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Blackstone
Mortgage
Trust,
Inc.
(BXMT)Here
Comes
the
Cliff!December
6,
2023MUDDY
WATERS
RESEARCH1You
should
assume
that,
as
of
the
publication
date
ofa
Muddy
Waters
report,
Muddy
Waters
Related
Persons
havea
position
dir
ectionally
consistent
w
ith
the
view
sexpressed
herein
(i.e.,
long
or
short)
inone
or
more
of
thesecurities
of
a
Covered
Issuer
or
aderivative
thereto,and
thereforewilllikelyrealize
significant
gains
in
the
event
that
the
prices
of
either
equityor
debt
securities
of
a
Covered
Issuer
decline
or
appreciate.
Muddy
WatersResearch,
Muddy
Waters
Capital
and/or
the
Muddy
Waters
Related
Persons
intend
to
continue
transacting
in
the
securities
of
Covered
Issuers
for
an
indefinite
period
after
aninitial
report
on
a
Covered
Person,
and
such
person
may
be
long,short,
or
neutral
at
any
time
hereafter
regardless
of
their
initial
position
and
view
s
as
stated
as
of
the
date
of
this
presentation.
No
Muddy
Waters
Related
Person
has
any
duty
to
update
this
presentation
and/or
update
you
on
any
position,
ifany,
w
e
may
have
in
the
Covered
Issuer’s
securities.Muddy
Waters
Capital
does
not
render
investment
advice
to
anyone
unless
it
has
aninvestment
adviser-client
relationship
w
ith
that
person
evidenced
in
w
riting.You
understand
and
agree
that
Muddy
Waters
Capital
does
not
have
anyinvestment
advisory
relationship
w
ith
you
or
does
not
ow
e
fiduciary
duties
to
you.
Giving
investment
advice
requires
know
ledge
ofyour
financial
situation,
investment
objectives,
and
risk
tolerance,
and
Muddy
Waters
Capital
has
no
suchknow
ledge
about
you.This
presentation
has
been
published
by
Muddy
Waters,
LLC
(“Muddy
Waters
Research”
or
”w
e”
or“us”).
We
are
under
common
control
and
affiliated
w
ith
Muddy
Waters
Capital
LLC
(“Muddy
Waters
Capital”).
We
refertoMuddy
WatersResearch
and
Muddy
Waters
Capital
collectively
as
“Muddy
Waters”.
All
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forth
herein
are
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purposes
only.
Under
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circumstances
should
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or
opinions
herein
be
construed
asinvestment
advice,
as
an
offer
to
sell,
or
the
solicitation
ofan
offer
to
buy
any
securities
or
other
financial
instruments.Muddy
Waters
Research
is
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research
publication
that
produces
due
diligence-based
reports
on
publicly
traded
securities,
and
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Waters
Capital
LLC
is
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adviser
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ith
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Securities
and
ExchangeCommission.
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ith
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ith
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ithin
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2005
(the
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or
(b)
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orth
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ithin
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ebsiteare
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ho
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ithout
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arnings
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ho
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ebsite.FOR
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ho
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n
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ise
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ho
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itha
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s,
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illprovide
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ell
as
compensate
us
forour
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cost.
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or
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formation
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contract,
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t
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resolved
prior
to
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proceeding
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ithany
other
claim
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Waters
Related
Person.You
(or
any
person
acting
as
your
agent)
agree
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Waters
Related
Person
forany
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further
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ow
n
research
and
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diligence
before
making
any
investment
decision
w
ith
respect
to
securities
of
the
issuers
covered
herein
(each,
a
“Covered
Issuer”)
or
any
other
financial
instruments
that
reference
the
Covered
Issuer.
Yourepresent
that
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have
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investment
sophistication
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critically
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analysis,
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ill
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s
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ledge,
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reliable
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e
believe
to
beaccurate
and
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The
information
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herein
is
“as
is,”
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ithoutw
arranty
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hether
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ithout
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ay
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eenyou
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Waters
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arising
from
or
related
tothis
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shall
begoverned
by
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law
s
of
the
State
of
Texas,
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ithout
regard
toany
conflict
oflaw
provisions.
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ingly
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aive
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,
given
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Waters
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Texas.
