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"fraud-exposure" } ], "patterns": [] }, "storymakers": null, "score": null, "review": null, "activistThesis": { "tone": "adversarial", "notes": "Classic Muddy Waters short deck on Blackstone Mortgage Trust. Core mechanism: interest rate swaps (rate caps) that borrowers bought in 2021 at ~0.04% SOFR have been masking insolvency; ~$16B notional expire in 2024 and the wave of distress lands in H2 2024. Rhetorical anchors: Wile E. Coyote cover 'Here Comes the Cliff!', 'extend and pretend', 'Manipulation of Risk Ratings', 'Manipulation of CECLs'. uses_ceo_quote_contradiction set True based on p.39 exhibit juxtaposing BXMT's own '126% dividend coverage' headline against its own footnote admitting GAAP income covers only 27% — a disclosure-level self-contradiction. villain_named set False because accusations are aimed at BXMT/Blackstone collectively rather than a named individual. No explicit stake % disclosed; disclaimer states MW Related Persons are 'directionally consistent' (i.e. short) but no size given. Appendix deep-dives on specific problem loans: 444 N Michigan Ave, Almaden 488, Colony Square, One South Wacker, Hollingsworth (980 Ave of the Americas), Dublin portfolio, Waterline Austin construction loan. Visual production is basic PowerPoint (brown/gold accent bar, Arial/Helvetica body), typical of short-seller research note form.", "kpisCited": [ { "detail": "~$16 billion of borrower interest rate swaps expire through 2024", "metric": "Notional swaps terminating in 2024" }, { "detail": "70-75% of US borrowers (US is 64% of net book value)", "metric": "% US borrowers unable to cover interest absent swaps" }, { "detail": "Average CLO NOI/Debt ~6.5% vs. ~8.7% typical interest rate without swaps", "metric": "CLO borrower NOI/Debt vs. interest burden" }, { "detail": "At least 9 loans totaling $1.6B (~6.3% of NBV) modified through Q3 2023", "metric": "Loan modifications (extend-and-pretend)" }, { "detail": "~4-5% of interest income is PIK per BXMT IR", "metric": "PIK share of interest income" }, { "detail": "Only $141M (0.6%) reserved against $22.3B of 1-4 rated loans", "metric": "CECL reserves on 1-4 rated loans" }, { "detail": "$322M disclosed; ~23% impairment reserved on RR5 loans", "metric": "CECLs on Risk Rated 5 loans" }, { "detail": "$2.5B to $4.5B on $23.2B net book value of loans", "metric": "Estimated loan losses" }, { "detail": "~33-85% starting H2 2024 (55-85% at current SOFR; 33-55% at 4.5% SOFR)", "metric": "Expected dividend cut" }, { "detail": "$2.7B unfunded commitments against only $1.5B of committed/identified financings", "metric": "Unfunded loan commitments vs. available financing" }, { "detail": "BXMT's own Q3 2023 disclosure: GAAP income covers only 27% of the dividend", "metric": "GAAP dividend coverage" }, { "detail": "37 loans analyzed; 27 (73%) cannot cover interest expense absent swaps", "metric": "CLO borrower sample size" } ], "closingAsk": null, "extraction": { "at": "2026-04-22 20:03:11+00", "model": "unknown-legacy", "runId": null, "seconds": 177.60349, "promptVersion": null }, "scqaReward": "Short upside: $2.5-4.5B of likely loan losses versus a $4.0B market cap, plus a 33-85% dividend cut from H2 2024 that should re-rate the stock sharply lower.", "thesisTypes": [ "fraud_exposure" ], "top3Reasons": [ "~$16B of borrower interest rate swaps terminate in 2024, exposing 70-75% of US borrowers who can't cover interest", "Only $141M of CECL reserves on $22.3B of 1-4 rated loans vs. $2.5-4.5B of likely losses", "Dividend cut of 33-85% starting H2 2024; losses could wipe out the $4B market cap" ], "scqaSituation": "BXMT is a $4.0B Blackstone-managed mortgage REIT that originates floating-rate, interest-only commercial real-estate loans, capturing the SOFR-plus-spread gap and relying on borrower-purchased rate swaps to make interest coverage work.", "thesisSummary": "Muddy Waters is short Blackstone Mortgage Trust (BXMT), a Blackstone-managed REIT that makes floating-rate, interest-only commercial real-estate loans. 