懸崖來了?。喫隹誃XMT US）

BlackstoneMortgageTrust,Inc.(BXMT)

HereComestheCliff!

December6,2023

MUDDYWATERSRESEARCH1

Youshouldassumethat,asofthepublicationdateofaMuddyWatersreport,MuddyWatersRelatedPersonshaveapositiondirectionallyconsistentwiththeviewsexpressedherein(i.e.,longorshort)inoneormoreofthe

securitiesofaCoveredIssueroraderivativethereto,andthereforewilllikelyrealizesignificantgainsintheeventthatthepricesofeitherequityordebtsecuritiesofaCoveredIssuerdeclineorappreciate.MuddyWaters

Research,MuddyWatersCapitaland/ortheMuddyWatersRelatedPersonsintendtocontinuetransactinginthesecuritiesofCoveredIssuersforanindefiniteperiodafteraninitialreportonaCoveredPerson,andsuchpersonmaybelong,short,orneutralatanytimehereafterregardlessoftheirinitialpositionandviewsasstatedasofthedateofthispresentation.NoMuddyWatersRelatedPersonhasanydutytoupdatethispresentationand/orupdateyouonanyposition,ifany,wemayhaveintheCoveredIssuer’ssecurities.

MuddyWatersCapitaldoesnotrenderinvestmentadvicetoanyoneunlessithasaninvestmentadviser-clientrelationshipwiththatpersonevidencedinwriting.YouunderstandandagreethatMuddyWatersCapitaldoesnothaveanyinvestmentadvisoryrelationshipwithyouordoesnotowefiduciarydutiestoyou.Givinginvestmentadvicerequiresknowledgeofyourfinancialsituation,investmentobjectives,andrisktolerance,andMuddyWatersCapitalhasnosuchknowledgeaboutyou.

ThispresentationhasbeenpublishedbyMuddyWaters,LLC(“MuddyWatersResearch”or”we”or“us”).WeareundercommoncontrolandaffiliatedwithMuddyWatersCapitalLLC(“MuddyWatersCapital”).WerefertoMuddyWatersResearchandMuddyWatersCapitalcollectivelyas“MuddyWaters”.Allinformationandopinionssetforthhereinareforinformationalpurposesonly.Undernocircumstancesshouldanyinformationoropinionshereinbeconstruedas

investmentadvice,asanoffertosell,orthesolicitationofanoffertobuyanysecuritiesorotherfinancialinstruments.

MuddyWatersResearchisanonlineresearchpublicationthatproducesduediligence-basedreportsonpubliclytradedsecurities,andMuddyWatersCapitalLLCisaninvestmentadviserregisteredwiththeU.S.SecuritiesandExchangeCommission.ThispresentationisthepropertyofMuddyWatersResearch.Theopinions,information,andreportssetforthhereinaresolelyattributabletoMuddyWatersResearch.

Byviewingandaccessingthispresentation,youhaveenteredintoacontractforgoodandvalidconsiderationwithMuddyWatersResearchtoviewthispresentation.Inexchange,youagreetothetermssetforthinthisdisclaimer.You

furtheragreethatMuddyWatersResearchmayassignitsrightsderivedunderthiscontracttoMuddyWatersCapital,anditsaffiliatesandrelatedparties,including,butnotlimitedtoanyprincipals,officers,directors,employees,members,clients,investors,consultantsandagents(collectively,withMuddyWatersResearch,the“MuddyWatersRelatedPersons”).

IfyouareintheUnitedKingdom,youconfirmthatyouareaccessingresearchandmaterialsasoronbehalfof:(a)aninvestmentprofessionalfallingwithinArticle19oftheFinancialServicesandMarketsAct2000(FinancialPromotion)

Order2005(the“FPO”);or(b)highnetworthentityfallingwithinArticle49oftheFPO(eacha“PermittedRecipient”).InrelationtotheUnitedKingdom,theresearchandmaterialsonthiswebsitearebeingissuedonlyto,andaredirected

onlyat,personswhoarePermittedRecipientsand,withoutprejudicetoanyotherrestrictionsorwarningssetoutintheseTermsofUse,personswhoarenotPermittedRecipientsmustnotactorrelyontheinformationcontainedinanyoftheresearchormaterialsonthiswebsite.

