UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q


☒			QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended ~~March 31,~~September 30, 2023


☐			TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from to

Commission File Number: 001-38124

GRANITE POINT MORTGAGE TRUST INC.

(Exact name of registrant as specified in its charter)


Maryland						61-1843143
(State or other jurisdiction of incorporation or organization)						(I.R.S. Employer Identification No.)


3 Bryant Park, Suite 2400A
New York,	New York	10036
(Address of principal executive offices)		(Zip Code)

(212) 364-5500

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:

Title of each class

Trading Symbol(s)

Name of each exchange on which registered

Common Stock, par value $0.01 per share

GPMT

NYSE

7.00% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, par value $0.01 per share

GPMTPrA

NYSE

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒ No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☒ No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer

☐

Accelerated filer

☒

Non-accelerated filer

☐

Smaller reporting company

☐

Emerging growth company

☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No ☒

Indicate the number of shares outstanding of each of the issuer’s classes of common stock, as of the latest practicable date.

As of ~~May 4,~~November 2, 2023, there were ~~51,526,039~~51,577,841 shares of outstanding common stock, par value $0.01 per share, issued and outstanding.

GRANITE POINT MORTGAGE TRUST INC.

INDEX


		Page
	PART I - FINANCIAL INFORMATION
Item 1.	Financial Statements (unaudited)	1
	Condensed Consolidated Balance Sheets at ~~March 31, 2023~~September 30 , 2023, and December 31, 2022	1
	Condensed Consolidated Statements of Comprehensive (Loss) Income for the Three and Nine Months Ended September ~~Ended~~ ~~March 31, 2023~~ 30 , 2023, and 20 2 22022	2
	Condensed Consolidated Statements of Stockholders’ Equity for the Three and Nine Months Ended September ~~March 31, 2023~~ 30 , 2023, and ~~202~~22022	3
	Condensed Consolidated Statements of Cash Flows for the Three and ~~Three~~Nine Months Ended September ~~March 31, 2023~~ 30 , 2023, and ~~202~~22022	4
	Notes to the Condensed Consolidated Financial Statements	5
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	2530
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	4653
Item 4.	Controls and Procedures	4956
	PART II - OTHER INFORMATION
Item 1.	Legal Proceedings	5058
Item 1A.	Risk Factors	5058
Item 2.	Unregistered Sales of Equity Securities ~~and~~a n d Use of Proceeds	5058
Item 3.	Defaults Upon Senior Securities	5058
Item 4.	Mine Safety Disclosures	5058
Item 5.	Other Information	5058
Item 6.	Exhibits	5058
Index of Exhibits		5159
Signatures		5261

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CAUTIONARY NOTE REGARDING FORWARD-LOOKING STATEMENTS

This Quarterly Report on Form 10-Q contains, or incorporates by reference, not only historical information, but also forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended, or the Securities Act, and Section 21E of the Exchange Act of 1934, as amended, or the Exchange Act, and that are subject to the safe harbors created by such sections. Forward-looking statements involve numerous risks and uncertainties. Our actual results may differ from our beliefs, expectations, estimates and projections and, consequently, you should not rely on these forward-looking statements as predictions of future events. Forward-looking statements are not historical in nature and can be identified by words such as “anticipate,” “estimate,” “will,” “should,” “expect,” “target,” “believe,” “outlook,” “potential,” “continue,” “intend,” “seek,” “plan,” “goals,” “future,” “likely,” “may” and similar expressions or their negative forms, or by references to strategy, plans or intentions. By their nature, forward-looking statements speak only as of the date they are made, are not statements of historical facts or guarantees of future performance and are subject to risks, uncertainties, assumptions or changes in circumstances that are difficult to predict or quantify. Our expectations, beliefs and estimates are expressed in good faith and we believe there is a reasonable basis for them. However, there can be no assurance that management's expectations, beliefs and estimates will prove to be correct or be achieved and actual results may vary materially from what is expressed in or indicated by the forward-looking statements.

These forward-looking statements are subject to risks and uncertainties, including, among other things, those described in our Annual Report on Form 10-K for the year ended December 31, 2022, under the caption “Risk Factors.” Other risks, uncertainties and factors that could cause actual results to differ materially from those projected are described below and may be described from time to time in reports we file with the SEC, including our Quarterly Reports on Form 10-Q and Current Reports on Form 8-K. Forward-looking statements speak only as of the date they are made, and we undertake no obligation to update or revise any such forward-looking statements, whether as a result of new information, future events or otherwise.

Important factors that may affect our actual results include, among others:

•the general political, economic and competitive conditions in the markets in which we invest, including with respect to the lagging effects of ~~and ongoing impacts of~~ the COVID-19 pandemic on various subsectors of the real estate market and their impact on our loan portfolio, financial condition and business ~~operations;~~operations, such as the impact of work-from-home dynamics on office properties;

•~~accelerating~~ inflationary trends, spurred by multiple factors including high commodity prices, a tight labor market, and low residential vacancy rates, may result further in interest rate increases and lead to increased market volatility;

•higher interest rates imposed by the Federal Reserve, which may lead to a decrease in prepayment timing and an increase in the number of our borrowers who exercise extension options, which could extend beyond the term of certain secured financing agreements we use to finance our loan investments;

•the economic ~~impact~~and geopolitical impacts of ~~escalating global trade tensions,~~the Hamas-Israel and Russia-Ukraine conflicts, including ~~the conflict between Russia and Ukraine and~~ the adoption or expansion of economic sanctions or trade restrictions;

•reduced demand for office, multifamily or retail space, including as a result of ~~the COVID-19 pandemic and/or~~ hybrid work schedules which allow work from remote locations other than the employer's office premises;

•defaults by borrowers in paying debt service on outstanding indebtedness and borrowers' abilities to manage and stabilize properties;

•our ability to obtain or maintain financing arrangements on terms favorable to us or at all;

•the level and volatility of prevailing interest rates and credit spreads;

•reductions in the yield on our investments and increases in the cost of our financing;

•general volatility of the securities markets in which we participate and the potential need to post additional collateral on our financing arrangements;

•the return or impact of current or future investments;

•changes in our business, investment strategies or target investments;

•increased competition from entities investing in our target investments;

•effects of hedging instruments on our target investments;

•changes in governmental regulations, tax law and rates and similar matters;

•our ability to maintain our qualification as a real estate investment trust ~~or REIT,~~ for U.S. federal income tax purposes and our exclusion from registration under the Investment Company Act of 1940, as ~~amended, or the Investment Company Act;~~amended;

•availability of desirable investment opportunities;

•threats to information security, including by way of cyber-attacks;

•availability of qualified personnel;

•operational failures by third parties on whom we rely in the conduct of our business;

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•estimates relating to our ability to make distributions to our stockholders in the future;

•~~acts of God,~~natural disasters, such as hurricanes, earthquakes, wildfires and ~~other natural disasters,~~floods, including climate change-related ~~risks,~~risks; acts of war and/or ~~terrorism,~~terrorism; pandemics or outbreaks of infectious ~~disease~~disease; and other events that may cause unanticipated and uninsured performance declines and/or losses to us or the owners and operators of the real estate securing our investments;

•deterioration in the performance of the properties securing our investments that may cause deterioration in the performance of our investments, risks in collection of contractual interest payments and, potentially, principal losses to us, including the risk of credit loss charges and any impact on our ability to satisfy the covenants and conditions in our debt agreements; and

•difficulty or delays in redeploying the proceeds from repayments of our existing investments.

This Quarterly Report on Form 10-Q may contain statistics and other data that, in some cases, have been obtained or compiled from information made available by loan servicers and other third-party service providers.

iii

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PART I. FINANCIAL INFORMATION

Item 1. Financial Statements (unaudited)

GRANITE POINT MORTGAGE TRUST INC.

CONDENSED CONSOLIDATED BALANCE SHEETS

(in thousands, except share data)


		March 31, 2023		December 31, 2022			September 30, 2023		December 31, 2022
ASSETS	ASSETS					ASSETS
Loans held-for-investment	Loans held-for-investment	$	3,310,830	$	3,350,150	Loans held-for-investment	$	2,908,855	$	3,350,150
Allowance for credit losses	Allowance for credit losses	(128,451)		(82,335)		Allowance for credit losses	(145,297)		(82,335)
Loans held-for-investment, net	Loans held-for-investment, net	3,182,379		3,267,815		Loans held-for-investment, net	2,763,558		3,267,815

Loans held-for-sale, net						Loans held-for-sale, net	14,980		—
Cash and cash equivalents	Cash and cash equivalents	223,432		133,132		Cash and cash equivalents	257,592		133,132
Restricted cash	Restricted cash	3,344		7,033		Restricted cash	25,955		7,033
Real estate owned, net						Real estate owned, net	17,527		—
Accrued interest receivable	Accrued interest receivable	13,869		13,413		Accrued interest receivable	12,964		13,413

Other assets	Other assets	52,317		32,708		Other assets	38,045		32,708
Total Assets (1)	Total Assets (1)	$	3,475,341	$	3,454,101	Total Assets (1)	$	3,130,621	$	3,454,101
LIABILITIES AND STOCKHOLDERS’ EQUITY	LIABILITIES AND STOCKHOLDERS’ EQUITY					LIABILITIES AND STOCKHOLDERS’ EQUITY
Liabilities	Liabilities					Liabilities
Repurchase facilities	Repurchase facilities	$	1,191,571	$	1,015,566	Repurchase facilities	$	921,348	$	1,015,566
Securitized debt obligations	Securitized debt obligations	1,039,407		1,138,749		Securitized debt obligations	999,536		1,138,749
Asset-specific financings	Asset-specific financings	45,823		44,913		Asset-specific financings	45,823		44,913
Secured credit facility	Secured credit facility	100,000		100,000		Secured credit facility	100,000		100,000

Convertible senior notes	Convertible senior notes	131,131		130,918		Convertible senior notes	131,600		130,918

Dividends payable	Dividends payable	14,307		14,318		Dividends payable	14,336		14,318
Other liabilities	Other liabilities	20,644		24,967		Other liabilities	27,233		24,967
Total Liabilities (1)	Total Liabilities (1)	2,542,883		2,469,431		Total Liabilities (1)	2,239,876		2,469,431
Commitments and Contingencies (see Note 10)	Commitments and Contingencies (see Note 10)					Commitments and Contingencies (see Note 10)
10.00% cumulative redeemable preferred stock, par value $0.01 per share; 50,000,000 shares authorized, and 1,000 shares issued and outstanding ($1,000,000 liquidation preference)		1,000		1,000
10.00% cumulative redeemable preferred stock, par value $0.01 per share; 50,000,000 shares authorized						10.00% cumulative redeemable preferred stock, par value $0.01 per share; 50,000,000 shares authorized	—		1,000
Stockholders’ Equity	Stockholders’ Equity					Stockholders’ Equity
7.00% Series A cumulative redeemable preferred stock, par value $0.01 per share; 11,500,000 shares authorized, and 8,229,500 and 8,229,500 shares issued and outstanding, respectively; liquidation preference $25.00 per share	7.00% Series A cumulative redeemable preferred stock, par value $0.01 per share; 11,500,000 shares authorized, and 8,229,500 and 8,229,500 shares issued and outstanding, respectively; liquidation preference $25.00 per share	82		82		7.00% Series A cumulative redeemable preferred stock, par value $0.01 per share; 11,500,000 shares authorized, and 8,229,500 and 8,229,500 shares issued and outstanding, respectively; liquidation preference $25.00 per share	82		82
Common stock, par value $0.01 per share; 450,000,000 shares authorized, and 51,526,039 and 52,350,989 shares issued and outstanding, respectively		515		524
Common stock, par value $0.01 per share; 450,000,000 shares authorized, and 51,577,841 and 52,350,989 shares issued and outstanding, respectively						Common stock, par value $0.01 per share; 450,000,000 shares authorized, and 51,577,841 and 52,350,989 shares issued and outstanding, respectively	516		524
Additional paid-in capital	Additional paid-in capital	1,198,272		1,202,315		Additional paid-in capital	1,202,151		1,202,315
Cumulative earnings	Cumulative earnings	96,864		130,693		Cumulative earnings	80,968		130,693
Cumulative distributions to stockholders	Cumulative distributions to stockholders	(364,400)		(350,069)		Cumulative distributions to stockholders	(393,097)		(350,069)
Total Granite Point Mortgage Trust Inc. Stockholders’ Equity	Total Granite Point Mortgage Trust Inc. Stockholders’ Equity	931,333		983,545		Total Granite Point Mortgage Trust Inc. Stockholders’ Equity	890,620		983,545
Non-controlling interests	Non-controlling interests	125		125		Non-controlling interests	125		125
Total Equity	Total Equity	$	931,458	$	983,670	Total Equity	$	890,745	$	983,670
Total Liabilities and Stockholders’ Equity	Total Liabilities and Stockholders’ Equity	$	3,475,341	$	3,454,101	Total Liabilities and Stockholders’ Equity	$	3,130,621	$	3,454,101

