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 FOR THE QUARTERLY PERIOD ENDED March 31, 2022 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 94-6181186 ...

Summary of Blackstone Mortgage Trust, Inc. Conference Call Company Overview - **Company**: Blackstone Mortgage Trust, Inc. (NYSE: BXMT) - **Industry**: Commercial Real Estate Lending - **Key Participants**: - Katie Keenan - CEO - Doug Armer - Executive Vice President, Capital Markets - Austin Peña - Executive Vice President, Investments Core Points and Arguments 1. **Investment Proposition**: - Blackstone Mortgage Trust offers unparalleled access to real-time information and is typically the largest player in its lending markets, which aids in making informed credit decisions [6] - The company has a fully scaled portfolio of $24 billion, with a focus on low leverage lending (65% LTV) and high-quality borrowers [6][9] - The dividend yield is attractive at 8%, and the floating rate lending model is positively correlated with rising interest rates, positioning the company well for inflation [6] 2. **CRE Lending Strategy**: - The strategy focuses on first mortgage lending to institutional quality assets with experienced sponsors [9] - The company has a competitive advantage due to its scale, allowing it to address larger lending opportunities [9] 3. **Current Market Environment**: - The current CRE lending environment is balanced with experienced lenders and borrowers, focusing on asset selection rather than high leverage [11] - In 2021, the company originated $14.6 billion in loans, with 50% in multifamily and industrial sectors [11] 4. **Property Type Preferences**: - The company favors multifamily, high-quality office properties, and growth markets in the Sunbelt, while avoiding commodity office products and closed malls [13][15] 5. **Geopolitical Impact**: - The geopolitical situation, particularly in Ukraine, has introduced volatility but has not significantly altered the company's investment strategy [30] 6. **Funding Structure**: - The funding structure has evolved with an increase in securitization, providing stability and flexibility in capital markets [34] - The company has diversified its funding sources, which has proven beneficial during market volatility [34][37] 7. **Leverage and ROE Expectations**: - The company is comfortable with leverage between 3x and 4x debt-to-equity and expects ROEs to expand with rising interest rates [42][44] 8. **Loan Repayment Expectations**: - Loan repayments are expected to follow a normal cycle, correlating with the portfolio's historical performance [28][48] 9. **Investment Opportunities**: - The current dislocation in capital markets presents unique investment opportunities for lenders like Blackstone Mortgage Trust, particularly in the CMBS market [40] 10. **Stock Value Proposition**: - The company emphasizes the reliability and predictability of its dividend yield, which is supported by a strong portfolio of first mortgage loans [50] Additional Important Insights - The company has a strong focus on maintaining a diversified balance sheet to optimize capital structure and manage risk effectively [37] - The management team has extensive experience and a well-established network, which enhances the company's competitive position in the market [19] - The company is open to exploring new business lines but prioritizes stability and predictability in its existing operations [46]

Summary of Blackstone Mortgage Trust (BXMT) Conference Call Company Overview - **Company**: Blackstone Mortgage Trust (BXMT) - **Industry**: Commercial Real Estate Lending - **Key Participants**: - Katie Keenan - CEO - Doug Armer - Executive Vice President, Capital Markets - Austin Peña - Executive Vice President, Investments Core Points and Arguments 1. **Investment Proposition**: - BXMT offers unparalleled access to real-time information and is typically the largest player in its lending markets, which aids in making informed credit decisions [6] - The company has a fully scaled portfolio of $24 billion, with strong borrower relationships and a diversified balance sheet [6] - BXMT provides an attractive 8% dividend yield, benefiting from a floating rate lending model that is positively correlated with rising interest rates [6] 2. **CRE Lending Strategy**: - BXMT focuses on first mortgage lending with a low leverage ratio of 65% LTV, targeting institutional quality assets and experienced sponsors [9] - The company has a competitive advantage due to its scale, allowing it to engage in larger lending opportunities [9] 3. **Current Market