FOREEAUSERS:Thissiteandtheinformationonitisneitherdirectedatnormadeavailabletoretailclients.Itisdirectedonlyatpersonswhoareprofessionalinvestors(forthepurposesoftheAlternativeInvestmentFundManagers

Directive(2011/61/EU)(knownas‘AIFMD’);professionalclientsoreligiblecounterpartiesforthepurposesoftheMarketsinFinancialInstrumentsDirective(Directive2004/39/EC)(knownas‘MiFID’);orasotherwisedefinedunderapplicablelocalregulationsandatwhomthissiteandtheinformationonitmaylawfullybedirectedinanyrelevantjurisdiction.

YouagreethatbothMuddyWatersResearchandMuddyWatersCapitalarefinancialjournalists,whoareaffordedtheprotectionsundertheapplicableanti-SLAPPlaw,theapplicablereporters’privilegelaw,andgeneralprotectionsandlaws

affordedtojournalistsbytheFirstAmendmentoftheConstitutionoftheUnitedStates.IfyouareeverinlitigationwithaMuddyWatersRelatedPerson,youagreenottochallengeourassertionsrelatedtoanyoftheselaws,andifyoudochallengesuchassertions,youagreethatyouwillprovideanon-refundablebondtocoverourlegalexpensesandindemnifyusforallexpensesandcosts(includinglosses)aswellascompensateusforourlostopportunitycost.Ifyou

challengethisprovisionortheformationofacontract,suchachallengemustberesolvedpriortoyouproceedingwithanyotherclaimagainstanyMuddyWatersRelatedPerson.

You(oranypersonactingasyouragent)agreetoholdharmlesseachMuddyWatersRelatedPersonforanydirectorindirectlosses(includingtradinglosses)attributabletoanyinformationoropinioninthispresentation.Youfurtheragreetodoyourownresearchandduediligencebeforemakinganyinvestmentdecisionwithrespecttosecuritiesoftheissuerscoveredherein(each,a“CoveredIssuer”)oranyotherfinancialinstrumentsthatreferencetheCoveredIssuer.You

representthatyouhavesufficientinvestmentsophisticationtocriticallyassesstheinformation,analysis,andopinionsinthispresentation.Youfurtheragreethatyouwillnotcommunicatethecontentsofthispresentationtoanyotherpersonunlessthatpersonhasagreedtobeboundbytheseterms.

ThispresentationrepresentstheviewsofMuddyWatersResearchonlyandisbasedongenerallypubliclyavailableinformation.Tothebestofourknowledge,allinformationcontainedhereinisaccurateandreliableandhasbeenobtained

frompubliclyavailablesourcesthatwebelievetobeaccurateandreliable.Theinformationpresentedhereinis“asis,”withoutwarrantyofanykind,whetherexpressorimplied.Thispresentationcontainsaverylargemeasureofanalysisandopinion.Allexpressionsofopinionaresubjecttochangewithoutnotice,andMuddyWatersResearchisnotunderanydutytoupdateorsupplementthispresentationoranyinformationoropinionherein.

Byviewingthispresentation,youagreethatnoMuddyWatersRelatedPersonshallbeliableforanyclaims,losses,costs,ordamagesofanykind,includingdirect,indirect,punitive,exemplary,incidental,specialorconsequentialdamages,arisingoutoforinanywayconnectedwiththispresentation.ThislimitationofliabilityappliesregardlessofanynegligenceorgrossnegligenceofanyMuddyWatersRelatedPersons.Youacceptallrisksinrelyingontheinformationand

opinionsinthispresentation.

YouagreethatanydisputebetweenyouandMuddyWatersResearchanditsaffiliatesarisingfromorrelatedtothispresentationshallbegovernedbythelawsoftheStateofTexas,withoutregardtoanyconflictoflawprovisions.You

knowinglyandindependentlyagreetosubmittothepersonalandexclusivejurisdictionofthestateandfederalcourtslocatedinAustin,Texasandwaiveyourrighttoanyotherjurisdictionorapplicablelaw,giventhatMuddyWatersResearchanditsaffiliatesarebasedinAustin,Texas.ThefailureofMuddyWatersResearchtoexerciseorenforceanyrightorprovisionhereinshallnotconstituteawaiverofsuchrightorprovision.IfanyprovisionoftheseTermsofUseisfoundbyacourtofcompetentjurisdictiontobeinvalid,thepartiesneverthelessagreethatthecourtshouldendeavortogiveeffecttotheparties’intentionsasreflectedintheotherprovisionssetforthherein,inparticularastothisgoverninglawand

jurisdictionprovision.Youagreethatregardlessofanystatuteorlawtothecontrary,anyclaimorcauseofactionarisingoutoforrelatedtothispresentationmustbefiledwithinone(1)yearaftertheoccurrenceoftheallegedharmthatgaverisetosuchclaimorcauseofaction,orsuchclaimorcauseofactionbeforeverbarred.