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"page": 3, "type": "tension", "title": "This is a classic activist short thesis slide, framing the problem as a combination of financial engineering (swaps) and fundamental credit risk.", "function": "frame_problem", "rawType": "problem_statement", "block": null, "metadata": { "slideType": "problem_statement", "slideTypeCanon": { "name": "Problem statement", "slug": "problem_statement", "status": "active", "canonId": "019de52d-0879-768d-bba8-8da8a5a121d4", "version": 1, "description": null }, "function": "frame_problem", "functionCanon": { "name": "Frame problem", "slug": "frame_problem", "status": "active", "canonId": "019de52d-13db-753e-ad70-e9b2d0dab398", "version": 1, "description": null }, "density": "dense", "densityScore": 53, "componentCount": 6, "textChars": 1009, "nDataPoints": 5, "notes": "This is a classic activist short thesis slide, framing the problem as a combination of financial engineering (swaps) and fundamental credit risk.", "elementsJson": [ "headline_text", "paragraph", "bullet_list", "footnote" ], "confidence": 1, "extraction": { "model": "google/gemini-3.1-flash-lite-preview-20260303", "runId": null, "at": "2026-05-02 20:47:00.964+00", "seconds": 2.893, "promptVersion": "v2-canon-conditioned" } }, "links": { "slide": "/slides/019dd923-622c-750b-8b97-831dc7f7d364/3", "deck": "/decks/019dd923-622c-750b-8b97-831dc7f7d364", "deckAnchor": "/decks/019dd923-622c-750b-8b97-831dc7f7d364#slide-3", "deckJson": "/decks/019dd923-622c-750b-8b97-831dc7f7d364.json" }, "components": [ { "bbox": null, "kind": "callout", "text": "BXMT's market cap, which is currently $4.0 billion, is at risk of being completely wiped out by these losses.", "attrs": null, "canon": { "kind": { "name": "Callout", "slug": "callout", "status": "active", "canonId": "019de52c-f8d3-761a-8953-7d37080de5e2", "version": 1, "description": "Highlighted callout box." }, "tool": { "name": "Visual emphasis", "slug": "visual-emphasis", "status": "active", "bestFor": null, "canonId": 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At present SOFR, we expect BXMT to cut its quarterly dividend by at least half.\nWe think large numbers of borrowers will be unable to refinance and repay BXMT.\nBXMT is at risk of a liquidity crisis.\nEven assuming rate cuts, BXMT's losses on its $23.2 billion net book value of loans could reach ~$2.5 billion to ~$4.5 billion. BXMT's market cap, which is currently $4.0 billion, is at risk of being completely wiped out by these losses. 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We believe that starting in 2024, as an estimated $16 billion of swaps terminate, the following problems will be evident:", "attrs": null, "canon": { "kind": { "name": "Paragraph", "slug": "paragraph", "status": "active", "canonId": "5f2affc0-941d-4d07-959d-4bfc1930cea4", "version": 1, "description": "Single prose block in the body of a slide." }, "tool": null, "subkind": { "name": "Paragraph", "slug": "paragraph", "status": "active", "canonId": "019de52c-fb80-75af-aa5c-a7a4bfac2433", "version": 1, "description": null }, "framework": null }, "subkind": "paragraph", "groupRole": null, "confidence": null, "extraction": { "at": "2026-05-02 20:47:00.964+00", "model": "google/gemini-3.1-flash-lite-preview-20260303", "runId": null, "seconds": null, "promptVersion": null }, "componentId": "ce8463a7-d6a7-45f5-bf48-9202e934c6bf", "parentComponentId": null }, { "bbox": { "h": 0.03, "w": 0.2, "x": 0.05, "y": 0.85 }, "kind": "source-note", "text": "1 Calculations discussed infra.", "attrs": null, "canon": { "kind": { "name": "Source note", "slug": "source-note", "status": "active", "canonId": "23484952-494b-4a5e-b1ad-550d0d70e948", "version": 1, "description": "Attribution / source / caveat placed at the slide footer. 