____________________

(1)The condensed consolidated balance sheets include assets of consolidated variable interest entities, or VIEs, that can only be used to settle obligations of these VIEs, and liabilities of the consolidated VIEs for which creditors do not have recourse to Granite Point Mortgage Trust Inc. At ~~March 31,~~September 30, 2023, and December 31, 2022, assets of the VIEs totaled ~~$1,280,560~~$1,240,229 and $1,551,936, respectively, and liabilities of the VIEs totaled ~~$1,041,473~~$1,001,731 and $1,141,028, respectively. See Note 45 - Variable Interest Entities and Securitized Debt Obligations, for ~~additional information.~~further detail.

The accompanying notes are an integral part of these condensed consolidated financial statements.

Table of Contents

GRANITE POINT MORTGAGE TRUST INC.

CONDENSED CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) ~~INCOME~~

(in thousands, except share data)

Three Months Ended
March 31,
2023 2022
Interest income:
Loans held-for-investment $ 65,291 $ 47,298
Cash and cash equivalents 1,428 23
Total interest income 66,719 47,321
Interest expense:
Repurchase facilities 19,772 5,008
Secured credit facility 2,929 —
Securitized debt obligations 18,051 9,732
Convertible senior notes 2,311 4,546
Term financing facility — 1,373
Asset-specific financings 743 282
Senior secured term loan facilities — 2,868
Total interest expense 43,806 23,809
Net interest income 22,913 23,512
Other (loss) income:
Provision for credit losses (46,410) (3,688)
Gain (loss) on extinguishment of debt 238 (5,791)
Fee income — 493
Total other (loss) income (46,172) (8,986)
Expenses:
Compensation and benefits 5,912 5,816
Servicing expenses 1,378 1,461
Other operating expenses 3,271 2,614
Total expenses 10,561 9,891
(Loss) income before income taxes (33,820) 4,635
Provision for (benefit from) income taxes 9 (1)
Net (loss) income (33,829) 4,636
Dividends on preferred stock 3,625 3,625
Net (loss) income attributable to common stockholders $ (37,454) $ 1,011
Basic (loss) earnings per weighted average common share $ (0.72) $ 0.02
Diluted (loss) earnings per weighted average common share $ (0.72) $ 0.02
Weighted average number of shares of common stock outstanding:
Basic 52,308,380 53,857,051
Diluted 52,308,380 53,961,497
Net (loss) income attributable to common stockholders $ (37,454) $ 1,011
Comprehensive (loss) income $ (37,454) $ 1,011


	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2023		2022		2023		2022
Interest income:
Loans held-for-investment	$	63,848	$	52,121	$	195,356	$	148,475



Cash and cash equivalents	2,839		714		6,876		960
Total interest income	66,687		52,835		202,232		149,435
Interest expense:
Repurchase facilities	21,986		15,098		64,630		30,486
Secured credit facility	3,178		—		9,182		—
Securitized debt obligations	18,414		14,416		54,353		34,992
Convertible senior notes	2,332		4,585		6,975		13,703
Term financing facility	—		—		—		1,713
Asset-specific financings	862		442		2,424		1,046

Senior secured term loan facilities	—		—		—		3,754
Total interest expense	46,772		34,541		137,564		85,694
Net interest income	19,915		18,294		64,668		63,741




Other (loss) income:
Revenue from real estate owned operations	1,056		—		1,518		—

Provision for credit losses	(31,008)		(35,442)		(83,236)		(52,757)
Gain (loss) on extinguishment of debt	—		—		238		(18,823)

Fee income	81		—		81		954

Total other (loss) income	(29,871)		(35,442)		(81,399)		(70,626)
Expenses:


Compensation and benefits	5,044		4,953		17,165		16,539
Servicing expenses	1,331		1,336		4,029		4,297
Expenses from real estate owned operations	2,233		—		3,897		—
Other operating expenses	2,358		2,068		7,809		6,867

Total expenses	10,966		8,357		32,900		27,703
Income (loss) before income taxes	(20,922)		(25,505)		(49,631)		(34,588)
Provision for (benefit from) income taxes	15		(1)		94		11
Net income (loss)	(20,937)		(25,504)		(49,725)		(34,599)
Dividends on preferred stock	3,600		3,626		10,850		10,876

Net income (loss) attributable to common stockholders	$	(24,537)	$	(29,130)	$	(60,575)	$	(45,475)
Basic earnings (loss) per weighted average common share	$	(0.48)	$	(0.56)	$	(1.17)	$	(0.85)
Diluted earnings (loss) per weighted average common share	$	(0.48)	$	(0.56)	$	(1.17)	$	(0.85)

Weighted average number of shares of common stock outstanding:
Basic	51,577,143		52,350,989		51,805,265		53,234,498
Diluted	51,577,143		52,350,989		51,805,265		53,234,498

Net income (loss) attributable to common stockholders	$	(24,537)	$	(29,130)	$	(60,575)	$	(45,475)



Comprehensive income (loss)	$	(24,537)	$	(29,130)	$	(60,575)	$	(45,475)

The accompanying notes are an integral part of these condensed consolidated financial statements.

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GRANITE POINT MORTGAGE TRUST INC

CONDENSED CONSOLIDATED STATEMENTS OF STOCKHOLDERS’ EQUITY

(in thousands, except share data)


		Common Stock		Preferred Stock												Common Stock				Preferred Stock
		Shares	Amount	Shares	Amount	Additional Paid-in Capital	Cumulative Earnings	Cumulative Distributions to Stockholders	Total Stockholders’ Equity	Non-controlling Interests			Total Equity			Shares		Amount		Shares		Amount	Additional Paid-in Capital			Cumulative Earnings		Cumulative Distributions to Stockholders		Total Stockholders’ Equity		Non-controlling Interests	Total Equity

Balance, December 31, 2021	Balance, December 31, 2021	53,789,465	538	4,596,500	46	1,125,241	171,518	(284,285)	1,013,058	125			1,013,183	Balance, December 31, 2021		53,789,465		538		4,596,500		46	1,125,241			171,518		(284,285)		1,013,058		125	1,013,183
Net income	Net income	—	—	—	—	—	4,636	—	4,636	—			4,636	Net income		—		—		—		—	—			4,636		—		4,636		—	4,636

Issuance of preferred stock, net of offering costs	Issuance of preferred stock, net of offering costs	—		3,633,000	36	87,485	—	—	87,521	—			87,521	Issuance of preferred stock, net of offering costs		—		—		3,633,000		36	87,485			—		—		87,521		—	87,521
Restricted stock forfeiture	Restricted stock forfeiture	(69,039)	—	—	—	(824)	—	—	(824)	—			(824)	Restricted stock forfeiture		(69,039)		—		—		—	(824)			—		—		(824)		—	(824)
Restricted Stock Unit (RSU) forfeiture	Restricted Stock Unit (RSU) forfeiture	—	—	—	—	(798)	—	—	(798)	—			(798)	Restricted Stock Unit (RSU) forfeiture		—		—		—		—	(798)			—		—		(798)		—	(798)
Preferred dividends declared, $25.00 per share	Preferred dividends declared, $25.00 per share	—	—	—	—	—	—	(25)	(25)	—			(25)	Preferred dividends declared, $25.00 per share		—		—		—		—	—			—		(25)		(25)		—	(25)
Preferred dividends declared, $0.4375 per share	Preferred dividends declared, $0.4375 per share	—	—	—	—	—	—	(3,600)	(3,600)	—			(3,600)	Preferred dividends declared, $0.4375 per share		—		—		—		—	—			—		(3,600)		(3,600)		—	(3,600)
Common dividends declared, $0.25 per share	Common dividends declared, $0.25 per share	—	—	—	—	—	—	(13,770)	(13,770)	—			(13,770)	Common dividends declared, $0.25 per share		—		—		—		—	—			—		(13,770)		(13,770)		—	(13,770)

Non-cash equity award compensation	Non-cash equity award compensation	135,151	1	—	—	2,170	—	—	2,171	—			2,171	Non-cash equity award compensation		135,151		1		—		—	2,170			—		—		2,171		—	2,171
Balance, March 31, 2022	Balance, March 31, 2022	53,855,577	539	8,229,500	82	1,213,274	176,154	(301,680)	1,088,369	125			1,088,494	Balance, March 31, 2022		53,855,577		539		8,229,500		82	1,213,274			176,154		(301,680)		1,088,369		125	1,088,494
Net (loss) income											Net (loss) income	—			—		—		—		—			(13,731)	—		(13,731)		—		(13,731)

Repurchase of common stock											Repurchase of common stock	(1,539,134)			(15)		—		—		(15,699)			—	—		(15,714)		—		(15,714)
Restricted Stock Unit (RSU) forfeiture											Restricted Stock Unit (RSU) forfeiture	—			—		—		—		(114)			—	—		(114)		—		(114)
Preferred dividends declared, $25.00 per share											Preferred dividends declared, $25.00 per share	—			—		—		—		—			—	(25)		(25)		—		(25)
Preferred dividends declared, $0.4375 per share											Preferred dividends declared, $0.4375 per share	—			—		—		—		—			—	(3,600)		(3,600)		—		(3,600)
Common dividends declared, $0.20 per share											Common dividends declared, $0.20 per share	—			—		—		—		—			—	(13,382)		(13,382)		—		(13,382)
Non-cash equity award compensation											Non-cash equity award compensation	34,546			—		—		—		1,906			—	—		1,906		—		1,906
Balance, June 30, 2022											Balance, June 30, 2022	52,350,989			524		8,229,500		82		1,199,367			162,423	(318,687)		1,043,709		125		1,043,834
Net (loss) income											Net (loss) income	—			—		—		—		—			(25,504)	—		(25,504)		—		(25,504)
Preferred dividends declared, $25.00 per share											Preferred dividends declared, $25.00 per share	—			—		—		—		—			—	(25)		(25)		—		(25)
Preferred dividends declared, $0.4375 per share											Preferred dividends declared, $0.4375 per share	—			—		—		—		—			—	(3,601)		(3,601)		—		(3,601)
Common dividends declared, $0.20 per share											Common dividends declared, $0.20 per share	—			—		—		—		—			—	(13,412)		(13,412)		—		(13,412)
Non-cash equity award compensation											Non-cash equity award compensation	—			—		—		—		2,349			—	—		2,349		—		2,349
Balance, September 30, 2022											Balance, September 30, 2022	52,350,989			524		8,229,500		82		1,201,716			136,919	(335,725)		1,003,516		125		1,003,641