Environment**: - The current CRE lending environment is balanced with experienced lenders and borrowers, focusing on quality assets rather than high leverage [11] - In 2021, BXMT originated $14.6 billion in loans, with 50% allocated to multifamily and industrial sectors [11] 4. **Preferred Asset Classes**: - BXMT sees opportunities in multifamily, high-quality office properties, and leisure resort hospitality, while avoiding commodity office products and closed malls [13][15] 5. **Geographic Diversification**: - Historically, 30% of BXMT's portfolio has been outside the U.S., with a focus on Europe and Australia, which provide attractive relative value [21] - In 2021, approximately 20% of the business was outside the U.S. due to slower market reopenings post-COVID [21] 6. **Interest Rate Sensitivity**: - BXMT has a significant portion of its portfolio with LIBOR floors, which enhances its sensitivity to rising interest rates, positively impacting earnings [23] - A hypothetical increase in interest rates could lead to a material positive impact on cash flows, estimated at $0.02 to $0.04 per quarter [23] 7. **Funding Structure**: - The funding structure has evolved with an increased proportion of securitized liabilities, providing stability and flexibility [34] - BXMT has diversified its funding sources, including credit facilities and securitizations, which allows for strategic capital market access [34][37] 8. **Market Dislocation Opportunities**: - Current capital market dislocations present unique investment opportunities for BXMT, particularly in the CMBS market where spreads have widened [40] - BXMT is positioned to capitalize on attractive pricing for stabilized multifamily and industrial assets that may have previously been priced tightly [40] 9. **Leverage Strategy**: - BXMT is comfortable with leverage levels between 3x and 4x debt-to-equity, aiming for maximum return on equity while maintaining a well-managed balance sheet [42] 10. **Dividend Stability**: - The company emphasizes the stability and predictability of its dividend yield, which is currently at 8%, supported by a portfolio of first mortgage loans [50] Additional Important Insights - The company has maintained a strong credit performance throughout the pandemic, validating its low leverage lending strategy and asset selection [32] - BXMT's approach to new business lines is cautious, focusing on stability and predictability in income generation [46] - The correlation between originations and repayments is strong, suggesting a stable portfolio even in volatile market conditions [48]

UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM 10-K ☒ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the fiscal year ended December 31, 2021 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 1-14788 ortgage Trust Tradingsymbol(s) $0.01pershareBXMT Blackstone Mortgage Trust, Inc. (Exact name of Registrant as specified in its charter) Mary ...

Mortgage Trust Blackstone Mortgage Trust Reports Third Quarter 2021 Results New York, October 27, 2021: Blackstone Mortgage Trust, Inc. (NYSE:BXMT) today reported its third quarter 2021 results. Third quarter EPS, Distributable EPS, and dividends paid per share were $0.56, $0.63, and $0.62, respectively. Katie Keenan, Chief Executive Officer, said, "BXMT's accelerating momentum throughout the year led to exceptional performance in the third quarter, with a record $4.7 billion of new originations driving $2. ...

[PART I. FINANCIAL INFORMATION](index=4&type=section&id=PART%20I.%20FINANCIAL%20INFORMATION) This section presents the company's unaudited consolidated financial statements, management's discussion and analysis, market risk disclosures, and internal control evaluations [Financial Statements](index=4&type=section&id=ITEM%201.%20FINANCIAL%20STATEMENTS) This section presents the unaudited consolidated financial statements and accompanying notes for the periods ended September 30, 2021 [Consolidated Balance Sheets](index=4&type=section&id=Consolidated%20Balance%20Sheets) Total assets increased to **$20.71 billion** by September 30, 2021, driven by loan growth, with corresponding increases in liabilities and equity Consolidated Balance Sheet Highlights (in thousands) | Account | September 30, 2021 | December 31, 2020 | | :--- | :--- | :--- | | **Assets** | | | | Cash and cash equivalents | $211,180 | $289,970 | | Loans receivable, net | $20,276,078 | $16,399,166 | | **Total Assets** | **$20,705,872** | **$16,958,955** | | **Liabilities** | | | | Secured debt, net | $11,170,330 | $7,880,536 | | Securitized debt