The
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of
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Waters
Research
to
exercise
or
enforce
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right
or
provision
herein
shall
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constitute
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aiver
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right
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provision.
If
any
provision
ofthese
Terms
of
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e
is
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invalid,
the
parties
nevertheless
agree
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court
should
endeavor
togive
effect
tothe
parties’
intentions
as
reflected
in
the
other
provisions
set
forth
herein,
in
particular
as
tothis
governing
law
andjurisdiction
provision.
You
agree
that
regardless
of
any
statute
or
law
to
the
contrary,
any
claim
or
cause
of
action
arising
out
of
or
related
to
this
presentation
mus
t
be
filed
w
ithin
one
(1)year
afterthe
occurrence
of
the
alleged
harm
that
gaverise
to
such
claim
or
cause
ofaction,
or
such
claim
or
cause
of
action
be
forever
barred.MUDDY
WATERS
RESEARCH2Muddy
Waters
is
Short
BXMTInterest
rate
swaps
and
manipulated
risk
ratings
/
loss
provisions
have
obscured
seriousdeterioration
in
BXMT
's
loan
book.
We
bel
i
eve
that
starting
in
2024,
as
an
estimated
$16billion
of
swaps
terminate,
the
following
problems
will
be
evident:?
BXMT
will
likely
significantly
cut
its
dividend
as
soon
as
H2
2024.
At
present
SOFR,we
expect
BXMT
to
cutitsquarterly
dividend
by
at
least
half.?
We
think
large
numbers
ofborrowers
will
be
unable
to
refinance
and
repay
BXMT.?
BXMT
is
at
risk
of
a
liquidity
crisis.?
Even
assuming
rate
cuts,
BXMT
's
losses
on
its
$23.2
billion
net
book
val
ue
of
loanscould
reach
~$2.5
billion
to
~$4.5
billion.
BXMT
's
market
cap,
which
is
currently
$4.0billion,
is
at
risk
of
being
completely
wiped
out
by
these
losses.
These
losses
would
be
inaddition
to
BXMT
's
existing
loss
provisions.1
Calculations
discussed
infra.MUDDY
WATERS
RESEARCH3ContentsBXMT
Has
Looked
Stead
y,
But
That's
About
to
ChangeOur
Methodology812162224293542Man
y
Borrowers
Can't
Cover
Interest
ExpenseWe
Estimatethat
~$16
Billion
of
Swaps
Terminate
through
2024Borrowers
Unable
to
Refinanceand
Repay
BXMTBXMT
Has
Been
Obscuring
these
IssuesDividend
Impact
and
BXMT's
OptionsAppendix:
Examples
of
Problematic
LoansMUDDY
WATERS
RESEARCH4How
BXMT
Works?
BMXT
is
a
REIT
that
borrows
money
and
lends
it
onward
tocommercial
mortgage
borrowers.?
The
loans
are
floating
rate
(SOFR
+
spread)
interest
-only.?
The
loans
typically
have
three-year
initial
terms.
If
borrowers
meet
mainlyNOI
/
debt
tests,
they
may
exten
d
f
or
1
+
1
years.?
BXMT
requires
that
its
borrowers
enter
into
interest
rate
swaps
("rate
caps")
toprotect
their
ability
topay
interest
in
a
rising
rate
environment.?
BXMT
captures
a
spread
between
interest
income
and
interest
expens
e.
Itsability
to
make
distributions
depends
on
its
ability
to
avoid
significant
defaults.N.B.
Because
these
are
interest-only
loans,
this
model
relies
on
borrowersbei
ng
able
to
refinance
to
repay
the
loans.MUDDY
WATERS
RESEARCH5The
Perfect
Macro
Storm?
In
office,
NOIs
are
downbecause
of
changes
since
the
pandemic.o
Vacan
cies
are
going
even
higher
as
existing
leases
terminate.o
Opex
is
higher
due
to
inflation.o
Decreased
NOIs
makeit
harder
to
service
debt.?
CRE
asset
values
are
down
because
of
sharply
higher
rates.o
Man
y
CRE
borrowers
owe
morethan
their
properties
are
currently
worth.o
Becauselenders
typically
only
lend
60%
to
70%
of
aproperty's
value,
"upside
down"
borrowers
areunable
to
refinance
and
pay
off
interest-only
loans.?