Balance, December 31, 2022	Balance, December 31, 2022	52,350,989	524	8,229,500	82	1,202,315	130,693	(350,069)	983,545	125			983,670	Balance, December 31, 2022		52,350,989		524		8,229,500		82	1,202,315			130,693		(350,069)		983,545		125	983,670
Net (loss) income	Net (loss) income	—	—	—	—	—	(33,829)	—	(33,829)	—			(33,829)	Net (loss) income		—		—		—		—	—			(33,829)		—		(33,829)		—	(33,829)

Repurchase of common stock	Repurchase of common stock	(1,001,338)	(10)	—	—	(5,108)	—	—	(5,118)	—			(5,118)	Repurchase of common stock		(1,001,338)		(10)		—		—	(5,108)			—		—		(5,118)		—	(5,118)
Restricted stock forfeiture	Restricted stock forfeiture	(36,916)	(1)	—	—	(236)	—	—	(237)	—			(237)	Restricted stock forfeiture		(36,916)		(1)		—		—	(236)			—		—		(237)		—	(237)
Restricted Stock Unit (RSU) forfeiture	Restricted Stock Unit (RSU) forfeiture	—	—	—	—	(652)	—	—	(652)	—			(652)	Restricted Stock Unit (RSU) forfeiture		—		—		—		—	(652)			—		—		(652)		—	(652)
Preferred dividends declared, $25.00 per share	Preferred dividends declared, $25.00 per share	—	—	—	—	—	—	(25)	(25)	—			(25)	Preferred dividends declared, $25.00 per share		—		—		—		—	—			—		(25)		(25)		—	(25)
Preferred dividends declared, $0.4375 per share	Preferred dividends declared, $0.4375 per share	—	—	—	—	—	—	(3,600)	(3,600)	—			(3,600)	Preferred dividends declared, $0.4375 per share		—		—		—		—	—			—		(3,600)		(3,600)		—	(3,600)
Common dividends declared, $0.20 per share	Common dividends declared, $0.20 per share	—	—	—	—	—	—	(10,706)	(10,706)	—			(10,706)	Common dividends declared, $0.20 per share		—		—		—		—	—			—		(10,706)		(10,706)		—	(10,706)

Non-cash equity award compensation	Non-cash equity award compensation	213,304	2	—	—	1,953	—	—	1,955	—			1,955	Non-cash equity award compensation		213,304		2		—		—	1,953			—		—		1,955		—	1,955
Balance, March 31, 2023	Balance, March 31, 2023	51,526,039	515	8,229,500	82	1,198,272	96,864	(364,400)	931,333	125			931,458	Balance, March 31, 2023		51,526,039		515		8,229,500		82	1,198,272			96,864		(364,400)		931,333		125	931,458
Net income											Net income	—			—		—		—		—			5,041	—		5,041		—		5,041

Restricted Stock Unit (RSU) forfeiture											Restricted Stock Unit (RSU) forfeiture	—			—		—		—		(77)			—	—		(77)		—		(77)
Preferred dividends declared, $25.00 per share											Preferred dividends declared, $25.00 per share	—			—		—		—		—			—	(25)		(25)		—		(25)
Preferred dividends declared, $0.4375 per share											Preferred dividends declared, $0.4375 per share	—			—		—		—		—			—	(3,600)		(3,600)		—		(3,600)
Common dividends declared, $0.20 per share											Common dividends declared, $0.20 per share	—			—		—		—		—			—	(10,736)		(10,736)		—		(10,736)
Non-cash equity award compensation											Non-cash equity award compensation	44,664			1		—		—		2,385			—	—		2,386		—		2,386
Balance, June 30, 2023											Balance, June 30, 2023	51,570,703			516		8,229,500		82		1,200,580			101,905	(378,761)		924,322		125		924,447
Net (loss) income											Net (loss) income	—			—		—		—		—			(20,937)	—		(20,937)		—		(20,937)

Preferred dividends declared, $0.4375 per share											Preferred dividends declared, $0.4375 per share	—			—		—		—		—			—	(3,600)		(3,600)		—		(3,600)
Common dividends declared, $0.20 per share											Common dividends declared, $0.20 per share	—			—		—		—		—			—	(10,736)		(10,736)		—		(10,736)
Non-cash equity award compensation											Non-cash equity award compensation	7,138			—		—		—		1,571			—	—		1,571		—		1,571
Balance, September 30, 2023											Balance, September 30, 2023	51,577,841			516		8,229,500		82		1,202,151			80,968	(393,097)		890,620		125		890,745

The accompanying notes are an integral part of these condensed consolidated financial statements.

Table of Contents

GRANITE POINT MORTGAGE TRUST INC.

CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS (in thousands)
Three Months Ended
March 31,
2023 2022
Cash Flows From Operating Activities:
Net (loss) income $ (33,829) $ 4,636
Adjustments to reconcile net (loss) income to net cash provided by operating activities:
Accretion of discounts and net deferred fees on loans held-for-investment and deferred interest capitalized to loans held-for-investment (3,425) (4,531)
Amortization of deferred debt issuance costs 2,155 3,839
Provision for credit losses 46,410 3,688
(Gain) loss on extinguishment of debt (274) 3,291
Amortization of equity-based compensation 1,955 2,171
Proceeds received from deferred interest capitalized on loans held-for-investment — 284
Net change in assets and liabilities:
(Increase) decrease in accrued interest receivable (456) (426)
Decrease (increase) in other assets 2,276 542
Increase (decrease) in other liabilities (4,348) (265)
Net cash provided by operating activities 10,464 13,229
Cash Flows From Investing Activities:
Originations, acquisitions and additional fundings of loans held-for-investment, net of deferred fees (16,706) (170,091)
Proceeds from loan sales — 43,714
Proceeds from repayment of loans held-for-investment 59,450 118,098
Increase in other assets, due from servicer on repayments of loans held-for-investment (23,236) (570)
Net cash provided by (used in) investing activities 19,508 (8,849)
Cash Flows From Financing Activities:
Proceeds from repurchase facilities 370,419 108,429
Principal payments on repurchase facilities (194,414) (37,159)
Principal payments on securitized debt obligations (99,300) (47,267)
Repayment of senior secured term loan facilities — (50,000)
Proceeds from asset-specific financings 911 —
Payment of debt issuance costs (627) (35)
Proceeds from issuance of preferred stock, net of offering costs — 87,521
Tax withholding on restricted stock and RSUs (889) (1,622)
Repurchase of common stock (5,118) —
Dividends paid on preferred stock (3,625) (718)
Dividends paid on common stock (10,718) (13,688)
Net cash provided by (used in) financing activities 56,639 45,461
Net increase (decrease) in cash, cash equivalents and restricted cash 86,611 49,841
Cash, cash equivalents, and restricted cash at beginning of period 140,165 204,293
Cash, cash equivalents, and restricted cash at end of period $ 226,776 $ 254,134
Supplemental Disclosure of Cash Flow Information:
Cash paid for interest $ 44,689 $ 19,347
Cash paid for taxes $ 5 $ 291
Noncash Activities:
Dividends declared but not paid at end of period $ 14,307 $ 17,395
Deferred financing costs, not yet paid $ 30 $ —


	Nine Months Ended
	September 30,
	2023		2022
Cash Flows From Operating Activities:
Net loss	$	(49,725)	$	(34,599)
Adjustments to reconcile net (loss) income to net cash provided by operating activities:
Accretion of discounts and net deferred fees on loans held-for-investment and deferred interest capitalized to loans held-for-investment	(6,954)		(10,014)
Amortization of deferred debt issuance costs	6,399		9,977
Provision for credit losses	83,236		52,757
(Gain) loss on extinguishment of debt	(274)		11,307






Amortization of equity-based compensation	5,912		6,426
Proceeds received from deferred interest capitalized on loans held-for-investment	359		4,069
Net change in assets and liabilities:
Decrease (increase) in accrued interest receivable	449		(340)



Decrease (increase) in other assets	(242)		2,276




Increase (decrease) in other liabilities	3,256		(1,092)

Net cash provided by operating activities	42,416		40,767
Cash Flows From Investing Activities:
Originations, acquisitions and additional fundings of loans held-for-investment, net of deferred fees	(54,787)		(449,844)
Proceeds from loan sales	—		43,714

Proceeds from repayment of loans held-for-investment	442,746		581,669




Increase in other assets, due from servicer on repayments of loans held-for-investment	—		(4,248)








Net cash provided by investing activities	387,959		171,291

Cash Flows From Financing Activities:
Proceeds from repurchase facilities	453,185		746,713
Principal payments on repurchase facilities	(547,641)		(228,034)

Principal payments on securitized debt obligations	(139,753)		(457,416)

Repayment of senior secured term loan facilities	—		(150,000)
Proceeds from asset-specific financings	910		1,291






Repayment of term financing facility	—		(129,099)


Payment of debt issuance costs	(3,600)		(7,398)



Proceeds from issuance of preferred stock, net of offering costs	—		87,521



Tax withholding on restricted stock and RSUs	(966)		(1,736)
Repurchase of common stock	(5,118)		(15,714)
Redemption of cumulative redeemable preferred stock	(1,000)		—
Dividends paid on preferred stock	(10,851)		(7,968)
Dividends paid on common stock	(32,159)		(40,855)
Net cash used in financing activities	(286,993)		(202,695)
Net increase (decrease) in cash, cash equivalents and restricted cash	143,382		9,363
Cash, cash equivalents, and restricted cash at beginning of period	140,165		204,293
Cash, cash equivalents, and restricted cash at end of period	$	283,547	$	213,656
Supplemental Disclosure of Cash Flow Information:
Cash paid for interest	$	134,780	$	83,391

Cash paid for taxes	$	836	$	440
Noncash Activities:
Transfers of loans held-for-investment to loans held-for-sale	$	14,980	$	—
Dividends declared but not paid at end of period	$	14,336	$	17,023
Transfers from loans held-for-investment to real estate owned	$	24,000	$	—
Deferred financing costs, not yet paid	$	1,063	$	—

The accompanying notes are an integral part of these condensed consolidated financial statements.

Table of Contents

GRANITE POINT MORTGAGE TRUST INC.

Notes to the Condensed Consolidated Financial Statements

Note 1. Organization and Operations

Granite Point Mortgage Trust Inc., or the Company, is an internally managed commercial real estate finance company that focuses primarily on directly originating, investing in and managing senior floating-rate commercial mortgage loans and other debt and debt-like commercial real estate investments. These investments are capitalized by accessing a variety of funding sources, including borrowing under the Company’s bank credit facilities or other asset-specific financings, issuing commercial real estate collateralized loan obligations, or CRE CLOs, and issuing other forms of secured and unsecured debt and equity securities, depending on market conditions and the Company’s view of the most appropriate funding option available for the Company’s investments. The Company is not in the business of buying or trading securities, and the only securities it owns are the retained interests from its CRE CLOs. The Company’s investment objective is to preserve the Company’s stockholders’ capital while generating attractive risk-adjusted returns over the long term, primarily through dividends derived from current income produced by the Company’s investment portfolio. The Company’s common stock is listed on the NYSE under the symbol “GPMT”. The Company operates its business in a manner that is intended to permit it to maintain its exclusion from registration under the Investment Company Act of 1940, or the Investment Company Act. The Company operates its business as one segment. The Company was incorporated in Maryland on April 7, 2017, and commenced operations as a publicly traded company on June 28, 2017.