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The volume of past-due loans... jumped 30 per cent, or $4bn, to $17.7bn in the three months to the end of September.", "attrs": null, "canon": { "kind": { "name": "List", "slug": "list", "status": "active", "canonId": "019de52c-f94b-779b-a53b-fd4904a5f4d2", "version": 1, "description": "Bullet or numbered list." }, "tool": null, "subkind": { "name": "Bullet list", "slug": "bullet", "status": "active", "canonId": "019de52c-fc98-7169-a083-5cab805076ca", "version": 1, "description": null }, "framework": null }, "subkind": "bullet", "groupRole": null, "confidence": null, "extraction": { "at": "2026-05-02 20:47:02.221+00", "model": "google/gemini-3.1-flash-lite-preview-20260303", "runId": null, "seconds": null, "promptVersion": null }, "componentId": "f868de6b-5aff-4e7b-99ee-66c2de3c4fb4", "parentComponentId": null }, { "bbox": { "h": 0.12, "w": 0.28, "x": 0.04, "y": 0.21 }, "kind": "paragraph", "text": "$1.2 trillion of US CRE maturities in 2024-2025. 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(U.S. borrowers are 64% of net book value.)", "attrs": null, "canon": { "kind": { "name": "List", "slug": "list", "status": "active", "canonId": "019de52c-f94b-779b-a53b-fd4904a5f4d2", "version": 1, "description": "Bullet or numbered list." }, "tool": null, "subkind": { "name": "Bullet list", "slug": "bullet", "status": "active", "canonId": "019de52c-fc98-7169-a083-5cab805076ca", "version": 1, "description": null }, "framework": null }, "subkind": "bullet", "groupRole": null, "confidence": null, "extraction": { "at": "2026-05-02 20:47:02.504+00", "model": "google/gemini-3.1-flash-lite-preview-20260303", "runId": null, "seconds": null, "promptVersion": null }, "componentId": "eaea75c5-1762-401f-bb64-7c29947dc88d", "parentComponentId": null }, { "bbox": null, "kind": "metric", "text": "loan losses: $4.5 billion", "attrs": null, "canon": { "kind": { "name": "Metric", "slug": "metric", "status": "active", "canonId": "019de52c-f923-73bf-8081-d0b1a8c5264d", "version": 1, "description": "Big-number or KPI value." }, "tool": { "name": "Quantification", "slug": "quantification", "status": "active", "bestFor": null, "canonId": "019dd9e1-47ab-72ce-a079-aab1f5299e88", "version": 1, "bodyDocId": null, "description": "Translating a claim into numbers, charts, or tables.", "familyLabel": null }, "subkind": null, "framework": null }, "subkind": "primary", "groupRole": null, "confidence": null, "extraction": { "at": "2026-04-22 22:59:08+00", "model": "unknown-legacy", "runId": null, "seconds": null, "promptVersion": null }, "componentId": "019dd952-fb90-708a-8682-9d23b291507f", "parentComponentId": null }, { "bbox": { "h": 0.03, "w": 0.2, "x": 0.05, "y": 0.87 }, "kind": "source-note", "text": "1 Calculations discussed infra.", "attrs": { "numbered": true }, "canon": { "kind": { "name": "Source note", "slug": "source-note", "status": "active", "canonId": "23484952-494b-4a5e-b1ad-550d0d70e948", "version": 1, "description": "Attribution / source / caveat placed at the slide footer. 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If in 2021, the borrower opened a swap through the initial maturity on a typical three-year loan (with two one-year extension options) when 30-day SOFR averaged 0.04%, the swap counterparty has been paying the ~530 bps difference between current SOFR (5.3%) and the initial rate. The weighted average spread on a BXMT loan is ~343 bps, meaning that without swaps, the typical borrower would be paying ~8.7% now. 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rest of the slide.", "familyLabel": null }, "subkind": null, "framework": null }, "subkind": null, "groupRole": null, "confidence": null, "extraction": { "at": "2026-04-22 22:59:09+00", "model": "unknown-legacy", "runId": null, "seconds": null, "promptVersion": null }, "componentId": "019dd952-fb90-708a-8682-fbb61c71d0c4", "parentComponentId": null }, { "bbox": { "h": 0.4, "w": 0.85, "x": 0.05, "y": 0.2 }, "kind": "list", "text": "We understand from BXMT Investor Relations that the CLOs are representative of BXMT's U.S. loan book, ex-construction and very large loans.