obligations, net | $2,836,049 | $2,922,499 | | **Total Liabilities** | **$16,435,320** | **$13,054,724** | | **Total Equity** | **$4,270,552** | **$3,904,231** | [Consolidated Statements of Operations](index=5&type=section&id=Consolidated%20Statements%20of%20Operations) Net income for Q3 2021 was **$83.8 million**, while nine-month net income surged to **$295.3 million**, primarily due to a favorable change in credit loss provision Statement of Operations Highlights (in thousands, except per share data) | Metric | Three Months Ended Sep 30, 2021 | Three Months Ended Sep 30, 2020 | Nine Months Ended Sep 30, 2021 | Nine Months Ended Sep 30, 2020 | | :--- | :--- | :--- | :--- | :--- | | Income from loans, net | $117,424 | $114,961 | $340,528 | $322,727 | | (Increase) decrease in CECL reserve | ($2,767) | $6,055 | $49,432 | ($173,466) | | Net income attributable to BXMT | $83,757 | $89,860 | $295,254 | $54,054 | | Net income per share (basic and diluted) | $0.56 | $0.61 | $2.00 | $0.39 | [Consolidated Statements of Cash Flows](index=9&type=section&id=Consolidated%20Statements%20of%20Cash%20Flows) Net cash from operations was **$255.0 million**, while significant investing outflows of **$3.93 billion** were largely offset by **$3.62 billion** from financing activities Cash Flow Summary for the Nine Months Ended September 30 (in thousands) | Cash Flow Activity | 2021 | 2020 | | :--- | :--- | :--- | | Net cash provided by operating activities | $255,022 | $261,296 | | Net cash used in investing activities | ($3,926,040) | ($105,726) | | Net cash provided by financing activities | $3,616,649 | $120,778 | | **Net (decrease) increase in cash** | **($54,369)** | **$276,348** | [Notes to Consolidated Financial Statements](index=11&type=section&id=Notes%20to%20Consolidated%20Financial%20Statements) This section provides detailed explanations of the company's accounting policies, including CECL, and financial results, covering loan portfolio, debt, and equity - The company is a real estate finance company originating senior loans collateralized by commercial real estate in North America, Europe, and Australia, operating as a REIT[31](index=31&type=chunk) - The company adopted the Current Expected Credit Loss (CECL) standard (ASU 2016-13) on January 1, 2020, which requires estimating credit losses over the life of financial instruments, resulting in a **$17.65 million** charge to retained earnings upon initial adoption[49](index=49&type=chunk)[59](index=59&type=chunk) - The company is actively managing the transition from LIBOR to alternative reference rates like SOFR and SONIA, as detailed in its accounting policies and recent developments[94](index=94&type=chunk)[96](index=96&type=chunk)[97](index=97&type=chunk) [Management's Discussion and Analysis of Financial Condition and Results of Operations (MD&A)](index=52&type=section&id=ITEM%202.%20MANAGEMENT'S%20DISCUSSION%20AND%20ANALYSIS%20OF%20FINANCIAL%20CONDITION%20AND%20RESULTS%20OF%20OPERATIONS) Management discusses the company's financial condition, results of operations, loan portfolio, and liquidity, highlighting key performance indicators [Key Financial Measures and Indicators](index=54&type=section&id=MD%26A_Key%20Financial%20Measures%20and%20Indicators) The company focuses on key metrics like EPS, dividends, Distributable Earnings, and book value per share, with Q3 2021 EPS at **$0.56** and Distributable Earnings at **$0.63** Q3 2021 Key Metrics per Share | Metric | Q3 2021 | | :--- | :--- | | Net Income per Share | $0.56 | | Dividends Declared per Share | $0.62 | | Distributable Earnings per Share | $0.63 | | Book Value per Share | $26.92 | - Distributable Earnings, a non-GAAP measure used to evaluate performance and determine dividends, excludes non-cash items like equity compensation and unrealized gains/losses, including changes in the CECL reserve[267](index=267&type=chunk)[268](index=268&type=chunk) [Loan Portfolio](index=56&type=section&id=MD%26A_Loan%20Portfolio) The company originated **$4.7 billion** in loans in Q3 2021, growing its **$22.0 billion** portfolio with a **65.1%** LTV and improved credit quality Loan Activity - Q3 2021 (in billions) | Activity | Amount | | :--- | :--- | | Loan Originations | $4.7 | | Loan Fundings | $3.9 | | Loan Repayments and Sales | ($0.9) | | **Total Net Fundings** | **$3.0** | - The total investment portfolio stood at **$22.0 billion** with a weighted-average origination LTV of **65.1%** and an all-in yield of L+3.54%[278](index=278&type=chunk) - The company collected **100%** of contractual interest payments due during Q3 2021, demonstrating