Interest rate swaps and manipulated risk ratings / loss provisions have obscured serious  deterioration in BXMT's loan book. We believe that starting in 2024, as an estimated $16  billion 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 cut its quarterly dividend by at least half.

• We think large numbers of borrowers 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 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. These losses would be in  addition to BXMT's existing loss provisions.