CONSOLIDATED STATEMENT OF OPERATIONS

Income from loans and other investments

Interest and related income

Interest and related expenses

Income from loans and other investments, net

Other expenses

Management and incentive fees

General and administrative expenses

Total other expenses

Increase (decrease) in current expected credit loss reserve

Income (loss) before income taxes

Income tax provision (benefit)

Net income (loss)

Net income attributable to non-controlling interests

Net income (loss) attributable to Blackstone Mortgage Trust, Inc.

CONSOLIDATED BALANCE SHEETS

Assets

Cash and cash equivalents

Loans receivable

Current expected credit loss reserve

Loans receivable, net

Other assets

Total Assets

Liabilities and Equity

Secured debt agreements, net

Loan participations sold, net

Securitized debt obligations, net

Asset-specific debt agreements, net

Secured term loans, net

Convertible notes, net

Other liabilities

Total Liabilities

Commitments and contingencies

Equity

Total Blackstone Mortgage Trust, Inc. stockholders’ equity

Non-controlling interests

Total Equity

Total Liabilities and Equity

CONSOLIDATED STATEMENT OF CASH FLOW DATA

Net cash provided by operating activities

Net cash used in investing activities

Net cash (used in) provided by financing activities

Number of investments

Principal balance

Net book value

Unfunded loan commitments⁽²⁾

Weighted-average cash coupon⁽³⁾

Weighted-average all-in yield⁽³⁾

Weighted-average maximum maturity (years)⁽⁴⁾

Origination loan to value (LTV)⁽⁵⁾

We do not consolidate the 2018 Single Asset Securitization on our consolidated financial statements. Refer to Notes 4 and 16 to our consolidated financial statements for further discussion of the 2018 Single Asset Securitization. In certain instances, we finance our loans through the non-recourse sale of a senior loan interest that is not included in our consolidated financial statements.

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

The weighted-average spread and all-in yield are expressed as a spread over the relevant floating benchmark rates, which include USD LIBOR, GBP LIBOR, EURIBOR, STIBOR, BBSY, and CDOR, as applicable to each investment. As of each period end above, 96% or more of our investments by total investment exposure earned a floating rate of interest, primarily indexed to USD LIBOR. The remainder our investments earned a fixed rate of interest. We reflect the fixed rate of interest as a spread over the relevant floating benchmark rates for purposes of the weighted-averages. In addition to spread, all-in yield includes the amortization of deferred origination and extension fees, loan origination costs, and purchase discounts, as well as the accrual of exit fees. Excludes loans accounted for under the cost-recovery method. Refer to our Quarterly Reports on Form 10-Q for the quarters ended June 30, 2021 and June 30, 2020 and our Annual Reports on Form 10-K for the years ended December 31, 2020, 2019 and 2018 for period-specific detail.

Maximum maturity assumes all extension options are exercised by the borrower, however our loans and other investments may be repaid prior to such date. As of June 30, 2021, 36% of our loans and other investments by total investment exposure were subject to yield maintenance or other prepayment restrictions and 64% were open to repayment by the borrower without penalty. As of June 30, 2020, 51% of our loans and other investments were subject to yield maintenance or other prepayment restrictions and 49% were open to repayment by the borrower without penalty. As of December 31, 2020, 32% of our loans and other investments by total investment exposure were subject to yield maintenance or other prepayment restrictions and 68% were open to repayment by the borrower without penalty. As of December 31, 2019, 59% of our loans and other investments were subject to yield maintenance or other prepayment restrictions and 41% were open to repayment by the borrower without penalty. As of December 31, 2018, 77% of our loans and other investments were subject to yield maintenance or other prepayment restrictions and 23% were open to repayment by the borrower without penalty.

Based on LTV as of the dates loans and other investments were originated or acquired by us.

Other financial data

Liquidity

Collateral value

Credit metrics

Debt-to-equity ratio⁽¹⁾

Secured debt-to-equity ratio⁽²⁾

Collateral coverage ratio⁽³⁾

Represents (i) total outstanding secured debt agreements, asset-specific debt agreements, secured term loans, senior secured notes, and convertible notes, less cash, to (ii) book value of equity.

Represents (i) total outstanding secured debt agreements, secured term loans, and senior secured notes, less cash, to (ii) book value of equity.