\nIt seems that ~70% - 75% of the U.S. loan book is unable to service its debt absent rate swaps, based on the CLOs.\nWe also see indicia of stress in international and construction loans, which we discuss infra.", "attrs": null, "canon": { "kind": { "name": "List", "slug": "list", "status": "active", "canonId": "019de52c-f94b-779b-a53b-fd4904a5f4d2", "version": 1, "description": "Bullet or numbered list." }, "tool": null, "subkind": { "name": "Bullet list", "slug": "bullet", "status": "active", "canonId": "019de52c-fc98-7169-a083-5cab805076ca", "version": 1, "description": null }, "framework": null }, "subkind": "bullet", "groupRole": null, "confidence": null, "extraction": { "at": "2026-05-02 20:47:07.143+00", "model": "google/gemini-3.1-flash-lite-preview-20260303", "runId": null, "seconds": null, "promptVersion": null }, "componentId": "0973f7e6-06c6-4d8f-93a2-d40c19bb59ea", "parentComponentId": null }, { "bbox": { "h": 0.08, "w": 0.5, "x": 0.05, "y": 0.05 }, "kind": "title", "text": "Extrapolating to the Entire Loan Book", "attrs": null, "canon": { "kind": { "name": "Title", "slug": "title", "status": "active", "canonId": "019de52c-f7dd-76d9-b848-b1f12bd85cf4", "version": 1, "description": "Slide title or headline." }, "tool": null, "subkind": { "name": "Headline", "slug": "headline", "status": "active", "canonId": "019de52c-fae1-7463-9a7c-d60668eced0d", "version": 1, "description": null }, 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"subkind": null, "framework": null }, "subkind": "primary", "groupRole": null, "confidence": null, "extraction": { "at": "2026-04-22 22:59:08+00", "model": "unknown-legacy", "runId": null, "seconds": null, "promptVersion": null }, "componentId": "019dd952-fb90-708a-8682-ddeb9eb17a42", "parentComponentId": null }, { "bbox": { "h": 0.3, "w": 0.8, "x": 0.1, "y": 0.35 }, "kind": "title", "text": "We Estimate that ~$16 Billion of Swaps Terminate through 2024", "attrs": null, "canon": { "kind": { "name": "Title", "slug": "title", "status": "active", "canonId": "019de52c-f7dd-76d9-b848-b1f12bd85cf4", "version": 1, "description": "Slide title or headline." }, "tool": null, "subkind": { "name": "Headline", "slug": "headline", "status": "active", "canonId": "019de52c-fae1-7463-9a7c-d60668eced0d", "version": 1, "description": null }, "framework": null }, "subkind": "headline", "groupRole": null, "confidence": null, "extraction": { "at": "2026-05-02 20:47:02.22+00", "model": 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"alignedBlockIds": null, "matchConfidence": 0.8 } ], "loops": [], "locked": true }, { "page": 23, "type": "analysis", "title": "This slide explains the logic behind a specific quantitative estimate used in the activist report.", "function": "analyze_data", "rawType": "appendix_methodology", "block": null, "metadata": { "slideType": "appendix_methodology", "slideTypeCanon": { "name": "Appendix methodology", "slug": "appendix_methodology", "status": "active", "canonId": "019de52d-07d9-726c-8599-167f2d2ffaa7", "version": 1, "description": null }, "function": "analyze_data", "functionCanon": { "name": "Analyze data", "slug": "analyze_data", "status": "active", "canonId": "019de52d-1590-7413-8c82-cc218cff40b4", "version": 1, "description": null }, "density": "balanced", "densityScore": 45, "componentCount": 4, "textChars": 1259, "nDataPoints": 4, "notes": "This slide explains the logic behind a specific quantitative estimate used in the activist report.", "elementsJson": [ "headline_text", "bullet_list" ], "confidence": 1, "extraction": { "model": "google/gemini-3.1-flash-lite-preview-20260303", "runId": null, "at": "2026-05-02 20:47:06.021+00", "seconds": 5.563, "promptVersion": "v2-canon-conditioned" } }, "links": { "slide": "/slides/019dd923-622c-750b-8b97-831dc7f7d364/23", "deck": "/decks/019dd923-622c-750b-8b97-831dc7f7d364", "deckAnchor": "/decks/019dd923-622c-750b-8b97-831dc7f7d364#slide-23", "deckJson": "/decks/019dd923-622c-750b-8b97-831dc7f7d364.json" }, "components": [ { "bbox": null, "kind": "callout", "text": "We add these three groups together to estimate the amount of swaps terminating in 2024, and the result is $16.0 billion.", "attrs": null, "canon": { "kind": { "name": "Callout", "slug": "callout", "status": "active", "canonId": "019de52c-f8d3-761a-8953-7d37080de5e2", "version": 1, "description": "Highlighted callout box." }, "tool": { "name": "Visual emphasis", "slug": "visual-emphasis", "status": "active", "bestFor": null, "canonId": "019dd9e1-474b-736b-a8eb-a794dd88241c", "version": 1, "bodyDocId": null, "description": "Drawing the eye to one element above the rest of the slide.", "familyLabel": null }, "subkind": null, "framework": null }, "subkind": null, "groupRole": null, "confidence": null, "extraction": { "at": "2026-04-22 22:59:09+00", "model": "unknown-legacy", "runId": null, "seconds": null, "promptVersion": null }, "componentId": "019dd952-fb90-708a-8683-3dcc8c08dc97", "parentComponentId": null }, { "bbox": { "h": 0.7, "w": 0.9, "x": 0.05, "y": 0.15 }, "kind": "list", "text": "BXMT's disclosed \"Maximum Maturities\" in its Loan Portfolio Details table refer to year in which all extension options have been exercised.\nWe assume that borrowers initially enter into swaps that only cover their initial loan terms, i.e., three years. BXMT does not require borrowers to swap away interest exposure for renewal terms prior to exercising them.\nTherefore, the 2024 Maximum Maturity amount of $5.1 billion does not capture the amount of swaps maturing in 2024.\nWe also assume that the extensions consist of two one-year options, and that borrowers only swap away extension period rate exposure one year at a time.\n2024 Maximum Maturities ($5.1 billion) mostly apply to 2019 vintage loans; 2025 Maximum Maturities ($3.9 billion) mostly apply to 2020 loans that should have one-year swaps expiring in 2024; and, 2026 Maximum Maturities ($7.0 billion) should apply to 2021 vintage loans that have initial maturities and swaps terminating in 2024. We add these three groups together to estimate the amount of swaps terminating in 2024, and the result is $16.0 billion.", "attrs": null, "canon": { "kind": { "name": "List", "slug": "list", "status": "active", "canonId": "019de52c-f94b-779b-a53b-fd4904a5f4d2", "version": 1, "description": "Bullet or numbered list." }, "tool": null, "subkind": { "name": "Bullet list", "slug": "bullet", "status": "active", "canonId": "019de52c-fc98-7169-a083-5cab805076ca", "version": 1, "description": null }, "framework": null }, "subkind": "bullet", "groupRole": null, "confidence": null, "extraction": { "at": "2026-05-02 20:47:06.021+00", "model": "google/gemini-3.1-flash-lite-preview-20260303", "runId": null, "seconds": null, "promptVersion": null }, "componentId": "c0ba82aa-c8fe-4257-8eb3-2158cd4c01e0", "parentComponentId": null }, { "bbox": null, "kind": "metric", "text": "swap maturities: $16.0 billion", "attrs": null, "canon": { "kind": { "name": "Metric", "slug": "metric", "status": "active", 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"kind": "paragraph", "text": "BXMT's total non-specific CECLs across the entire U.S. book are $114 million, which this table shows is unduly low. 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Michigan Ave, which matures in January 2024, is a harbinger of the near future for BXMT.", "attrs": null, "canon": { "kind": { "name": "Callout", "slug": "callout", "status": "active", "canonId": "019de52c-f8d3-761a-8953-7d37080de5e2", "version": 1, "description": "Highlighted callout box." }, "tool": { "name": "Visual emphasis", "slug": "visual-emphasis", "status": "active", "bestFor": null, "canonId": "019dd9e1-474b-736b-a8eb-a794dd88241c", "version": 1, "bodyDocId": null, "description": "Drawing the eye to one element above the rest of the slide.", "familyLabel": null }, "subkind": null, "framework": null }, "subkind": null, "groupRole": null, "confidence": null, "extraction": { "at": "2026-04-22 22:59:12+00", "model": "unknown-legacy", "runId": null, "seconds": null, "promptVersion": null }, "componentId": "019dd952-fb90-708a-8685-80292aab5645", "parentComponentId": null }, { "bbox": null, "kind": "metric", "text": "Risk Rating: 5", "attrs": null, "canon": { "kind": { "name": 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CLO and the real estate data service show that 444 Michigan Ave was a struggling property for at least two years before being downgraded to a 5. As of FY 2022, it was still rated a 3. In Q1 2023, BXMT revised downward to 4. 