Anticipatedratecuts
would
be
toolittle,
toolate
for
manyCRE
borrowers.o
Rates
would
be
cut
to
address
macro
weakness
–the
type
of
weakness
to
whichmuch
CRE
isexposed.o
CRE
asset
valuechanges
generally
lag
ratemovements.Unless
SOFR
hits
~3.5%
inH2
2024
without
the
economy
slowing,
we
think
BXM
Twill
be
hammered
by
the
macro.MUDDY
WATERS
RESEARCH6CMBS
Market
is
Reflecting
theStress
and
AnotherOverhang$1.2
trillion
ofUS
CRE
maturitiesin
2024-2025.
Forcedsellersof
CMBS
providing
a
picture
ofthe
market?
"Delinquent
commercial
real
estate
loans
at
US
banks
have
hit
their
highest
level
ina
decade,
as
higher
interestrates,anuncertain
economy
and
the
rise
ofremote
working
pile
pressure
onbuilding
owners.
The
volume
ofpast-dueloans
in
which
ownersof
propertiesrented
to
others
have
missed
morethan
one
payment
jumped30
percent,
or
$4bn,
to$17.7bn
in
the
three
mo
nt
hs
to
the
end
of
September,
according
toindustry
trackerBankRegData.
The
figure
had
risen
by
$10bn
ina
year."?
“Thanks
todeterioration
inproperty-level
financial
performance,
only
about
25
percent
of
conduit
and
singleasset/singleborrowerCMBS
loans
will
be
able
to
refinance
in
the
next
two
years,
GS
found.
For
thebroaderCMBS
market,
that
figure
is
just
40
percent.
GS
has
toma
ke
some
assumptions
about
whatsecurities
can
refinance,
ofcourse.
The
strategists
settle
on
an
LTV
below
60
per
cent;
an
implied
mortgage
rate
from
ofatleast
7
per
cent;
and
a
debt
service
coverage
ratio
above
1.3to1.5
depending
on
the
property
type.”Source
FT
"Colliding
withCRE's
maturity
wall"
December
1st
2023MUDDY
WATERS
RESEARCH7BXMT
Has
LookedSteady,
But
That's
About
to
ChangeMUDDY
WATERS
RESEARCH8WhyHasn't
BXMT
Ye
t
Shown
Signs
ofDistress??
Many
borrowers
have
only
been
able
to
stay
current
through
theunprecedented
rate
hikes
of
2022-2023
because
of
theswaps.?
BXMT
has
also
been
giving
investors
a
false
sense
of
security
through
unrealistic(and
subjective)
RiskRatings
and
CECL
(Current
Expecte
d
Credit
Loss)provisioning.?
BXMT
has
been
"extending
and
pretending"
by
modifying
troubled
loans
thatare
already
otherwise
in
def
ault
–
extending
maturities
and
allowing
them
to
PIK.oWe
believe
that
at
least
nine
loans
totaling
$1.6
billion
(~6.3%
of
BXMT'snet
book
value)
have
already
been
modified
through
Q3
2023.oWe
understand
that
already
~4%
to
~5%
of
interest
income
is
PIK.11
Perdiscussions
with
BXMT
Investor
Relations.MUDDY
WATERS
RESEARCH92024
Will
Be
a
Turning
Point?
BXMT
willlikely
significantly
cut
its
dividendas
soon
as
H2
2024
because
we
extrapolatethat
~70%-75%
of
BXMT's
U.S.
borrowers
are
presently
unable
to
cover
interest
expensefrom
property
cashflowsabsent
interest
rateswaps.
(U.S.
borrowers
are
64%
of
net
book
value.)o
We
estimate
~$16
billion
notional
ofits
borrowers'
interestrate
swapsexpireover
the
next
year..1?
Becauseasset
values
h
ave
fallen,
as
these
interest-only
loans
begin
to
mature
n
ext
year,
we
think
largenumbers
of
borrowers
willbe
unable
to
refinance
and
repay
B
XMT.?