Represents (i) the Collateral value to (ii) total outstanding principal amount under (A) the Term Loan B and (B) the Notes

Net income (loss)⁽¹⁾

(Decrease) increase in current expected credit loss reserve

Non-cash compensation expense

GE purchase discount accretion adjustment⁽²⁾

Realized hedging and foreign currency income, net⁽³⁾

Other items

Increase attributable to non-controlling interest

Distributable Earnings⁽⁴⁾

Convertible interest and cost and discount amortization

Term Loan B interest and cost and discount amortization

Income Taxes

Adjusted EBITDA⁽⁵⁾

Represents net income attributable to Blackstone Mortgage Trust.

Historically, we have deferred in Distributable Earnings the accretion of a purchase discount attributable to a certain pool of GE portfolio loans acquired in May 2015, until repayment in full of the remaining loans in the pool was substantially assured. During the year ended December 31, 2018, it was determined that repayment of the remaining loans in the deferral pool was substantially assured. As such, the $8.7 million of deferred purchase discount, which has been previously recognized in GAAP net income, was realized in Distributable Earnings during the year ended December 31, 2018.

For the years ended December 31, 2020 and 2019, primarily represents the forward points earned on our foreign currency forward contracts, which reflect the interest rate differentials between the applicable base rate for our foreign currency investments and USD LIBOR. These forward contracts effectively convert the rate exposure to USD LIBOR, resulting in additional interest income earned in U.S. dollar terms. These amounts were not included in GAAP net income, but rather as a component of Other Comprehensive Income in our consolidated financial statements.

“Distributable Earnings” is a non-GAAP measure, which we define as GAAP net income (loss), including realized gains and losses not otherwise recognized in current period GAAP net income (loss), and excluding (i) non-cash equity compensation expense, (ii) depreciation and amortization, (iii) unrealized gains (losses), and (iv) certain non-cash items. Distributable Earnings may also be adjusted from time to time to exclude one-time events pursuant to changes in GAAP and certain other non-cash charges as determined by our Manager, subject to approval by a majority of our independent directors. Distributable Earnings mirrors the terms of our management agreement between our Manager and us for purposes of calculating our incentive fee expense. We believe that Distributable Earnings provides meaningful information to consider in addition to our net income (loss) and cash flow from operating activities determined in accordance with GAAP. We believe Distributable Earnings is a useful financial metric for existing and potential future holders of our class A common stock as historically, over time, Distributable Earnings has been a strong indicator of our dividends per share. As a REIT, we generally must distribute annually at least 90% of our net taxable income, subject to certain adjustments, and therefore we believe our dividends are one of the principal reasons stockholders may invest in our class A common stock. Refer to Note 13 to our consolidated financial statements for further discussion of our distribution requirements as a REIT. Further, Distributable Earnings helps us to evaluate our performance excluding the effects of certain transactions and GAAP adjustments that we believe are not necessarily indicative of our current loan portfolio and operations, and is a performance metric we consider when declaring our dividends. Distributable Earnings does not represent net income (loss) or cash generated from operating activities and should not be considered as an alternative to GAAP net income (loss), or an indication of our GAAP cash flows from operations, a measure of our liquidity, or an indication of funds available for our cash needs. In addition, our methodology for calculating Distributable Earnings may differ from the methodologies employed by other companies to calculate the same or similar supplemental performance measures, and accordingly, our reported Distributable Earnings may not be comparable to the Distributable Earnings reported by other companies.

“Adjusted EBITDA” is a non-GAAP measure, which we define as represents Distributable Earnings plus (i) interest accrued on convertible notes and amortization of issuance costs and discounts of convertible notes, (ii) interest accrued on the Term Loan B and amortization of issuance costs and discounts of the Term Loan B, and (iii) income tax provisions. We believe that Adjusted EBITDA provides useful information to investors about our company and its financial condition and results of operations. Adjusted EBITDA should not be considered in isolation from, and is not intended to represent an alternative to, our GAAP results. In addition, our methodology for calculating Adjusted EBITDA may differ from the methodologies employed by other companies to calculate the same or similar supplemental measures, and accordingly, our reported Adjusted EBITDA may not be comparable to the Adjusted EBITDA reported by other companies.

First mortgage net asset value

Whole loans

Retained syndication interests

Retained securities

Available borrowings under secured debt facilities

Cash and cash equivalents⁽¹⁾

Collateral value

Includes loan principal and interest payments held by our third-party loan servicer as of the balance sheet date which were remitted to us during the subsequent remittance cycle. For the period ended June 30, 2021 and pro forma of the Transactions and for the periods ended June 30, 2021, June 30, 2020, December 31, 2020, December 31, 2019 and December 31, 2018, loan principal and interest payments totaled $27.6 million, $27.6 million, $11.6 million, $19.5 million, $2.0 million and $4.9 million, respectively.