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Apart from PwC, which occupied the building prior to the acquisition, and one other tenant, Almaden 488 appears to have remained vacant for 2.5 years. We have found a brochure advertising the space. 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Our data confirms: 10% of building 100 was occupied by WeWork. Stated vacancy of 300 is 51% and shadow vacancy is 68.2%. 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"text": "Co-incidentally Invenergy is a company into which another arm of Blackstone has invested ~$4bn.", "attrs": null, "canon": { "kind": { "name": "Callout", "slug": "callout", "status": "active", "canonId": "019de52c-f8d3-761a-8953-7d37080de5e2", "version": 1, "description": "Highlighted callout box." }, "tool": { "name": "Visual emphasis", "slug": "visual-emphasis", "status": "active", "bestFor": null, "canonId": "019dd9e1-474b-736b-a8eb-a794dd88241c", "version": 1, "bodyDocId": null, "description": "Drawing the eye to one element above the rest of the slide.", "familyLabel": null }, "subkind": null, "framework": null }, "subkind": null, "groupRole": null, "confidence": null, "extraction": { "at": "2026-04-22 22:59:12+00", "model": "unknown-legacy", "runId": null, "seconds": null, "promptVersion": null }, "componentId": "019dd952-fb90-708a-8685-56180ae9fab2", "parentComponentId": null }, { "bbox": { "h": 0.3, "w": 0.45, "x": 0.05, "y": 0.45 }, "kind": "image", "text": "Invenery Announces $1 Billion Follow On Investment From Blackstone Infrastructure Partners", "attrs": null, "canon": { "kind": { "name": "Image", "slug": "image", "status": "active", "canonId": "019de52c-f978-701f-a720-51d029d769e7", "version": 1, "description": "Photo, illustration, screenshot or icon." }, "tool": null, "subkind": { "name": "Screenshot", "slug": "screenshot", "status": "active", "canonId": "019de52c-fd87-7509-8391-3d79fb339379", "version": 1, "description": null }, "framework": null }, "subkind": "screenshot", "groupRole": null, "confidence": null, "extraction": { "at": "2026-05-02 20:47:06.87+00", "model": "google/gemini-3.1-flash-lite-preview-20260303", "runId": null, "seconds": null, "promptVersion": null }, "componentId": "1a6c376b-97d0-4e1a-8b41-6af3d9aba349", "parentComponentId": null }, { "bbox": { "h": 0.5, "w": 0.4, "x": 0.55, "y": 0.35 }, "kind": "image", "text": "News clippings regarding 601W and Invenergy", "attrs": null, "canon": { "kind": { "name": "Image", "slug": "image", "status": "active", "canonId": "019de52c-f978-701f-a720-51d029d769e7", "version": 1, "description": "Photo, illustration, screenshot or icon." }, "tool": null, "subkind": { "name": "Screenshot", "slug": "screenshot", "status": "active", "canonId": "019de52c-fd87-7509-8391-3d79fb339379", "version": 1, "description": null }, "framework": null }, "subkind": "screenshot", "groupRole": null, "confidence": null, "extraction": { "at": "2026-05-02 20:47:06.87+00", "model": "google/gemini-3.1-flash-lite-preview-20260303", "runId": null, "seconds": null, "promptVersion": null }, "componentId": "b0bc804b-1fd5-430e-99f8-636e9f62930f", "parentComponentId": null }, { "bbox": null, "kind": "metric", "text": "loan impairment: $154.7m", "attrs": null, "canon": { "kind": { "name": "Metric", "slug": "metric", "status": "active", "canonId": "019de52c-f923-73bf-8081-d0b1a8c5264d", "version": 1, "description": "Big-number or KPI value." }, "tool": { "name": "Quantification", "slug": 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