the portfolio's strength and borrowers' financial capacity[283](index=283&type=chunk) - The portfolio's weighted-average risk rating improved to **2.8** as of September 30, 2021, from **3.0** at year-end 2020, indicating improved credit quality[286](index=286&type=chunk) [Results of Operations](index=67&type=section&id=MD%26A_Results%20of%20Operations) Net interest income increased in Q3 2021, but net income decreased to **$83.8 million** due to CECL reserve changes, while year-to-date net income surged to **$295.3 million** Quarterly Results Comparison (in thousands) | Account | Q3 2021 | Q2 2021 | Change | | :--- | :--- | :--- | :--- | | Net interest income | $117,424 | $113,951 | $3,473 | | (Increase) decrease in CECL reserve | ($2,767) | $50,906 | ($53,673) | | Net income attributable to BXMT | $83,757 | $131,595 | ($47,838) | Year-to-Date Results Comparison (in thousands) | Account | Nine Months 2021 | Nine Months 2020 | Change | | :--- | :--- | :--- | :--- | | Net interest income | $340,527 | $322,727 | $17,800 | | Decrease (increase) in CECL reserve | $49,432 | ($173,466) | $222,898 | | Net income attributable to BXMT | $295,254 | $54,054 | $241,200 | [Liquidity and Capital Resources](index=69&type=section&id=MD%26A_Liquidity%20and%20Capital%20Resources) The company maintained **$1.1 billion** in total liquidity as of September 30, 2021, with a **4.1x** total leverage ratio and **$1.6 billion** in unfunded loan commitments Liquidity Sources as of September 30, 2021 (in thousands) | Source | Amount | | :--- | :--- | | Cash and cash equivalents | $211,180 | | Senior secured notes, net (issued Oct 2021) | $395,000 | | Available borrowings under secured debt | $452,438 | | Loan principal payments held by servicer, net | $299 | | **Total Liquidity** | **$1,058,917** | Leverage Ratios | Ratio | September 30, 2021 | December 31, 2020 | | :--- | :--- | :--- | | Debt-to-equity ratio | 3.1x | 2.5x | | Total leverage ratio | 4.1x | 3.6x | - The company has net unfunded loan commitments of **$1.6 billion**, which it expects to fund over a weighted-average period of **3.2 years**[336](index=336&type=chunk) [Quantitative and Qualitative Disclosures About Market Risk](index=81&type=section&id=ITEM%203.%20QUANTITATIVE%20AND%20QUALITATIVE%20DISCLOSURES%20ABOUT%20MARKET%20RISK) This section details the company's exposure to market risks, including interest rate, credit, and currency risks, and outlines mitigation strategies - The company's business model is generally structured such that rising interest rates increase net income, with **98%** of investments being floating-rate, creating a net positive correlation to interest rate movements[362](index=362&type=chunk) Annualized Net Interest Income Sensitivity to Interest Rate Changes (in thousands) | Rate Change | Impact on Net Interest Income | | :--- | :--- | | +50 bps | ($14,464) | | +25 bps | ($8,763) | | -25 bps | $6,387 | | -50 bps | $6,457 | - Credit risk is mitigated by a low portfolio-wide origination LTV of **65.1%**, strong institutional sponsors, and active asset management informed by Blackstone's real estate platform[374](index=374&type=chunk)[375](index=375&type=chunk) - Currency risk is managed by matching the currency of foreign assets to related borrowings and using foreign currency forward contracts to hedge substantially all of the net asset exposure[380](index=380&type=chunk)[382](index=382&type=chunk) [Controls and Procedures](index=84&type=section&id=ITEM%204.%20CONTROLS%20AND%20PROCEDURES) Management concluded the company's disclosure controls and procedures were effective, with no material changes to internal control over financial reporting - The CEO and CFO concluded that the company's disclosure controls and procedures are effective[383](index=383&type=chunk) - No changes occurred during the quarter that materially affected, or are reasonably likely to materially affect, the company's internal control over financial reporting[384](index=384&type=chunk) [PART II. OTHER INFORMATION](index=85&type=section&id=PART%20II.%20OTHER%20INFORMATION) This section covers legal proceedings, risk factors, equity sales, senior security defaults, and a list of exhibits [Legal Proceedings](index=85&type=section&id=ITEM%201.%20LEGAL%20PROCEEDINGS) As of September 30, 2021, the company was not involved in any material legal proceedings - The company reports no involvement in any material legal proceedings as of September 30, 2021[387](index=387&type=chunk) [Risk Factors](index=85&type=section&id=ITEM%201A.