The Company has elected to be treated as a real estate investment trust, or REIT, as defined under the Internal Revenue Code of 1986, as amended, or the Code, for U.S. federal income tax purposes. As long as the Company continues to comply with a number of requirements under federal tax law and maintains its qualification as a REIT, the Company generally will not be subject to U.S. federal income taxes to the extent that the Company distributes its taxable income to its stockholders on an annual basis and does not engage in prohibited transactions. However, certain activities that the Company may perform may cause it to earn income which will not be qualifying income for REIT purposes. The Company has designated one of its subsidiaries as a taxable REIT subsidiary, or TRS, as defined in the Code, to engage in such activities.

Note 2. Basis of Presentation and Significant Accounting Policies

Consolidation and Basis of Presentation

The interim unaudited condensed consolidated financial statements of the Company have been prepared in accordance with the rules and regulations of the Securities and Exchange Commission, or SEC. Certain information and note disclosures normally included in financial statements prepared in accordance with U.S. generally accepted accounting principles, or U.S. GAAP, have been condensed or omitted according to such SEC rules and regulations. However, management believes that the disclosures included in these interim condensed consolidated financial statements are adequate to make the information presented not misleading. The accompanying unaudited condensed consolidated financial statements should be read in conjunction with the financial statements and notes thereto included in the Company’s Annual Report on Form 10-K for the year ended December 31, 2022. In the opinion of management, all normal and recurring adjustments necessary to present fairly the financial condition of the Company at ~~March 31,~~September 30, 2023, and results of operations for all periods presented have been made. The results of operations for the three and nine months ended ~~March 31,~~September 30, 2023, should not be construed as indicative of the results to be expected for future periods or the full year.

The unaudited condensed consolidated financial statements of the Company include the accounts of all subsidiaries; inter-company accounts and transactions have been eliminated. Certain prior period amounts have been reclassified to conform to the current period presentation.

All entities in which the Company holds investments that are considered variable interest entities, or VIEs, for financial reporting purposes were reviewed for consolidation under the applicable consolidation guidance. Whenever the Company has both the power to direct the activities of an entity that most significantly impact the entity’s performance, and the obligation to absorb losses or the right to receive benefits of the entity that could be significant, the Company consolidates the entity.

Use of Estimates

The preparation of financial statements in conformity with GAAP requires management to make a number of significant estimates. These include estimates of amount and timing of allowances for credit losses, fair value of certain assets and liabilities, and other estimates that affect the reported amounts of certain assets and liabilities as of the date of the condensed consolidated financial statements and the reported amounts of certain revenues and expenses during the reported period. It is likely that changes in these estimates (e.g., valuation changes to the underlying collateral of loans due to changes in market interest and capitalization rates, leasing, credit worthiness of major tenants, occupancy rates, availability of financing, exit plan, loan sponsorship, actions of other lenders, overall economic and capital markets conditions, the broader commercial real estate market, local geographic sub-markets or other factors) will occur in the near term.

Table of Contents

GRANITE POINT MORTGAGE TRUST INC.

Notes to the Condensed Consolidated Financial Statements

The Company believes the estimates and assumptions underlying its condensed consolidated financial statements are reasonable and supportable based on the information available as of ~~March 31,~~September 30, 2023. However, the Company’s actual results could ultimately differ from its estimates and such differences may be material.

Significant Accounting Policies

Included in Note 2 to the Consolidated Financial Statements of the Company’s Annual Report on Form 10-K for the year ended December 31, 2022, is a summary of the Company’s significant accounting policies. Provided below is a summary of additional accounting policies that are significant to the Company’s condensed consolidated financial condition and results of operations for the three and nine months ended ~~March 31,~~September 30, 2023.

Real Estate Owned

As part of its portfolio management strategy to maximize an economic outcome from a defaulted loan, the Company may assume legal title or physical possession of the underlying collateral property through foreclosure or the execution of a deed-in-lieu of foreclosure. Real estate acquired through a foreclosure or by deed-in-lieu of foreclosure is classified as real estate owned, or REO. The Company’s basis in REO and related acquired assets is equal to the estimated fair value of the collateral on the acquisition date and allocated within Real estate owned, Other assets and Other liabilities on the Company’s condensed consolidated balance sheets. The estimated fair value of REO is determined using generally accepted valuation techniques, including a discounted cash flow model and inputs that include the highest and best use for each asset, estimated future values based on discussions with local brokers, investors and other market participants, the estimated holding period for the asset, and discount rates that reflect estimated investor return requirements for the risks associated with the expected use of each asset. If the estimated fair value of REO is lower than the carrying value of the related loan upon acquisition, the difference is recorded through the provision for credit losses in the Company’s condensed consolidated statements of comprehensive income. Upon acquisition, the Company allocates the fair value of REO to land and land improvements, building and building improvements, tenant improvements, intangible assets and intangible liabilities, as applicable.

As of September 30, 2023, REO and related acquired assets, except for land, are depreciated using the straight-line method over estimated useful lives as follows:


Description						Depreciable Life
Building						39 years
Tenant improvements						Over lease terms
Lease intangibles						Over lease terms

Renovations and/or replacements that improve or extend the life of the REO are capitalized and depreciated over their estimated useful lives. The cost of ordinary repairs and maintenance are expensed as incurred in the Company’s condensed consolidated statements of comprehensive income.

REO is initially measured at fair value and is thereafter subject to an impairment assessment on a quarterly basis. Subsequent to a REO acquisition, events or circumstances may occur that may result in a material and sustained decrease in the cash flows generated from the property. REO is evaluated for recoverability when impairment indicators are identified. Any impairment losses and gains or losses on sale are included in the Company’s condensed consolidated statements of comprehensive income. Revenue and expenses from REO operations are included in the condensed consolidated statements of comprehensive income within Revenue from real estate owned operations and Expenses from real estate owned operations, as applicable.

Recently Issued and/or Adopted Accounting Standards

Financial Instruments-Credit Losses (Topic 326): Troubled Debt Restructurings and Vintage Disclosures

In March 2022, the Financial Accounting Standards Board, or FASB, issued Accounting Standards Update, or ASU, 2022-02, Financial Instruments – Credit Losses (Topic 326): Troubled Debt Restructurings and Vintage Disclosures, or ASU 2022-02. The new guidance is based on whether a modification or restructuring with a borrower experiencing financial difficulty results in principal forgiveness, an interest rate reduction, a significant payment delay or term extension as opposed to simply a concession. The new guidance requires disclosure by class of financing receivables, of the types of modifications, the financial effects of those modifications and the performance of those modified receivables in the last twelve months. As it relates to Accounting Standards Codification, or ASC, 326-20, the Company is now allowed to use any acceptable method to determine credit losses as a result of modification or restructuring with a borrower experiencing financial difficulty. ASU 2022-02 also requires disclosure of gross write-offs recorded in the current period, on a year-to-date basis, and by year of origination in the vintage disclosures. On January 1, 2023, the Company adopted ASU 2022-02 on a prospective basis and the adoption did not have a material impact on the Company’s condensed consolidated financial statements.

~~Facilitation~~

Table of Contents

GRANITE POINT MORTGAGE TRUST INC.

Notes to the ~~Effects of Reference Rate Reform on~~Condensed Consolidated Financial ~~Reporting~~Statements

~~In March 2020, FASB issued ASU No. 2020-04,~~ ~~Reference Rate Reform (Topic 848):~~ Facilitation of the Effects of Reference Rate Reform on Financial Reporting ~~or ASU No. 2020-04, which provides optional expedients and exceptions for applying GAAP to debt instruments, derivatives, and other contracts that reference the~~(Topic 848)

The London Interbank Offered Rate, or LIBOR, has been the subject of regulatory guidance and proposals for reform or ~~other reference rates expected to be discontinued as~~replacement. The Federal Reserve, in conjunction with the Alternative Reference Rates Committee, a ~~result~~steering committee composed of ~~reference rate reform. In January 2021, the FASB issued ASU No. 2021-01,~~ ~~Reference Rate Reform~~ (Topic 848), to clarify that certain optional expedients and exceptions in Topic 848 for contract modifications and hedge accounting apply to derivative instruments that use an interest rate for margining, discounting, or contract price alignment that is modified as a result of reference rate reform. ASU No. 2020-04 and ASU No. 2021-01 are effective for all entities and may be adopted retrospectively as of any date from the beginning of any interim period that includes or is subsequent to March 12, 2020. In December 2022, the FASB issued ASU No. 2022-06, ~~Reference Rate Reform~~ (Topic 848) to defer the sunset date of Topic 848 from December 31, 2022, to December 31, 2024. The Company has loan agreements and debt agreements that incorporate LIBOR as a referenced interest rate. It is difficult to predict the ultimate impacts of the phase-out of LIBOR and the use of alternative benchmarks, such aslarge U.S. financial institutions, identified the Secured Overnight Financing Rate, or SOFR, ~~(a new~~an index calculated byusing short-term repurchase agreements backed by U.S. Treasury ~~securities), on~~securities, as its preferred alternative rate for LIBOR. As of September 30, 2023, all of the Company’s ~~business or on the overall financial markets. The Company has not adopted any~~floating rate loans and outstanding related financings earned a rate of ~~the optional expedients or exceptions through March 31, 2023, but will continue~~interest indexed to ~~evaluate the possible adoption of any such expedients or exceptions during the effective period as circumstances evolve.~~SOFR.

Note 3. Loans Held-for-Investment, Net of Allowance for Credit Losses

The Company originates and acquires commercial real estate debt and related instruments generally to be held as long-term investments. These assets are classified as “loans held-for-investment” on the condensed consolidated balance sheets. Loans held-for-investment are reported at cost, net of any unamortized acquisition premiums or discounts, loan fees, origination costs and allowance for credit losses, as applicable.