BXMT
is
at
risk
ofaliquidity
crisis.o
Because
ma
ny
ofits
loans
s
eemingly
exceed
collateral
values,
BXMT's
lenders
could
"hyper
-amortize"
the
loansif
BXMT
doesn't
post
additional
collateral.o
BXMT
has
unfunded
loan
c
ommitments
of
$2.7
billion,
but
with
only
$1.5
billion
ofcommitted
or
identifiedfinancings
for
those
commitments,
making
it
reliant
on
borrowers
being
able
to
refinance
their
interest-onlyloans.?
Even
assumingratecuts,
BXMT's
losses
on
its
$23.2
billion
net
book
valueof
loans
could
reach~$2.5billion
to
~$4.5billion.
BXMT's
market
cap,
whichis
currently
$4.0
billion,
is
at
risk
of
beingcompletely
wiped
out
by
these
losses.
Theselosses
are
in
addition
to
BXMT's
existing
loss
provisions.?
BXMT
has
concealedthe
impending
problems
through
under-provisioning
and
unrealistic
Risk
Ratings.1
Calculations
discussed
infra.MUDDY
WATERS
RESEARCH10Absent
Swaps,
Many
Borrowers
Can'tServiceBXMT
Debt?
BXMT's
loans
are
interest-only
floating
rate
(e.g.,
30-day
LIBOR/SOFR+Spread).?
If
in
2021,
theborrower
opened
a
swap
through
the
initial
maturity
on
a
typicalthree-year
loan
(with
two
one-year
exten
sion
options)
when
30-day
SOFRaveraged
0.04%,
the
swap
counterparty
has
been
paying
the
~530
bpsdifference
between
current
SOFR(5.3%)
and
the
initial
rate.1?
The
weighted
average
spread
on
a
BXMT
loan
is~343
bps,
meaning
thatwithout
swaps,
thetypical
borrowerwould
be
paying
~8.7%
now.?
The
average
borrower
NOI
/
Debt
in
the
CLO
(see
infra)
is
~6.5%.We
estimate
that
~$16
bi
l
lion
of
these
swaps
will
terminate
in
2024.MUDDY
WATERS
RESEARCH11Our
MethodologyDel
vi
ng
into
BXMT's
CLO
DataMUDDY
WATERS
RESEARCH12OurMethodology
/
Edge:
BXMT
GranularLoan
Data
from
CLOs?
From
BXMT's
three
CLOs,
we
obtained
granular
information
on
37
ofBXMT's
185
balance
sheet
loans,1
which
represent
~$5.0
billion
of
BXMT's$23.2
billion
balance
sheet.?
BXMT
Investor
Relations
has
confirmed
that
theCLO
loans
arerepresentative
of
the
U.S.
loans
on
BXMT's
balance
sheet.?
We
then
used
a
leading
commercial
real
estate
databaseto
understand
property
details,
including
vacancies
and
"shadow
vacancies"(i.e.,
rented
but
unoccupied
space
on
the
market
f
or
sublease),
andestimated
cap
rates
at
which
the
properties
should
trade.?
Our
extrapol
ati
ons
are
primarily
f
rom
these
37
loans,
but
throughidentifying
three
non-CLOloans,
we
have
also
gotten
a
window
into
non
-U.S.
loans,
construction
loans,
and
other
parts
of
the
book.
Certain
of
theseloans
also
show
indicia
of
needing
impairments.1
CLO
servicer
report
available
from
MUDDY
WATERS
RESEARCH13BXMT
CLO
Data
ExampleMUDDY
WATERS
RESEARCH14Bottom
CLO
Tranches
are
Already
on
theWatchlistThe
CLO
servicing
report
for
the
three
CLOs
show
a
total
of
$1.9
billionof
loans
that
are
on
the
"watchlist"
at
"6A",
which
means
"Any
OtherSituation
that
Indicates
an
Increased
Level
of
Default
Riskthatmay
Create
Potential
Material
Losses
to
Investors
(Lesser
of
10%
ofUPB
or
$500,000)"11
CLO
servicer
Watchlist
report
available
from
MUDDY
WATERS
RESEARCH15Many
Borrowers
Can't
Cover
Interest
ExpenseWe
extrapol
at
e
that
~70%
to
75%
of
U.S.
borrowers
are
unable
to
payinterest
expen
s
e
without
the
swaps.MUDDY
WATERS
RESEARCH16How
to
Determine
aProperty's
Debt
Service
Capacity?
