悬崖来了！（浑水做空BXMT US）-英

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

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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

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evidenced

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w

riting.You

understand

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agree

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ith

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or

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e

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requires

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ledge

ofyour

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risk

tolerance,

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Waters

Capital

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suchknow

ledge

about

you.This

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e”

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ith

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ith

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herein

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ithout

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aiver

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e

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nevertheless

agree

that

the

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

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contrary,

any

claim

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action

arising

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related

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mus

t

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ithin

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(1)year

afterthe

occurrence

of

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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