~~Table of Contents~~

~~GRANITE POINT MORTGAGE TRUST INC.~~

~~Notes to the Condensed Consolidated Financial Statements~~

The following tables summarize the Company’s loans held-for-investment by asset type, property type and geographic location as of ~~March 31,~~September 30, 2023, and December 31, 2022:


		March 31, 2023						September 30, 2023
(dollars in thousands)	(dollars in thousands)	Senior Loans (1)			B-Notes				Total			(dollars in thousands)	Senior Loans(1)			B-Notes			Total
Unpaid principal balance	Unpaid principal balance	$	3,307,063		$	13,698			$	3,320,761		Unpaid principal balance	$	2,904,156		$	13,573		$	2,917,729
Unamortized (discount) premium	Unamortized (discount) premium	(35)			—				(35)			Unamortized (discount) premium	(24)			—			(24)
Unamortized net deferred origination fees	Unamortized net deferred origination fees	(9,896)			—				(9,896)			Unamortized net deferred origination fees	(8,850)			—			(8,850)
Allowance for credit losses	Allowance for credit losses	(127,932)			(519)				(128,451)			Allowance for credit losses	(144,867)			(430)			(145,297)
Carrying value	Carrying value	$	3,169,200		$	13,179			$	3,182,379		Carrying value	$	2,750,415		$	13,143		$	2,763,558
Unfunded commitments	Unfunded commitments	$	204,511		$	—			$	204,511		Unfunded commitments	$	142,056		$	—		$	142,056
Number of loans	Number of loans	87			1				88			Number of loans	76			1			77
Weighted average coupon(2)	Weighted average coupon(2)	7.7		%	8.0		%		7.7		%	Weighted average coupon(2)	8.2		%	8.0		%	8.2		%
Weighted average years to maturity ~~(2)~~(3)	Weighted average years to maturity ~~(2)~~(3)	0.9			3.8				0.9			Weighted average years to maturity ~~(2)~~(3)	0.7			3.3			0.7


		December 31, 2022						December 31, 2022
(dollars in thousands)	(dollars in thousands)	Senior Loans (1)			B-Notes				Total			(dollars in thousands)	Senior Loans(1)			B-Notes			Total
Unpaid principal balance	Unpaid principal balance	$	3,348,242		$	13,764			$	3,362,006		Unpaid principal balance	$	3,348,242		$	13,764		$	3,362,006
Unamortized (discount) premium	Unamortized (discount) premium	(48)			—				(48)			Unamortized (discount) premium	(48)			—			(48)
Unamortized net deferred origination fees	Unamortized net deferred origination fees	(11,808)			—				(11,808)			Unamortized net deferred origination fees	(11,808)			—			(11,808)
Allowance for credit losses	Allowance for credit losses	(81,768)			(567)				(82,335)			Allowance for credit losses	(81,768)			(567)			(82,335)
Carrying value	Carrying value	$	3,254,618		$	13,197			$	3,267,815		Carrying value	$	3,254,618		$	13,197		$	3,267,815
Unfunded commitments	Unfunded commitments	$	229,607		$	—			$	229,607		Unfunded commitments	$	229,607		$	—		$	229,607
Number of loans	Number of loans	89			1				90			Number of loans	89			1			90
Weighted average coupon(2)	Weighted average coupon(2)	6.3		%	8.0		%		6.3		%	Weighted average coupon(2)	6.3		%	8.0		%	6.3		%
Weighted average years to maturity ~~(2)~~(3)	Weighted average years to maturity ~~(2)~~(3)	1.0			4.1				1.0			Weighted average years to maturity ~~(2)~~(3)	1.0			4.1			1.0

____________________

(1)Loans primarily secured by a first priority lien on commercial real property and related personal property and also includes, when applicable, any companion subordinate loans.

(2)Weighted average coupon inclusive of the impact of nonaccrual loans.

(3)Based on contractual maturity date. Certain loans are subject to contractual extension options with such conditions stipulated in the applicable loan documents. Actual maturities may differ from contractual maturities stated herein as certain borrowers may have the right to prepay with or without paying a prepayment fee. The Company may also extend contractual maturities in connection with certain loan modifications.

(dollars in thousands) March 31, 2023 December 31, 2022
Property Type Carrying Value % of Loan Portfolio Carrying Value % of Loan Portfolio
Office $ 1,290,627 40.6 % $ 1,348,205 41.3 %
Multifamily 1,010,054 31.7 % 1,008,177 30.9 %
Hotel 309,306 9.7 % 337,264 10.3 %
Retail 301,009 9.5 % 303,266 9.3 %
Industrial 185,387 5.8 % 185,337 5.6 %
Other 85,996 2.7 % 85,566 2.6 %
Total $ 3,182,379 100.0 % $ 3,267,815 100.0 %

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GRANITE POINT MORTGAGE TRUST INC.

Notes to the Condensed Consolidated Financial Statements

(dollars in thousands) March 31, 2023 December 31, 2022
Geographic Location Carrying Value % of Loan Portfolio Carrying Value % of Loan Portfolio
Northeast $ 806,427 25.4 % $ 834,985 25.5 %
Southwest 671,149 21.1 % 675,288 20.7 %
West 484,697 15.2 % 519,244 15.9 %
Midwest 528,272 16.6 % 546,030 16.7 %
Southeast 691,834 21.7 % 692,268 21.2 %
Total $ 3,182,379 100.0 % $ 3,267,815 100.0 %


(dollars in thousands)	September 30, 2023				December 31, 2022
Property Type	Carrying Value		% of Loan Portfolio		Carrying Value		% of Loan Portfolio
Office	$	1,209,011	43.7	%	$	1,348,205	41.3	%
Multifamily	899,530		32.5	%	1,008,177		30.9	%
Hotel	181,080		6.6	%	337,264		10.3	%
Retail	272,768		9.9	%	303,266		9.3	%
Industrial	113,685		4.1	%	185,337		5.6	%
Other	87,484		3.2	%	85,566		2.6	%
Total	$	2,763,558	100.0	%	$	3,267,815	100.0	%


(dollars in thousands)	September 30, 2023				December 31, 2022
Geographic Location	Carrying Value		% of Loan Portfolio		Carrying Value		% of Loan Portfolio
Northeast	$	733,757	26.6	%	$	834,985	25.5	%
Southwest	581,431		21.0	%	675,288		20.7	%
West	345,232		12.5	%	519,244		15.9	%
Midwest	440,726		15.9	%	546,030		16.7	%
Southeast	662,412		24.0	%	692,268		21.2	%

Total	$	2,763,558	100.0	%	$	3,267,815	100.0	%

At ~~March 31,~~September 30, 2023, and December 31, 2022, loans held-for-investment with a carrying value, net of allowance for credit losses, of ~~$3.2~~$2.8 billion and $3.2 billion, respectively, collateralized the Company’s secured financing agreements and CRE CLOs. See Note 45 - Variable Interest Entities and Securitized Debt Obligations, and Note 56 - Secured Financing ~~Agreements.~~Agreements, for further detail.

Loan Portfolio Activity

During the three and nine months ended September 30, 2023, the Company funded $20.7 million and $56.1 million, respectively, of prior commitments and upsizings and did not originate any new mortgage loans. Additionally, the Company received $174.2 million and $396.6 million of full loan repayments, and partial paydowns and amortization of $3.3 million and $46.5 million, for total loan repayments, paydowns and amortization of $177.5 million and $443.1 million during the three and nine months ended September 30, 2023, respectively. During the three months ended September 30, 2023, the Company transferred to a loan to held-for-sale with an unpaid principal balance of $31.9 million, incurring a write-off of $(16.8) million at the time of transfer. During the nine months ended September 30, 2023, the Company converted a loan to REO with an unpaid principal balance of $28.2 million, incurring a write-off at the time of conversion of $(4.2) million.

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GRANITE POINT MORTGAGE TRUST INC.

Notes to the Condensed Consolidated Financial Statements

The following table summarizes activity related to loans held-for-investment, net of allowance for credit losses, for the three and nine months ended ~~March 31,~~September 30, 2023, and 2022:


		Three Months Ended March 31,				Three Months Ended September 30,				Nine Months Ended September 30,
(in thousands)	(in thousands)	2023		2022			(in thousands)	2023		2022		2023		2022
Balance at beginning of period	Balance at beginning of period	$	3,267,815	3,741,308			Balance at beginning of period	$	2,966,088	$	3,830,014	$	3,267,815	$	3,741,308
Originations, additional fundings, upsizing of loans and capitalized deferred interest	Originations, additional fundings, upsizing of loans and capitalized deferred interest	18,205		172,865			Originations, additional fundings, upsizing of loans and capitalized deferred interest	21,698		72,435		58,878		457,545

Repayments	Repayments	(59,450)		(118,383)			Repayments	(177,482)		(346,737)		(443,105)		(585,227)
Loan sales	Loan sales	—		(43,714)			Loan sales	—		—		—		(43,714)
Transfers to loans held-for-sale							Transfers to loans held-for-sale	(14,980)		—		(14,980)		—
Transfers to real estate owned							Transfers to real estate owned	—		—		(24,000)		—
Net discount accretion (premium amortization)	Net discount accretion (premium amortization)	13		9			Net discount accretion (premium amortization)	3		3		23		19
Increase in net deferred origination fees	Increase in net deferred origination fees	(619)		(2,240)			Increase in net deferred origination fees	(250)		(1,454)		(1,282)		(6,012)
Amortization of net deferred origination fees	Amortization of net deferred origination fees	2,531		3,989			Amortization of net deferred origination fees	116		1,475		4,121		8,307

(Provision for) benefit from credit losses		(46,116)		(3,364)

Provision for credit losses							Provision for credit losses	(31,635)		(35,331)		(83,912)		(51,821)
Balance at end of period	Balance at end of period	$	3,182,379	$	3,750,470		Balance at end of period	$	2,763,558	$	3,520,405	$	2,763,558	$	3,520,405

Allowance for Credit Losses

To estimate and recognize an allowance for credit losses on loans held-for-investment and the related unfunded commitments, the Company continues to use a third-party licensed probability-weighted analytical model. The Company employs third-party licensed quarterly updated macroeconomic forecasts, which reflect expectations for overall economic output, unemployment rates, interest rates, values of real estate properties and other factors, including the lagging effects of the pandemic, geopolitical and banking system instability, the Federal Reserve monetary policy impacts on the ~~overall~~ U.S. economy, and commercial real estate markets generally. Significant inputs to the Company’s estimate of the allowance for credit losses include loan-specific factors such as debt-service coverage ratio, or DSCR, loan-to-value ratio, or LTV, remaining contractual loan term, property type and others. Additionally, there are a number of significant assumptions and qualitative factors included when determining the Company’s estimates, including, but not limited to, macroeconomic conditions and general portfolio trends. As part of the quarterly review of the portfolio, the Company assesses the expected repayment date of each loan, which is used to determine the contractual term for purposes of computing the current expected credit loss, or CECL, reserve.

In certain instances, for loans with unique risk and credit characteristics, such as collateral-dependent loans, the Company may assess such loans individually and instead elect to employ different methods to estimate an allowance for credit losses.

~~As of March 31, 2023,~~ A loan is determined to be collateral dependent if the Company ~~recognized an~~determines that foreclosure of the collateral is probable, or a loan is expected to be substantially repaid through the operation or sale of the underlying collateral and the borrower is experiencing financial difficulty. Such determination requires the use of significant management judgment and can be based on several factors subject to uncertainty. For collateral-dependent loans that are individually assessed, the allowance for credit losses ~~related~~estimate is determined by using the difference between the underlying collateral’s fair value estimate as of the measurement date (less costs to ~~its loans held-for-investment~~sell the asset if repayment is expected through the sale of ~~$128.5 million,~~the collateral) and the amortized cost basis of the loan. The collateral’s estimated fair value is determined using broadly accepted and standard real estate valuation techniques (most commonly, a discounted cash flow model and/or real estate sales comparables), which ~~reflects~~may involve a ~~provision~~variety of assumptions and unobservable inputs that are inherently uncertain and subjective in nature.

Determining the appropriateness of the allowance for credit losses is complex and requires judgment by management about the effect of ~~$46.1 million~~matters that are inherently uncertain. Evaluations of the loan portfolio in future periods, given the prevailing forecasts, credit factors and market conditions, may result in significant changes to the Company's estimate of the allowance for credit losses.

During the three months ended ~~March 31,~~September 30, 2023, the Company recorded an increase of $14.8 million to its allowance for credit losses on loans held-for-investment bringing the total allowance on loans held-for-investment to $145.3 million as of September 30, 2023. The increase into the Company’s allowance for credit losses was impacted by an increasingly uncertain macroeconomic outlook which includes weakening in credit fundamentals, global market volatility, reduced liquidity in the capital markets especially for certain property types such as office assets located in underperforming markets, and inflationary expectations resulting in meaningfully higher interest rates, and uncertainty with respectprimarily due to ~~the geopolitical environment. The increase in the Company’s CECL reserve was primarily driven by recording~~ an increase ~~in the allowance for collateral-dependent loans during the~~of (i) $18.0 million related to three ~~months ended March 31, 2023,~~loans: two office properties and one hotel property that ~~were~~had been previously individually assessed in accordance with ASU ~~2016-13. The collateral properties securing~~2016-13, due to further deterioration of local market fundamentals and various resolution processes related to these loans, ~~have been affected~~(ii) $13.6 million related to a mixed-use office and retail property that was individually assessed during the quarter, partially offset by ~~the above factors,~~a decrease of (i) $8.9 million resulting ~~in slowing of business plan execution and reduced market liquidity impacting the borrowers’ ability~~from a $16.8 million write-off on a transfer to ~~either sell or refinance their properties.~~held-for-

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GRANITE POINT MORTGAGE TRUST INC.