We
determine
eac
h
propert
y's
ability
to
s
ervic
e
its
interest
expens
eby
dividing
LTM
NOI
(avail
ab
l
e
in
CLO
data)
by
the
outstandingprincipal
balanc
e.o
If
the
result
is
great
er
than
the
combined
rate
on
the
loan,
weas
s
ume
the
propert
y
c
an
s
ervic
e
its
interest
expens
e.o
We
gener
all
y
exc
lud
e
c
apex
needs
,
which
is
c
ompan
y
f
avor
abl
e.MUDDY
WATERS
RESEARCH1773%
of
CLO
Borrowers
Aren't
Covering
Interest
Expense
Absent
Swaps?
10
of
the
37
CLO
borrowers
(27%
by
number,
29%
by
NBV)
ar
e
unable
toc
over
SOFR
at
pres
ent
("Group
A").
On
aver
ag
e,
they
would
only
be
ableto
cover
interest
if
SOFR
were
~0.5%.1?
17
of
the
37
CLO
borrowers
(46%
by
number,
49%
by
NBV)
ar
e
unable
toc
over
their
s
preads
.
On
aver
ag
e,
they
would
only
be
able
to
coverinterest
if
SOFR
were~3.5%.1
As
shown
infra,
this
calculation
excludes
two
propertiesthat
presently
have
negative
NOIs
due
to
construction
and
/or
renovation.MUDDY
WATERS
RESEARCH18Group
A
–
Seemingly
Unable
to
Cover
SOFR
Above
3.5%Not
one
ofthese
properties
could
cover
interest
evenif
SOFR
were
only
3.5%.MUDDY
WATERS
RESEARCH19Group
B
–
Seemingly
Unable
to
Cover
Interest
Above
3.5%
SOFRMUDDY
WATERS
RESEARCH20Extrapolating
to
the
Entire
Loan
Book?
We
understand
f
rom
BXMT
Investor
Relations
that
the
CLOsarerepresentative
of
BXMT's
U.S.
loan
book,
ex-construction
and
verylarge
loans.?
It
seems
that
~70%
-
75%of
the
U.S.
loan
book
is
unable
toservice
its
debt
absent
rate
swaps,
based
on
the
CLOs.?
We
also
see
indicia
of
stressininternational
and
construction
loans,which
we
discuss
infra.MUDDY
WATERS
RESEARCH21We
Estimate
that
~$16
Billion
of
SwapsTerminate
through
2024MUDDY
WATERS
RESEARCH22Estimating
2024
Swap
Maturities?
BXMT's
disclosed
"Maximum
Maturities"
in
its
Loan
Portfolio
Details
table
refer
toyear
in
which
all
extension
options
have
been
exercised.?
We
assume
that
borrowers
initially
enter
into
swaps
that
only
cover
their
initial
loanterms,
i.e.,
three
years.
BXMT
does
not
require
borrowers
to
swap
away
interestexposure
for
renewal
terms
prior
to
exercising
them.?
Therefore,
the
2024
MaximumMaturity
amount
of$5.1
billion
does
not
capture
theamount
of
swaps
maturing
in
2024.?
We
also
assume
that
the
extensions
consist
of
two
one-year
options,
and
thatborrowers
only
swap
away
extension
period
rate
exposure
one
year
at
a
time.?
2024
Maximum
Maturities
($5.1
billion)
mostly
apply
to
2019
vintage
loans;
2025MaximumMaturities
($3.9
billion)
mostly
apply
to
2020
loans
that
should
have
one-year
swaps
expiring
in
2024;
and,
2026
MaximumMaturities
($7.0
billion)
shouldapply
to
2021
vintage
loans
that
have
initial
maturities
and
swaps
terminating
in2024.
We
add
these
three
groups
together
to
estimate
the
amount
ofswaps
terminating
in
2024,
and
the
result
is
$16.0
billion.MUDDY
WATERS
RESEARCH23Borrowers
Unable
to
Refinance
and
Repay
BXMTThe
Core
Probl
em
for
Borrowersin
BXMT's
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