%20RISK%20FACTORS) There have been no material changes to the risk factors previously disclosed in the company's Annual Report on Form 10-K for the year ended December 31, 2020 - No material changes to risk factors were reported for the period[388](index=388&type=chunk) [Unregistered Sales of Equity Securities and Use of Proceeds](index=85&type=section&id=ITEM%202.%20UNREGISTERED%20SALES%20OF%20EQUITY%20SECURITIES%20AND%20USE%20OF%20PROCEEDS) The company reported no unregistered sales of equity securities during the period - None[389](index=389&type=chunk) [Defaults Upon Senior Securities](index=85&type=section&id=ITEM%203.%20DEFAULTS%20UPON%20SENIOR%20SECURITIES) The company reported no defaults upon its senior securities - None[390](index=390&type=chunk) [Other Information](index=85&type=section&id=ITEM%205.%20OTHER%20INFORMATION) The company reported no other information required to be disclosed under this item - None[391](index=391&type=chunk) [Exhibits](index=86&type=section&id=ITEM%206.%20EXHIBITS) This section lists the exhibits filed with the Form 10-Q, including amendments to financing agreements, CEO/CFO certifications (Sections 302 and 906), and XBRL data files - Key exhibits include an amendment to the Master Repurchase Agreement with Citibank and certifications by the CEO and CFO as required by the Sarbanes-Oxley Act[393](index=393&type=chunk)

Part I. Financial Information [Item 1. Financial Statements](index=4&type=section&id=ITEM%201.%20FINANCIAL%20STATEMENTS) This section presents Blackstone Mortgage Trust's unaudited consolidated financial statements for Q2 and H1 2021, covering key financial statements and detailed notes [Consolidated Financial Statements (Unaudited)](index=4&type=section&id=Consolidated%20Financial%20Statements%20(Unaudited)) Total assets grew to **$17.90 billion** by June 30, 2021, driven by loans, with Q2 2021 net income significantly improving to **$132.5 million** due to reduced credit loss provisions Consolidated Balance Sheet Highlights (in thousands) | Metric | June 30, 2021 | December 31, 2020 | | :--- | :--- | :--- | | **Total Assets** | **$17,901,747** | **$16,958,955** | | Loans receivable, net | $17,307,898 | $16,399,166 | | **Total Liabilities** | **$13,944,792** | **$13,054,724** | | Secured debt, net | $8,709,818 | $7,880,536 | | **Total Equity** | **$3,956,955** | **$3,904,231** | Consolidated Statement of Operations Highlights (in thousands) | Metric | Three Months Ended June 30, 2021 | Three Months Ended June 30, 2020 | Six Months Ended June 30, 2021 | Six Months Ended June 30, 2020 | | :--- | :--- | :--- | :--- | :--- | | Income from loans, net | $113,951 | $107,129 | $223,104 | $207,765 | | (Decrease) increase in CECL reserve | $50,906 | $(56,819) | $52,199 | $(179,521) | | **Net income (loss)** | **$132,468** | **$18,505** | **$213,008** | **$(34,780)** | | **Net income (loss) per share** | **$0.89** | **$0.13** | **$1.44** | **$(0.26)** | Consolidated Statement of Cash Flows Highlights (in thousands) | Metric | Six Months Ended June 30, 2021 | Six Months Ended June 30, 2020 | | :--- | :--- | :--- | | Net cash provided by operating activities | $165,373 | $175,708 | | Net cash used in investing activities | $(924,972) | $(234,728) | | Net cash provided by financing activities | $806,118 | $1,169,772 | [Notes to Consolidated Financial Statements](index=11&type=section&id=Notes%20to%20Consolidated%20Financial%20Statements) These notes detail the company's accounting policies, loan portfolio, financing, CECL, derivatives, equity, and commitments - The company is a real estate finance company organized as a REIT, originating senior loans collateralized by commercial real estate in North America, Europe, and Australia[31](index=31&type=chunk) - The company's CECL reserve estimation uses the Weighted Average Remaining Maturity (WARM) method, augmented with market loan loss data from Trepp LLC, focusing on comparable CMBS data[48](index=48&type=chunk)[51](index=51&type=chunk) - The company acknowledges that the COVID-19 pandemic creates uncertainty, making estimates and assumptions as of June 30, 2021, inherently less certain[39](index=39&type=chunk) - The company is actively managing the transition from LIBOR to alternative reference rates like SOFR and SONIA, with some financing facilities already transitioned[94](index=94&type=chunk)[95](index=95&type=chunk) [Note 3: Loans Receivable, Net](index=22&type=section&id=Note%203%3A%20Loans%20Receivable%2C%20Net) The loan portfolio expanded to **$17.5 billion** by June 30, 2021, primarily floating-rate senior loans, with improved credit quality and a reduced CECL reserve Loan Portfolio