Notes to the Condensed Consolidated Financial Statements

Assale of ~~March 31,~~one office loan that had been previously individually assessed, and (ii) $7.9 million resulting from loan repayments and other general factors in calculating the CECL reserve.

During the nine months ended September 30, 2023, ~~the Company had five collateral-dependent loans with an aggregate principal balance of $274.8 million, for which~~ the Company recorded an increase of $62.9 million to its allowance for credit losses as of ~~$67.5 million. Four collateral-dependent loans were first mortgage loans secured by office properties~~September 30, 2023. The increase to the Company’s allowance for credit losses was primarily due to an increase of (i) $22.4 million related to two loans: one hotel property and one ~~first mortgage loan secured by a hotel~~mixed-use office and retail property ~~each of which were~~ individually assessed in accordance with ASU 2016-13 during the ~~three~~nine months ended ~~March 31, 2023. See Note 9 -~~ ~~Fair Value,~~ ~~for further detail. The remaining increase in the Company’s allowance for credit losses was mainly~~September 30, 2023, (ii) $34.0 million related to ~~implementing~~two office properties that had been previously individually assessed in ~~its analysis~~accordance with ASU 2016-13, due to further deterioration of local market fundamentals and various resolution processes related to these loans, (iii) $17.1 million from more ~~conservative~~adverse macroeconomic forecasts ~~including more emphasis~~and other loan specific assumptions employed in estimating the general CECL reserve, partially offset by a decrease of (i) $5.9 million resulting from a $16.8 million write-off on ~~recessionary scenarios driven by the factors discussed~~a transfer to held-for-sale of one office loan and (ii) a $4.2 million write-off attributable to an office property converted to REO, as described above.

The allowance for credit losses related to the Company’s loans held-for-investment is deducted from the amortized cost basis of related loans, while the allowance for credit losses related to off-balance sheet unfunded commitments on existing loans is recorded as a component of other liabilities on the Company’s condensed consolidated balance sheets. As of ~~March 31,~~September 30, 2023, the Company recognized ~~$4.5~~$3.6 million in other liabilities related to the allowance for credit losses on unfunded commitments, resulting in a total allowance for credit losses of $148.9 million, and recorded a benefit from credit losses of $0.6 million and $0.7 million for the three and nine months ended September 30, 2023, respectively, due to a decrease in unfunded commitments, resulting in a total provision for credit losses of ~~$0.3~~$(31.0) million and $(83.2) million for the three and nine months ended ~~March 31, 2023.~~September 30, 2023, respectively. Changes in the provision for credit losses for both loans held-for-investment and their related unfunded commitments are recognized through net (loss) income on the Company’s condensed consolidated statements of comprehensive income.

As of September 30, 2023, the Company had four collateral-dependent loans with an aggregate principal balance of $250.9 million, for which the Company recorded an allowance for credit losses of $85.1 million. Two collateral-dependent loans were first mortgage loans secured by office properties, one first mortgage loan was secured by a hotel property, and one first mortgage loan was secured by a mixed-use office and retail property, each of which were individually assessed in accordance with ASU 2016-13 during the three months ended September 30, 2023. See Note 9 - Fair Value, for further detail. These four loans were on nonaccrual status as of September 30, 2023. The collateral properties securing these loans have been significantly impacted by an increasingly uncertain macroeconomic and commercial real estate market outlook, which includes weakening in credit fundamentals; capital markets volatility and reduced liquidity, especially for certain property types, such as office assets located in underperforming markets; and meaningfully higher cost of capital driven by significant increases in interest rates. These macroeconomic and market factors have resulted in slowing of business plan execution and reduced market liquidity, thereby impacting the borrowers’ ability to either sell or refinance their properties to repay the Company’s loans.

Additionally, as of September 30, 2023, the Company had one collateral-dependent loan with a principal balance of $66.0 million secured by an office property, for which the Company recorded no allowance for credit losses as the collateral’s estimated fair value exceeded the carrying value of the loan and past due interest, and therefore the Company continues to accrue interest. During the three months ended September 30, 2023, the loan maturity date of July 9, 2023, passed without extension and the Company determined that the repayment of the loan is expected to be substantially through the borrower’s sale of the collateral property and the borrower is in financial difficulty. Accordingly, the Company individually assessed the loan in accordance with ASU 2016-13. See Note 9 - Fair Value, for further detail.

The following table presents the changes for the three and nine months ended ~~March 31,~~September 30, 2023, and 2022 in the allowance for credit losses on loans held-for-investment:


		Three Months Ended March 31,				Three Months Ended September 30,				Nine Months Ended September 30,
(in thousands)	(in thousands)	2023		2022			(in thousands)	2023		2022		2023		2022
Balance at beginning of period	Balance at beginning of period	$	82,335	$	40,897		Balance at beginning of period	$	130,412	$	47,280	$	82,335	$	40,897
Provision for (benefit from) credit losses	Provision for (benefit from) credit losses	46,116		3,364			Provision for (benefit from) credit losses	31,635		35,331		83,912		52,333
Write-off	Write-off	—		(10,107)			Write-off	(16,750)		—		(20,950)		(10,107)

Recoveries of amounts previously written off							Recoveries of amounts previously written off	—		—		—		(512)
Balance at end of period	Balance at end of period	$	128,451	$	34,154		Balance at end of period	$	145,297	$	82,611	$	145,297	$	82,611

During the three months ended March 31, 2023, one first mortgage loan with a principal balance of $27.5 million collateralized by a hotel property was downgraded to a risk rating of “5” as a result of the collateral property’s operating performance being adversely affected by the lagging travel trends impacting the local hotel occupancy rates, capital markets volatility and other factors (see “Loan Risk Ratings” below). The Company held this loan on nonaccrual status as of March 31, 2023.Nonaccrual Loans

Generally, loans held-for-investment are placed on nonaccrual status when delinquent for more than 90 days or earlier when determined not to be probable of full ~~collection.~~collection of contractual payments. Interest income recognition is suspended when loans are placed on nonaccrual status. As of March 31, 2023, the Company has five senior loans with a total unpaid principal balance of $274.8 million and carrying value of $207.2 million that are held on nonaccrual status. No other loans were considered past due, and no other loans were held on nonaccrual status as of March 31, 2023.

~~The following table presents the carrying value of loans held-for-investment on nonaccrual status for the three months ended March 31, 2023, and 2022:~~

Three Months Ended March 31,
(in thousands) 2023 2022
Nonaccrual loan carrying value at beginning of period $ 207,958 $ 145,370
Addition of nonaccrual loan carrying value $ 23,270 $ 11
Reduction of nonaccrual loan carrying value $ (23,994) $ (45,854)
Nonaccrual loan carrying value at end of period $ 207,234 $ 99,527

910

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GRANITE POINT MORTGAGE TRUST INC.

Notes to the Condensed Consolidated Financial Statements

are placed on nonaccrual status. As of September 30, 2023, the Company had four senior loans with a total unpaid principal balance of $250.9 million and carrying value of $165.9 million that were held on nonaccrual status. No other loans were held on nonaccrual status as of September 30, 2023.

During the three months ended ~~March 31,~~September 30, 2023, ~~the $23.3 million addition of nonaccrual loan carrying value represents the addition of one nonaccrual~~a first mortgage loan with a principal balance of $37.1 million collateralized by a ~~hotel~~mixed-use office and retail property located in Los Angeles, CA, was downgraded from a risk rating of “4” to a risk rating of “5” as ~~discussed above,~~the collateral property’s operating performance has been adversely affected by the ongoing leasing market challenges related to work from home trends and local submarket dynamics, capital markets volatility and other factors (see “Loan Risk Ratings” below). The Company held this loan on nonaccrual status as of September 30, 2023.

During the ~~$24.0~~three months ended September 30, 2023, a senior loan with an outstanding principal balance of $31.8 million ~~reduction~~and collateralized by an office property located in Dallas, TX was transferred to loans held-for-sale. The loan had previously been placed on nonaccrual status and had a risk rating of ~~nonaccrual loan carrying value represents~~“5”. The Company recognized a write-off of $(16.8) million in the ~~increase in provision~~allowance for credit losses on loans ~~previously held on nonaccrual status. During~~held-for-investment related to the transfer, which reflects an incremental $(7.9) million provision for credit losses recorded at the time of transfer during the three months ended ~~March 31, 2022,~~September 30, 2023. Subsequent to September 30, 2023, on October 16, 2023, the ~~$45.9~~loan sale was finalized with no additional losses incurred. See Note 16 - Subsequent Events, for further detail.

During the nine months ended September 30, 2023, the Company converted a senior loan that had an outstanding principal balance of $28.2 million ~~removal~~to real estate owned. The loan had been previously placed on nonaccrual status. The Company recognized a write-off of ~~nonaccrual loan carrying value was~~$(4.2) million in the allowance for credit losses on loans held-for-investment related to the ~~resolution~~transfer. See Note 4 - Real Estate Owned, Net, for further detail.

The following table presents the carrying value of ~~one first mortgage collateralized by an office property.~~loans held-for-investment on nonaccrual status for the three and nine months ended September 30, 2023, and 2022:


	Three Months Ended September 30,				Nine Months Ended September 30,
(in thousands)	2023		2022		2023		2022
Nonaccrual loan carrying value at beginning of period	$	183,263	$	188,839	$	207,958	$	145,370
Addition of nonaccrual loan carrying value	$	23,480	$	103,076	$	46,750	$	192,399
Reduction of nonaccrual loan carrying value	$	(40,881)	$	(12,656)	$	(88,846)	$	(58,510)
Nonaccrual loan carrying value at end of period	$	165,862	$	279,259	$	165,862	$	279,259

The following tables summarize the aging analysis of accrued interest past due on the carrying value of the Company’s loans held-for-investment as of ~~March 31,~~September 30, 2023, and December 31, 2022:


(in thousands)	(in thousands)	Days Outstanding as of March 31, 2023														(in thousands)	Days Outstanding as of September 30, 2023
		Current		Days: 30-59		Days: 60-89		Days: 90 or more		Total loans past due		Total loans		90 days or more past due and accruing interest			Current		Days: 30-59		Days: 60-89		Days: 90 or more		Total loans past due		Total loans		90 days or more past due and accruing interest
Loans held-for-investment:	Loans held-for-investment:															Loans held-for-investment:
Senior loans	Senior loans	$	2,961,966	$	23,270	$	—	$	183,964	$	207,234	$	3,169,200	$	—	Senior loans	$	2,518,585	$	23,480	$	—	$	208,350	$	231,830	$	2,750,415	$	65,968
Subordinated loans	Subordinated loans	13,179		—		—		—		—		13,179		—		Subordinated loans	13,143		—		—		—		—		13,143		—
Total	Total	$	2,975,145	$	23,270	$	—	$	183,964	$	207,234	$	3,182,379	$	—	Total	$	2,531,728	$	23,480	$	—	$	208,350	$	231,830	$	2,763,558	$	65,968


(in thousands)	Days Outstanding as of December 31, 2022
	Current		Days: 30-59		Days: 60-89		Days: 90 or more		Total loans past due		Total loans		90 days or more past due and accruing interest
Loans held-for-investment:
Senior loans	$	3,072,536	$	—	$	—	$	182,082	$	182,082	$	3,254,618	$	—
Subordinated loans	13,197		—		—		—		—		13,197		—
Total	$	3,085,733	$	—	$	—	$	182,082	$	182,082	$	3,267,815	$	—

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GRANITE POINT MORTGAGE TRUST INC.

