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  "documentTitle": "Blackstone Mortgage Trust, Inc. (BXMT)",
  "authorId": "51_Muddy_Waters",
  "authorName": "Muddy Waters Research",
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  "sourceTypeLabel": "Short seller",
  "presentationDate": "2023-12-06 00:00:00",
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  "notes": "This slide explains the logic behind a specific quantitative estimate used in the activist report.",
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      "text": "We add these three groups together to estimate the amount of swaps terminating in 2024, and the result is $16.0 billion.",
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      "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.",
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      "text": "swap maturities: $16.0 billion",
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      "text": "Estimating 2024 Swap Maturities",
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