Overview (in thousands) | Metric | June 30, 2021 | December 31, 2020 | | :--- | :--- | :--- | | Number of loans | 124 | 120 | | Principal balance | $17,529,542 | $16,652,824 | | Net book value | $17,307,898 | $16,399,166 | | Unfunded loan commitments | $3,353,259 | $3,160,084 | Loan Portfolio Composition by Property Type (June 30, 2021) | Property Type | Percentage of Portfolio | | :--- | :--- | | Office | 53% | | Hospitality | 14% | | Multifamily | 14% | | Industrial | 5% | | Other | 14% | Loan Portfolio by Risk Rating (Total Loan Exposure) | Risk Rating | June 30, 2021 | December 31, 2020 | | :--- | :--- | :--- | | 1 - Very Low Risk | $877.7M | $778.3M | | 2 - Low Risk | $3,849.0M | $2,528.8M | | 3 - Medium Risk | $11,116.9M | $10,763.5M | | 4 - High Risk | $2,346.4M | $3,045.3M | | 5 - Impaired/Loss Likely | $338.7M | $338.7M | | **Weighted-Average** | **2.9** | **3.0** | - The CECL reserve for loans receivable decreased by **$44.6 million** during the first six months of 2021 to **$128.9 million**, reflecting the ongoing market recovery from COVID-19. Two loans with an aggregate principal of **$338.7 million** remain on non-accrual status with a specific CECL reserve of **$69.7 million**[114](index=114&type=chunk)[115](index=115&type=chunk)[116](index=116&type=chunk) [Note 5-9: Financing and Debt Structure](index=31&type=section&id=Note%205-9%3A%20Financing%20and%20Debt%20Structure) The company's financing strategy includes **$8.7 billion** in secured credit facilities, **$2.8 billion** in CLOs, and other debt, with new facilities and increased term loan borrowings in Q2 2021 - In Q2 2021, the company entered into a new **€1.5 billion** Master Repurchase Agreement with Banco Santander and increased an existing facility with Citibank by **$500 million** to **$2.0 billion**[389](index=389&type=chunk)[393](index=393&type=chunk) Financing Structure (Net Book Value, in thousands) | Debt Type | June 30, 2021 | December 31, 2020 | | :--- | :--- | :--- | | Secured debt, net | $8,709,818 | $7,880,536 | | Securitized debt obligations, net | $2,833,778 | $2,922,499 | | Asset-specific debt, net | $292,122 | $391,269 | | Term loans, net | $1,332,130 | $1,041,704 | | Convertible notes, net | $618,111 | $616,389 | - During H1 2021, the company increased borrowings under its term loan facilities by a net **$300.0 million**[153](index=153&type=chunk) - In Q2 2021, the company issued a new **$803.8 million** CLO (2021 FL4), collateralized by **$1.0 billion** of loans[147](index=147&type=chunk)[148](index=148&type=chunk) [Note 10: Derivative Financial Instruments](index=38&type=section&id=Note%2010%3A%20Derivative%20Financial%20Instruments) The company uses derivatives like foreign currency forwards and interest rate caps to hedge investment and financing risks, holding **$19.9 million** in derivative assets and **$13.7 million** in liabilities - The sole objective for using derivatives is to minimize risks and costs associated with investments and financing; they are not used for speculative purposes[164](index=164&type=chunk) - The company uses foreign currency forward contracts as net investment hedges to protect against currency risk and interest rate caps as cash flow hedges for interest rate risk[166](index=166&type=chunk)[168](index=168&type=chunk) Fair Value of Derivative Instruments (in thousands) | Position | June 30, 2021 | December 31, 2020 | | :--- | :--- | :--- | | Derivative Assets | $19,860 | $522 | | Derivative Liabilities | $13,749 | $58,915 | [Note 11: Equity](index=41&type=section&id=Note%2011%3A%20Equity) As of June 30, 2021, the company had **147.0 million** shares outstanding, declared a **$0.62**/share dividend, reported **$0.89** Q2 EPS, and made no ATM sales - A dividend of **$0.62 per share** (**$91.1 million** in aggregate) was declared on June 15, 2021[186](index=186&type=chunk) Earnings Per Share (EPS) | Period | Net Income (Loss) Attributable to BXMT (in thousands) | Weighted-Average Shares | Basic & Diluted EPS | | :--- | :--- | :--- | :--- | | **Q2 2021** | $131,595 | 147,342,822 | **$0.89** | | **Q2 2020** | $17,544 | 138,299,418 | **$0.13** | | **H1 2021** | $211,497 | 147,339,895 | **$1.44** | | **H1 2020** | $(35,808) | 136,959,341 | **$(0.26)** | - No shares were sold under the At-The-Market (ATM) stock offering program during the six months ended June 30, 2021. An aggregate of **$363.8 million** remained available for issuance[184](index=184&type=chunk) [Note 18: Commitments and Contingencies](index=48&type=section&id=Note%2018%3A%20Commitments%20and%20Contingencies) The company's commitments total **$15.1 billion**, including **$3.4 billion** in unfunded loan commitments, with **$1.2 billion** due within one year, alongside ongoing COVID-19 uncertainty - As of June 30, 2021, the company had unfunded commitments of **$3.4 billion** related to 86 loans receivable, with an average future funding period of **3.1 years**[234](index=234&type=chunk) Contractual Obligations and Commitments (in thousands) | Obligation Type | Total Obligation | Less Than 1 Year | 1 to 3 Years | 3 to 5 Years | More Than 5 Years | | :--- | :--- | :--- | :--- | :--- | :--- | | Unfunded loan commitments | $3,353,259 | $153,985 | $1,666,386 | $1,525,438 | $7,450 | | Principal debt repayments | $11,007,522 | $812,386 | $3,865,234 | $5,848,654 | $481,248 | | Interest payments | $722,833 | $233,663 | $325,750 | $159,561 | $3,859 | | **Total** | **$15,083,614** | **$1,196,034** | **$5,851,200** | **$7,533,653** | **$502,727** | [Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations (MD&A)](index=50&type=section&id=ITEM%202.%20MANAGEMENT%27S%20DISCUSSION%20AND%20ANALYSIS%20OF%20FINANCIAL%20CONDITION%20AND%20RESULTS%20OF%20OPERATIONS) MD&A highlights Q2 2021 Distributable Earnings of **$0.61**/share, **$2.2 billion** in loan originations, **$19.2 billion** portfolio, improved credit quality, **$1.4 billion** liquidity, and increased net income due to reduced CECL reserve [Key Financial Measures and Indicators](index=52&type=section&id=Key%20Financial%20Measures%20and%20Indicators) Key metrics for Q2 2021 include **$0.89** GAAP EPS, **$0.62** dividend, **$0.61** Distributable Earnings, and **$26.68** book value per share, with Distributable Earnings as a non-GAAP dividend capacity indicator Key Metrics per Share - Q2 2021 | Metric | Value | | :--- | :--- | | Earnings Per Share (GAAP) | $0.89 | | Dividends Declared | $0.62 | | Distributable Earnings (Non-GAAP) | $0.61 | | Book Value Per Share | $26.68 | Reconciliation of GAAP Net Income to Distributable Earnings (Q2 2021, in thousands) | Line Item | Amount | | :--- | :--- | | Net income attributable to Blackstone Mortgage Trust | $131,595 | | *Less:* Decrease in CECL reserve | $(50,906) | | *Add:* Non-cash compensation expense | $8,020 | | *Add:* Other adjustments | $1,186 | | **Distributable Earnings** | **$89,895** | [Loan Portfolio Analysis](index=54&type=section&id=Loan%20Portfolio%20Analysis) Strong Q2 2021 loan originations of **$2.2 billion** grew the portfolio to **$19.2 billion**, with improved credit quality (**2.9** risk rating), **100%** interest collection, and a reduced CECL reserve of **$133.1 million** - Originated or acquired **$2.2 billion** of loans in Q2 2021 and **$3.9 billion** in the first six months of 2021[264](index=264&type=chunk)[265](index=265&type=chunk) Total Investment Portfolio Statistics (June 30, 2021) | Metric | Value | | :--- | :--- | | Total Investment Exposure | $19.2 billion | | Number of Investments | 125 | | Weighted-Average Origination LTV | 64.8% | | Weighted-Average All-in Yield | +3.56% | - During Q2 2021, the company collected **100%** of contractual interest payments due under its loans, with virtually no interest deferrals[272](index=272&type=chunk) - The total CECL reserve (for loans, debt securities, and unfunded commitments) decreased by an aggregate **$52.2 million** during H1 2021 to a total of **$133.1 million** as of June 30, 2021[279](index=279&type=chunk) [Portfolio Financing and Capital Resources](index=59&type=section&id=Portfolio%20Financing%20and%20Capital%20Resources) The company maintains a robust capital structure with **$13.4 billion** in asset-level financing, **$2.0 billion** in corporate debt, **2.7x** debt-to-equity, **3.8x** total leverage, and **$1.4 billion** liquidity, with floating-rate financing positively correlated to rising rates Leverage Ratios | Ratio | June 30, 2021 | December 31, 2020 | | :--- | :--- | :--- | | Debt-to-equity ratio | 2.7x | 2.5x | | Total leverage ratio | 3.8x | 3.6x | Sources of Liquidity (in thousands) | Source | June 30, 2021 | December 31, 2020 | | :--- | :--- | :--- | | Cash and cash equivalents | $289,552 | $289,970 | | Available borrowings under secured debt | $1,068,649 | $829,165 | | Loan principal payments held by servicer, net | $27,612 | $19,460 | | **Total Liquidity** | **$1,385,813** | **$1,138,595** | - As of June 30, 2021, **98%** of the company's investments by total exposure earned a floating rate of interest, financed with floating-rate liabilities, resulting in a positive correlation to rising interest rates[306](index=306&type=chunk) [Results of Operations](index=65&type=section&id=Results%20of%20Operations) Q2 