MUDDYWATERSRESEARCH2

MuddyWatersisShortBXMT

Interestrateswapsandmanipulatedriskratings/lossprovisionshaveobscuredseriousdeteriorationinBXMT'sloanbook.Webelievethatstartingin2024,asanestimated$16billionofswapsterminate,thefollowingproblemswillbeevident:

?BXMTwilllikelysignificantlycutitsdividendassoonasH22024.AtpresentSOFR,weexpectBXMTtocutitsquarterlydividendbyatleasthalf.

?WethinklargenumbersofborrowerswillbeunabletorefinanceandrepayBXMT.

?BXMTisatriskofaliquiditycrisis.

?Evenassumingratecuts,BXMT'slossesonits$23.2billionnetbookvalueofloans

couldreach~$2.5billionto~$4.5billion.BXMT'smarketcap,whichiscurrently$4.0

billion,isatriskofbeingcompletelywipedoutbytheselosses.Theselosseswouldbein

additiontoBXMT'sexistinglossprovisions.

1Calculationsdiscussedinfra.

MUDDYWATERSRESEARCH3

Contents

BXMTHasLookedSteady,ButThat'sAbouttoChange

8

OurMethodology

12

ManyBorrowersCan'tCoverInterestExpense

16

WeEstimatethat~$16BillionofSwapsTerminatethrough202422

BorrowersUnabletoRefinanceandRepayBXMT

24

BXMTHasBeenObscuringtheseIssues

29

DividendImpactandBXMT'sOptions

35

Appendix:ExamplesofProblematicLoans

42

MUDDYWATERSRESEARCH4

HowBXMTWorks

?BMXTisaREITthatborrowsmoneyandlendsitonwardtocommercialmortgageborrowers.

?Theloansarefloatingrate(SOFR+spread)interest-only.

?Theloanstypicallyhavethree-yearinitialterms.IfborrowersmeetmainlyNOI/debttests,theymayextendfor1+1years.

?BXMTrequiresthatitsborrowersenterintointerestrateswaps("ratecaps")toprotecttheirabilitytopayinterestinarisingrateenvironment.

?BXMTcapturesaspreadbetweeninterestincomeandinterestexpense.Itsabilitytomakedistributionsdependsonitsabilitytoavoidsignificantdefaults.

N.B.Becausetheseareinterest-onlyloans,thismodelreliesonborrowersbeingabletorefinancetorepaytheloans.

MUDDYWATERSRESEARCH5

ThePerfectMacroStorm

.Inoffice,NOIsaredownbecauseofchangessincethepandemic.

oVacanciesaregoingevenhigherasexistingleasesterminate.

oOpexishigherduetoinflation.

oDecreasedNOIsmakeithardertoservicedebt.

.CREassetvaluesaredownbecauseofsharplyhigherrates.

oManyCREborrowersowemorethantheirpropertiesarecurrentlyworth.

oBecauselenderstypicallyonlylend60%to70%ofaproperty'svalue,"upsidedown"borrowersareunabletorefinanceandpayoffinterest-onlyloans.

.Anticipatedratecutswouldbetoolittle,toolateformanyCREborrowers.

oRateswouldbecuttoaddressmacroweakness–thetypeofweaknesstowhichmuchCREisexposed.

oCREassetvaluechangesgenerallylagratemovements.

UnlessSOFRhits~3.5%inH22024withouttheeconomyslowing,wethinkBXMTwillbehammeredbythemacro.

MUDDYWATERSRESEARCH6

CMBSMarketisReflectingtheStressandAnother

Overhang

$1.2trillionofUSCREmaturities

in2024-2025.Forcedsellers

ofCMBSprovidingapictureof

themarket

?"DelinquentcommercialrealestateloansatUSbankshavehittheirhighestlevelinadecade,ashigherinterestrates,anuncertaineconomyandtheriseofremoteworkingpilepressureonbuildingowners.Thevolumeofpast-due

loansinwhichownersofpropertiesrentedtoothershavemissedmorethanonepaymentjumped30percent,or$4bn,to$17.7bninthethreemonthstotheendofSeptember,accordingtoindustrytracker

BankRegData.Thefigurehadrisenby$10bninayear."