Notes to the Condensed Consolidated Financial Statements

As discussed above, as of September 30, 2023, the Company had one office loan with a principal balance of $66.0 million, whose maturity passed without extension, and for which the Company determined that the loans collateral’s estimated fair value exceeded the carrying value of the loan and past due interest. The Company deemed probable that the repayment of the loan and its past due interest is expected to be substantially satisfied through the borrower’s sale of the collateral property, which was under contract to be sold as of September 30, 2023. The loan remained on accrual status as of September 30, 2023. Given the volatile and uncertain market conditions, there may be no assurances that the borrower’s sale of the collateral property will be completed as currently contemplated under the terms of the purchase and sale agreement.

Loan Modifications

The Company may amend or modify a loan depending on the loan’s specific facts and circumstances. These loan modifications typically include additional time for the borrower to refinance or sell the collateral property, adjustment or waiver of performance tests that are prerequisite to the extension of a ~~loan~~loan’s maturity, and/or deferral of scheduled principal payments. In exchange for a modification, the Company may receive a partial repayment of principal, a short-term accrual of capitalized interest for a portion of interest due, a cash infusion to replenish interest or capital improvement reserves, termination of all or a portion of the remaining unfunded loan commitment, additional call protection, and/or an increase in the loan ~~coupon.~~coupon or fees. For the three and nine months ended ~~March 31,~~September 30, 2023, none of the Company’s loan modifications resulted in a significant modification.

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~~GRANITE POINT MORTGAGE TRUST INC.~~

~~Notes to the Condensed Consolidated Financial Statements~~

Loan Risk Ratings

The Company’s primary credit quality indicators are its risk ratings. The Company evaluates the credit quality of each loan at least quarterly by assessing the risk factors of each loan and assigning a risk rating based on a variety of factors. Risk factors considered in the assessment include, but are not limited to, property type, geographic and local market dynamics, physical condition, leasing and tenant profile, projected cash flow, collateral performance, loan structure and exit plan, origination LTV, project sponsorship and other factors deemed necessary. ~~Risk~~Loans are rated “1” (less risk) through “5” (greater risk), which ratings are defined as follows:

1 –Lower Risk

2 –Average Risk

3 –Acceptable Risk

4 –Higher Risk: A loan that has exhibited material deterioration in cash flows and/or other credit factors, which, if negative trends continue, could be indicative of probability of principal loss.

5 –Loss Likely: A loan that has a significantly increased probability of principal loss.

The following table presents the number of loans, unpaid principal balance and carrying value by risk rating for loans held-for-investment as of ~~March 31,~~September 30, 2023, and December 31, 2022:


(dollars in thousands)	(dollars in thousands)	March 31, 2023					December 31, 2022					(dollars in thousands)	September 30, 2023					December 31, 2022
Risk Rating	Risk Rating	Number of Loans	Unpaid Principal Balance		Carrying Value		Number of Loans	Unpaid Principal Balance		Carrying Value		Risk Rating	Number of Loans	Unpaid Principal Balance		Carrying Value		Number of Loans	Unpaid Principal Balance		Carrying Value
1	1	7	$	257,477	$	252,307	8	$	291,236	$	287,527	1	5	$	134,655	$	133,874	8	$	291,236	$	287,527
2	2	48	1,706,949		1,676,839		52	1,857,744		1,824,564		2	40	1,419,862		1,391,937		52	1,857,744		1,824,564
3	3	24	839,453		818,533		21	697,532		689,196		3	23	784,320		767,944		21	697,532		689,196
4	4	4	242,124		227,466		5	268,236		258,570		4	5	328,023		303,941		5	268,236		258,570
5	5	5	274,758		207,234		4	247,258		207,958		5	4	250,869		165,862		4	247,258		207,958
Total	Total	88	$	3,320,761	$	3,182,379	90	$	3,362,006	$	3,267,815	Total	77	$	2,917,729	$	2,763,558	90	$	3,362,006	$	3,267,815

As of ~~March 31,~~September 30, 2023, the weighted average risk rating of the Company’s loan portfolio was ~~2.6,~~2.7, versus 2.5 as of December 31, 2022, weighted by unpaid principal balance. The change in portfolio risk rating ~~was largely unchanged~~as of September 30, 2023, versus December 31, 2022, asis mainly a result of changes in portfolio mix from ~~the two~~loan payoffs and paydowns ~~mostly offset~~and select loan rating downgrades, including one loan downgraded to a “5”, partially offset by the transfer of a previously “5” rated loan to loans held-for-sale, as ~~of March 31, 2023.~~described above.

The following table presents the carrying value of loans held-for-investment as of ~~March 31,~~September 30, 2023, and December 31, 2022, by risk rating and year of origination:

March 31, 2023
(dollars in thousands) Origination Year
Risk Rating 2023 2022 2021 2020 2019 2018 Prior Total
1 $ — $ — $ — $ 42,936 $ 187,198 $ 22,173 $ — $ 252,307
2 $ — $ 423,939 $ 471,196 $ 93,523 $ 435,250 $ 167,193 $ 85,738 $ 1,676,839
3 $ — $ — $ 142,301 $ 16,955 $ 287,158 $ 156,869 $ 215,250 $ 818,533
4 $ — $ — $ — $ — $ — $ 110,149 $ 117,317 $ 227,466
5 $ — $ — $ — $ — $ 137,112 $ 23,270 $ 46,852 $ 207,234
Total $ — $ 423,939 $ 613,497 $ 153,414 $ 1,046,718 $ 479,654 $ 465,157 $ 3,182,379
Gross write-offs $ — $ — $ — $ — $ — $ — $ — $ —

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GRANITE POINT MORTGAGE TRUST INC.

Notes to the Condensed Consolidated Financial Statements


		December 31, 2022																	September 30, 2023
(dollars in thousands)	(dollars in thousands)	Origination Year																(dollars in thousands)	Origination Year
Risk Rating	Risk Rating	2022		2021		2020		2019		2018		2017		Prior		Total		Risk Rating	2023		2022		2021		2020		2019		Prior		Total
1	1	—		—		44,141		186,506		56,880		—		—		$	287,527	1	$	—	$	—	$	62,992	$	21,715	$	49,167	$	—	$	133,874
2	2	419,617		512,526		95,560		516,723		193,900		13,196		73,042		$	1,824,564	2	—		405,438		339,076		21,948		522,000		103,475		1,391,937
3	3	—		95,061		20,154		234,019		99,311		152,093		88,558		$	689,196	3	—		25,584		143,927		22,197		217,849		358,387		767,944
4	4	—		—		—		—		135,782		43,381		79,407		$	258,570	4	—		—		—		—		74,170		229,771		303,941
5	5	—		—		—		157,111		—		50,847		—		$	207,958	5	—		—		—		—		123,112		42,750		165,862
Total	Total	$	419,617	$	607,587	$	159,855	$	1,094,359	$	485,873	$	259,517	$	241,007	$	3,267,815	Total	$	—	$	431,022	$	545,995	$	65,860	$	986,298	$	734,383	$	2,763,558

Gross write-offs	Gross write-offs	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	Gross write-offs	$	—	$	—	$	—	$	—	$	—	$	(20,950)	$	(20,950)


	December 31, 2022
(dollars in thousands)	Origination Year
Risk Rating	2022		2021		2020		2019		2018		Prior		Total
1	$	—	$	—	$	44,141	$	186,506	$	56,880	$	—	$	287,527
2	419,617		512,526		95,560		516,723		193,900		86,238		1,824,564
3	—		95,061		20,154		234,019		99,311		240,651		689,196
4	—		—		—		—		135,782		122,788		258,570
5	—		—		—		157,111		—		50,847		207,958
Total	$	419,617	$	607,587	$	159,855	$	1,094,359	$	485,873	$	500,524	$	3,267,815

Gross write-offs	$	—	$	—	$	—	$	—	$	—	$	—	$	—

Table of Contents

GRANITE POINT MORTGAGE TRUST INC.

Notes to the Condensed Consolidated Financial Statements

Note 4. Real Estate Owned, Net

On May 16, 2023, the Company acquired legal title to an office property located in Phoenix, AZ pursuant to a negotiated deed-in-lieu of foreclosure. The property previously served as collateral for a first mortgage loan held for investment, which had been originated in May 2017. As of March 31, 2023, the loan had a risk rating of “5”, was on nonaccrual status and was accounted for under cost-recovery. At the time of acquisition, the loan had an amortized cost and carrying value of $28.2 million and $24.0 million, respectively. During the nine months ended September 30, 2023, the Company recognized the property as real estate owned with a carrying value of $24.0 million based on the estimated fair value of the property. This acquisition was accounted for as an asset acquisition under ASC 805.

The Company provisionally allocated the fair value of the assumed assets and liabilities on the acquisition date as follows:


(in thousands)	Fair Value Allocation
Land	$	9,123
Building	5,638
Tenant improvements	3,596
In-place lease intangibles(1)	5,280
Above-market lease intangibles(1)	401
Below-market lease intangibles(2)	(38)
Total	$	24,000

____________________

(1)Included in “Other assets” on the condensed consolidated balance sheets.

(2)Included in “Other liabilities” on the condensed consolidated balance sheets.

The weighted average initial depreciation period for the acquired tenant improvements during the nine months ended September 30, 2023, was 1.5 years. The weighted average initial amortization period for the acquired in-place lease intangibles, above-market lease intangibles and below-market lease intangibles acquired during the nine months ended September 30, 2023, were 1.5 years, 1.9 years, and 3.6 years, respectively.

The Company assumed certain legacy lease arrangements upon the acquisition of the REO. These arrangements entitle the Company to receive contractual rent payments during the lease periods and tenant reimbursements for certain property operating expenses, including common area costs, insurance, utilities and real estate taxes.

The following table presents the REO operations and related income (loss) included in the Company’s condensed consolidated statements of comprehensive income for the three and nine months ended September 30, 2023:


(dollars in thousands)	Three Months Ended		Nine Months Ended
Real Estate Owned, Net	September 30, 2023		September 30, 2023
Rental income(1)	$	1,017	$	1,461
Other operating income(1)	39		57
Revenue from real estate owned operations	1,056		1,518
Expenses from real estate owned operations(2)	(2,233)		(3,897)




Total	$	(1,177)	$	(2,379)

___________________

(1)Included in “Revenue from real estate owned operations” on the condensed consolidated statements of income.

(2)Includes $1.4 million and $2.0 million of depreciation and amortization for the three and nine months ended September 30, 2023, respectively.

Table of Contents

GRANITE POINT MORTGAGE TRUST INC.