2021 net income rose to **$131.6 million** (**$0.89**/share), primarily due to a **$49.6 million** decrease in the CECL reserve and increased net interest income, leading to **$211.5 million** net income for H1 2021 Quarter-over-Quarter Results of Operations (in thousands) | Metric | Q2 2021 | Q1 2021 | Change | | :--- | :--- | :--- | :--- | | Net interest income | $113,951 | $109,152 | $4,799 | | Decrease in CECL reserve | $50,906 | $1,293 | $49,613 | | **Net income attributable to BXMT** | **$131,595** | **$79,902** | **$51,693** | Year-over-Year (Six Months) Results of Operations (in thousands) | Metric | H1 2021 | H1 2020 | Change | | :--- | :--- | :--- | :--- | | Net interest income | $223,104 | $207,765 | $15,339 | | (Decrease) increase in CECL reserve | $52,199 | $(179,521) | $231,720 | | **Net income (loss) attributable to BXMT** | **$211,497** | **$(35,808)** | **$247,305** | [Item 3. Quantitative and Qualitative Disclosures About Market Risk](index=78&type=section&id=ITEM%203.%20QUANTITATIVE%20AND%20QUALITATIVE%20DISCLOSURES%20ABOUT%20MARKET%20RISK) The company's primary market risk is interest rate risk, with **98%** floating-rate investments, projecting a **$10.0 million** decrease in net interest income for a **50 bps** rate increase, while credit and currency risks are mitigated Annualized Interest Rate Sensitivity Analysis (in thousands) | Rate Change | Impact on Net Interest Income | | :--- | :--- | | +50 bps | $(10,043) | | +25 bps | $(5,592) | | -25 bps | $4,134 | | -50 bps | $4,200 | - Credit risk is managed through disciplined underwriting and active asset management, benefiting from Blackstone's real estate platform. The portfolio's low weighted-average LTV of **64.8%** provides significant equity protection[368](index=368&type=chunk)[369](index=369&type=chunk) - Currency risk is substantially mitigated by matching the currency of foreign assets with corresponding borrowings and using foreign currency forward contracts to hedge the net asset exposure[375](index=375&type=chunk)[377](index=377&type=chunk) - Margin call provisions in credit facilities are limited to collateral-specific credit marks and do not permit valuation adjustments based on general capital markets events[371](index=371&type=chunk) [Item 4. Controls and Procedures](index=81&type=section&id=ITEM%204.%20CONTROLS%20AND%20PROCEDURES) Management concluded that disclosure controls and procedures were effective as of June 30, 2021, with no material changes to internal control over financial reporting during the quarter - The CEO and CFO concluded that the company's disclosure controls and procedures are effective in ensuring timely and accurate reporting as required by the SEC[378](index=378&type=chunk) - No changes occurred during the quarter that have materially affected, or are reasonably likely to materially affect, the company's internal control over financial reporting[379](index=379&type=chunk) Part II. Other Information [Summary of Part II Items](index=82&type=section&id=Summary%20of%20Part%20II%20Items) Part II reports no material legal proceedings, risk factor changes, or defaults, detailing debt agreement amendments including refinancing term loans and new/increased repurchase agreements - The company reports no material legal proceedings, no material changes to risk factors, and no defaults on senior securities[381](index=381&type=chunk)[382](index=382&type=chunk)[384](index=384&type=chunk) - On June 21, 2021, the company amended its Term Loan Credit Agreement to refinance and increase its B-2 term loans by **$100.0 million**, while reducing the interest rate spread to **2.75%** from **4.75%**[387](index=387&type=chunk) - On May 14, 2021, subsidiaries entered into a new Master Repurchase Agreement with Banco Santander for up to **€1.5 billion**[389](index=389&type=chunk)[390](index=390&type=chunk) - On April 16, 2021, the company amended its Master Repurchase Agreement with Citibank, increasing the maximum facility size from **$1.5 billion** to **$2.0 billion**[393](index=393&type=chunk)

Blackstone Mortgage Trust, Inc. (NYSE:BXMT) Q1 2021 Earnings Conference Call April 28, 2021 9:00 AM ET Company Participants Steve Plavin - CEO Katie Keenan - President Tony Marone - CFO Doug Armer - EVP, Capital Markets Weston Tucker - Head, IR Conference Call Participants Timothy Hayes - BTIG Doug Harter - Credit Suisse Charlie Arestia - J.P. Morgan Jade Rahmani - KBW Don Fandetti - Wells Fargo Securities Stephen Laws - Raymond James Operator Good day, and welcome to the Blackstone Mortgage Trust, First Qu ...