?“Thankstodeteriorationinproperty-levelfinancialperformance,onlyabout25percentofconduitandsingle

asset/singleborrowerCMBSloanswillbeabletorefinanceinthenexttwoyears,GSfound.ForthebroaderCMBSmarket,thatfigureisjust40percent.GShastomakesomeassumptionsaboutwhat

securitiescanrefinance,ofcourse.ThestrategistssettleonanLTVbelow60percent;animpliedmortgageratefromofatleast7percent;andadebtservicecoverageratioabove1.3to1.5dependingonthepropertytype.”

SourceFT"CollidingwithCRE'smaturitywall"December1st2023

MUDDYWATERSRESEARCH7

BXMTHasLookedSteady,ButThat'sAbouttoChange

MUDDYWATERSRESEARCH8

WhyHasn'tBXMTYetShownSignsofDistress?

.Manyborrowershaveonlybeenabletostaycurrentthroughthe

unprecedentedratehikesof2022-2023becauseoftheswaps.

.BXMThasalsobeengivinginvestorsafalsesenseofsecuritythroughunrealistic(andsubjective)RiskRatingsandCECL(CurrentExpectedCreditLoss)

provisioning.

.BXMThasbeen"extendingandpretending"bymodifyingtroubledloansthat

arealreadyotherwiseindefault–extendingmaturitiesandallowingthemtoPIK.

oWebelievethatatleastnineloanstotaling$1.6billion(~6.3%ofBXMT'snetbookvalue)havealreadybeenmodifiedthroughQ32023.

oWeunderstandthatalready~4%to~5%ofinterestincomeisPIK.1

1PerdiscussionswithBXMTInvestorRelations.

MUDDYWATERSRESEARCH9

2024WillBeaTurningPoint

?BXMTwilllikelysignificantlycutitsdividendassoonasH22024becauseweextrapolatethat~70%-75%ofBXMT'sU.S.borrowersarepresentlyunabletocoverinterestexpensefrompropertycashflowsabsentinterestrateswaps.(U.S.borrowersare64%ofnetbookvalue.)

oWeestimate~$16billionnotionalofitsborrowers'interestrateswapsexpireoverthenextyear..1

?Becauseassetvalueshavefallen,astheseinterest-onlyloansbegintomaturenextyear,wethinklargenumbersofborrowerswillbeunabletorefinanceandrepayBXMT.

?BXMTisatriskofaliquiditycrisis.

oBecausemanyofitsloansseeminglyexceedcollateralvalues,BXMT'slenderscould"hyper-amortize"theloansifBXMTdoesn'tpostadditionalcollateral.

oBXMThasunfundedloancommitmentsof$2.7billion,butwithonly$1.5billionofcommittedoridentifiedfinancingsforthosecommitments,makingitreliantonborrowersbeingabletorefinancetheirinterest-only

loans.

?Evenassumingratecuts,BXMT'slossesonits$23.2billionnetbookvalueofloanscouldreach

~$2.5billionto~$4.5billion.BXMT'smarketcap,whichiscurrently$4.0billion,isatriskofbeing

completelywipedoutbytheselosses.TheselossesareinadditiontoBXMT'sexistinglossprovisions.

?BXMThasconcealedtheimpendingproblemsthroughunder-provisioningandunrealisticRiskRatings.

1Calculationsdiscussedinfra.

MUDDYWATERSRESEARCH10

AbsentSwaps,ManyBorrowersCan'tServiceBXMTDebt

?BXMT'sloansareinterest-onlyfloatingrate(e.g.,30-dayLIBOR/SOFR+Spread).

?Ifin2021,theborroweropenedaswapthroughtheinitialmaturityonatypicalthree-yearloan(withtwoone-yearextensionoptions)when30-daySOFR

averaged0.04%,theswapcounterpartyhasbeenpayingthe~530bpsdifferencebetweencurrentSOFR(5.3%)andtheinitialrate.1

?TheweightedaveragespreadonaBXMTloanis~343bps,meaningthat

withoutswaps,thetypicalborrowerwouldbepaying~8.7%now.

?TheaverageborrowerNOI/DebtintheCLO(seeinfra)is~6.5%.

Weestimatethat~$16billionoftheseswapswillterminatein2024.

MUDDYWATERSRESEARCH11

OurMethodology

DelvingintoBXMT'sCLOData

MUDDYWATERSRESEARCH12

OurMethodology/Edge:BXMTGranularLoanDatafromCLOs

?FromBXMT'sthreeCLOs,weobtainedgranularinformationon37of

BXMT's185balancesheetloans,1whichrepresent~$5.0billionofBXMT's$23.2billionbalancesheet.

?BXMTInvestorRelationshasconfirmedthattheCLOloansarerepresentativeoftheU.S.loansonBXMT'sbalancesheet.

?Wethenusedaleadingcommercialrealestatedatabase

tounderstandpropertydetails,includingvacanciesand"shadowvacancies"

(i.e.,rentedbutunoccupiedspaceonthemarketforsublease),and

estimatedcapratesatwhichthepropertiesshouldtrade.

?Ourextrapolationsareprimarilyfromthese37loans,butthrough

identifyingthreenon-CLOloans,wehavealsogottenawindowintonon-

U.S.loans,constructionloans,andotherpartsofthebook.Certainoftheseloansalsoshowindiciaofneedingimpairments.

1CLOservicerreportavailablefrom

MUDDYWATERSRESEARCH13

BXMTCLODataExample

MUDDYWATERSRESEARCH14

BottomCLOTranchesareAlreadyontheWatchlist

TheCLOservicingreportforthethreeCLOsshowatotalof$1.9billion

ofloansthatareonthe"watchlist"at"6A",whichmeans"AnyOther

SituationthatIndicatesanIncreasedLevelofDefaultRiskthat

mayCreatePotentialMaterialLossestoInvestors(Lesserof10%ofUPBor$500,000)"1

1CLOservicerWatchlistreportavailablefrom

MUDDYWATERSRESEARCH15

ManyBorrowersCan'tCoverInterestExpense

Weextrapolatethat~70%to75%ofU.S.borrowersareunabletopayinterestexpensewithouttheswaps.

HowtoDetermineaProperty'sDebtServiceCapacity

?Wedetermineeachproperty'sabilitytoserviceitsinterestexpensebydividingLTMNOI(availableinCLOdata)bytheoutstanding

principalbalance.

oIftheresultisgreaterthanthecombinedrateontheloan,weassumethepropertycanserviceitsinterestexpense.

oWegenerallyexcludecapexneeds,whichiscompanyfavorable.

MUDDYWATERSRESEARCH17

73%ofCLOBorrowersAren'tCoveringInterestExpenseAbsentSwaps

?10ofthe37CLOborrowers(27%bynumber,29%byNBV)areunableto

coverSOFRatpresent("GroupA").Onaverage,theywouldonlybeabletocoverinterestifSOFRwere~0.5%.1

?17ofthe37CLOborrowers(46%bynumber,49%byNBV)areunabletocovertheirspreads.Onaverage,theywouldonlybeabletocover

interestifSOFRwere~3.5%.

1Asshowninfra,thiscalculationexcludestwopropertiesthatpresentlyhavenegativeNOIsduetoconstructionand/orrenovation.

MUDDYWATERSRESEARCH18

GroupA-SeeminglyUnabletoCoverSOFRAbove3.5%

NotoneofthesepropertiescouldcoverinterestevenifSOFRwereonly3.5%.

MUDDYWATERSRESEARCH19

GroupB-SeeminglyUnabletoCoverInterestAbove3.5%SOFR

MUDDYWATERSRESEARCH20

ExtrapolatingtotheEntireLoanBook

?WeunderstandfromBXMTInvestorRelationsthattheCLOsare

representativeofBXMT'sU.S.loanbook,ex-constructionandverylargeloans.

?Itseemsthat~70%-75%oftheU.S.loanbookisunabletoserviceitsdebtabsentrateswaps,basedontheCLOs.

?Wealsoseeindiciaofstressininternationalandconstructionloans,whichwediscussinfra.

MUDDYWATERSRESEARCH21

WeEstimatethat~$16BillionofSwaps

Terminatethrough2024

Estimating2024SwapMaturities

?BXMT'sdisclosed"MaximumMaturities"initsLoanPortfolioDetailstablerefertoyearinwhichallextensionoptionshavebeenexercised.

?Weassumethatborrowersinitiallyenterintoswapsthatonlycovertheirinitialloanterms,i.e.,threeyears.BXMTdoesnotrequireborrowerstoswapawayinterest

exposureforrenewaltermspriortoexercisingthem.

?Therefore,the2024MaximumMaturityamountof$5.1billiondoesnotcapturetheamountofswapsmaturingin2024.

?Wealsoassumethattheextensionsconsistoftwoone-yearoptions,andthatborrowersonlyswapawayextensionperiodrateexposureoneyearatatime.

?2024MaximumMatur