Notes to the Condensed Consolidated Financial Statements

The following table presents the amortization of lease intangibles included in the Company’s condensed consolidated statements of income for the three and nine months ended September 30, 2023:

(dollars in thousands)

Three Months Ended

Nine Months Ended

Income Statement Location

September 30,
2023

Asset

In-place lease intangibles

Expenses from real estate owned operations

784

1,148

Above-market lease intangibles

Revenue from real estate owned operations

(55)

(72)

Liability

Below-market lease intangibles

Revenue from real estate owned operations

The following table presents the amortization of lease intangibles for each of the succeeding fiscal years:


(dollars in thousands)	In-place Lease Intangible Assets		Above-market Lease intangible Assets		Below-market Lease Intangible Liabilities
2023	$	808	$	54	$	2
2024	1,979		123		6
2025	589		24		6
2026	498		20		6
2027	58		17		6
Thereafter	200		92		5

Future Minimum Lease Payments

The following table presents the future minimum lease payments to be collected under non-cancelable operating leases, excluding tenant reimbursements of expenses as of September 30, 2023:


(dollars in thousands)	Contractual Lease Payments
2023	$	996
2024	3,122
2025	1,730
2026	1,605
2027	616
Thereafter	1,399

The weighted average minimum remaining term of the non-cancelable leases was approximately 2.2 years as of September 30, 2023.

Note 4.5. Variable Interest Entities and Securitized Debt Obligations

The Company finances pools of its commercial real estate loans through CRE CLOs, which are considered VIEs for financial reporting purposes, and, thus, are reviewed for consolidation under the applicable consolidation guidance. The Company has both the power to direct the activities of the CRE CLOs that most significantly impact the entities’ performance and the obligation to absorb losses or the right to receive benefits of the entities that could be significant; therefore, the Company consolidates the CRE CLOs.

Table of Contents

GRANITE POINT MORTGAGE TRUST INC.

Notes to the Condensed Consolidated Financial Statements

The following table presents a summary of the assets and liabilities of all VIEs consolidated on the Company’s condensed consolidated balance sheets as of ~~March 31,~~September 30, 2023, and December 31, 2022:


(in thousands)	(in thousands)	March 31, 2023		December 31, 2022		(in thousands)	September 30, 2023		December 31, 2022
Loans held-for-investment	Loans held-for-investment	$	1,292,276	$	1,557,731	Loans held-for-investment	$	1,231,479	$	1,557,731
Allowance for credit losses	Allowance for credit losses	(23,778)		(21,865)		Allowance for credit losses	(25,024)		(21,865)
Loans held-for-investment, net	Loans held-for-investment, net	1,268,498		1,535,866		Loans held-for-investment, net	1,206,455		1,535,866

Restricted cash	Restricted cash	2,443		5,674		Restricted cash	22,940		5,674

Other assets	Other assets	9,619		10,396		Other assets	10,834		10,396
Total Assets	Total Assets	$	1,280,560	$	1,551,936	Total Assets	$	1,240,229	$	1,551,936
Securitized debt obligations	Securitized debt obligations	$	1,039,407	$	1,138,749	Securitized debt obligations	$	999,536	$	1,138,749

Other liabilities	Other liabilities	2,066		2,279		Other liabilities	2,195		2,279
Total Liabilities	Total Liabilities	$	1,041,473	$	1,141,028	Total Liabilities	$	1,001,731	$	1,141,028

The securitized debt obligations issued by the CRE CLOs are recorded at outstanding principal, net of any unamortized deferred debt issuance costs, on the Company’s condensed consolidated balance sheets.

On March 16, 2023, the Company redeemed the GPMT 2019-FL2 CRE CLO, which at ~~its~~the time of redemption had $98.1 million of investment-grade bonds outstanding. The 11 loans or participation interests therein, with an aggregate principal balance of $269.3 million held by the trust, were refinanced in part by one of the Company’s existing secured financing facilities, ~~which~~whose borrowing capacity was upsized in connection therewith. As a result of the redemption, the Company realized a gain on early extinguishment of debt of approximately $0.3 million.

~~Table of Contents~~

~~GRANITE POINT MORTGAGE TRUST INC.~~

~~Notes to the Condensed Consolidated Financial Statements~~

The following table details the Company’s CRE CLO securitized debt obligations:


(dollars in thousands)	(dollars in thousands)	March 31, 2023					December 31, 2022					(dollars in thousands)	September 30, 2023					December 31, 2022
Securitized Debt Obligations	Securitized Debt Obligations	Principal Balance		Carrying Value		Wtd. Avg. Yield/Cost (1)	Principal Balance		Carrying Value		Wtd. Avg. Yield/Cost (1)	Securitized Debt Obligations	Principal Balance		Carrying Value		Wtd. Avg. Yield/Cost (1)	Principal Balance		Carrying Value		Wtd. Avg. Yield/Cost (1)
GPMT 2021-FL4 CRE CLO	GPMT 2021-FL4 CRE CLO											GPMT 2021-FL4 CRE CLO
Collateral assets (2)	Collateral assets (2)	$	621,409	$	608,049	L+/S+3.7%	$	621,409	$	607,354	L+/S+3.7%	Collateral assets(2)	$	621,409	$	602,977	S+3.8%	$	621,409	$	607,354	L+/S+3.7%
Financing provided	Financing provided	502,564		499,531		L+1.7%	502,564		499,249		L+1.7%	Financing provided	502,564		500,113		S+1.8%	502,564		499,249		L+1.7%
GPMT 2021-FL3 CRE CLO	GPMT 2021-FL3 CRE CLO											GPMT 2021-FL3 CRE CLO
Collateral assets (3)	Collateral assets (3)	677,715		662,892		L+/S+3.9%	677,715		669,279		L+/S+3.9%	Collateral assets(3)	637,263		626,418		S+3.8%	677,715		669,279		L+/S+3.9%
Financing provided	Financing provided	539,876		539,876		L+1.7%	539,876		539,892		L+1.7%	Financing provided	499,423		499,423		S+1.9%	539,876		539,892		L+1.7%
GPMT 2019-FL2 CRE CLO	GPMT 2019-FL2 CRE CLO											GPMT 2019-FL2 CRE CLO
Collateral assets (4)	Collateral assets (4)	—		—		—	270,498		264,907		L+ 4.2%	Collateral assets(4)	—		—		—	270,498		264,907		L+ 4.2%
Financing provided	Financing provided	—		—		—	99,300		99,608		L+ 2.7%	Financing provided	—		—		—	99,300		99,608		L+ 2.7%

Total	Total											Total
Collateral assets	Collateral assets	$	1,299,124	$	1,270,941	L+/S+3.8%	$	1,569,622	$	1,541,540	L+/S+ 3.9%	Collateral assets	$	1,258,672	$	1,229,395	S+3.8%	$	1,569,622	$	1,541,540	L+/S+ 3.9%
Financing provided	Financing provided	$	1,042,440	$	1,039,407	L+1.7%	$	1,141,740	$	1,138,749	L+ 1.8%	Financing provided	$	1,001,987	$	999,536	S+1.8%	$	1,141,740	$	1,138,749	L+ 1.8%

____________________

(1)Calculations of all-in yield on collateral assets at origination are based on a number of assumptions (some or all of which may not occur) and are expressed as monthly equivalent yields that include net origination fees and exit fees and exclude future fundings and any potential or completed loan amendments or modifications. Calculation of cost of funds is the weighted average coupon of the CRE CLO, exclusive of any CRE CLO issuance costs. During the three months ended September 30, 2023, the financing provided transitioned from LIBOR to SOFR.

(2)$22.9 million of restricted cash is included as of September 30, 2023. No restricted cash is included as of ~~March 31, 2023, or~~ December 31, 2022. Yield on collateral assets is exclusive of restricted cash.

(3)~~Includes $2.4 million and~~No restricted cash is included as of September 30, 2023. $5.6 million of restricted cash is included as of ~~March 31, 2023, and~~ December 31, ~~2022, respectively.~~2022. Yield on collateral assets is exclusive of restricted cash.

(4)During the ~~three~~nine months ended ~~March 31,~~September 30, 2023, the Company redeemed the GPMT 2019-FL2 CRE CLO. No restricted cash is included as of December 31, 2022. Yield on collateral assets is exclusive of restricted cash.

Table of Contents

GRANITE POINT MORTGAGE TRUST INC.

Notes to the Condensed Consolidated Financial Statements

Note 5.6. Secured Financing Agreements

To finance its loans held-for-investment, the Company has a variety of secured financing arrangements with several counterparties, including repurchase facilities, an asset-specific financing facility and a secured credit facility. The Company’s repurchase facilities are typically collateralized by loans held-for-investment, loans held-for-sale, REO assets, and certain cash balances. Although the transactions under repurchase facilities represent committed borrowings until maturity, other than with respect to the Company’s Centennial Bank repurchase facility, which provides financing on a non-mark-to-market basis, the other respective lenders retain the right to mark the underlying collateral to fair value. A reduction in the value of pledged assets due to collateral-specific credit events, or, with respect to a limited number of the Company’s repurchase facilities, capital market events, would require the Company to fund margin calls. The Company does not typically retain similar rights for the Company to make margin calls on its underlying borrowers as a result of a determination by the Company and/or its financing counterparty that there has been a decrease in the market value of the underlying pledged collateral.

The Company’s asset-specific financing and secured credit facilities are also typically collateralized by loans held-for-investment. Neither facility contains mark-to-market provisions and the asset-specific financing facility is generally term-matched to the underlying assets.

The following tables summarize details of the Company’s borrowings outstanding on its secured financing agreements as of September 30, 2023, and December 31, 2022:


	September 30, 2023
(dollars in thousands)	Maturity Date(1)	Amount Outstanding		Unused Capacity(2)		Total Capacity		Carrying Value of Collateral		Weighted Average Borrowing Rate
Repurchase facilities:
Morgan Stanley Bank	June 28, 2024	$	246,196	$	228,804	$	475,000	$	374,085	8.0	%
Goldman Sachs Bank USA(3)	July 13, 2024	99,856		150,144		250,000		173,005		8.1	%
JPMorgan Chase Bank(4)	July 28, 2025	367,672		57,328		425,000		553,757		8.4	%
Citibank	May 25, 2025	200,595		299,405		500,000		269,645		7.1	%


Centennial Bank(5)	August 29, 2024	7,029		142,971		150,000		21,957		10.3	%
Total/Weighted Average		$	921,348	$	878,652	$	1,800,000	$	1,392,449

Asset-specific financings	Term Matched	$	45,823	$	104,177	$	150,000	$	59,582	7.1	%

Secured credit facility	December 21, 2025	$	100,000	—		$	100,000	$	123,112	11.8	%

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GRANITE POINT MORTGAGE TRUST INC.

Notes to the Condensed Consolidated Financial Statements

~~The following tables summarize details of the Company’s borrowings outstanding on its secured financing agreements as of March 31, 2023, and December 31, 2022:~~

March 31, 2023
(dollars in thousands)
Maturity Date (1)
Amount Outstanding
Unused Capacity (2)
Total Capacity Carrying Value of Collateral Weighted Average Borrowing Rate
Repurchase facilities:
Morgan Stanley Bank (3)
June 28, 2023 $ 451,720 $ 148,280 $ 600,000 $ 609,241 7.4 %
Goldman Sachs Bank USA (4)
July 13, 2023 67,749 182,251 250,000 93,119 7.1 %
JPMorgan Chase Bank June 28, 2024 409,291 15,709 425,000 623,231 7.7 %
Citibank May 25, 2025 256,021 243,979 500,000 343,227 6.7 %
Centennial Bank (5)
August 29, 2024 6,790 143,210 150,000 23,971 9.8 %
Total/Weighted Average $ 1,191,571 $ 733,429 $ 1,925,000 $ 1,692,789
Asset-specific financings Term Matched $ 45,823 $ 104,177 $ 150,000 $ 57,950 6.6 %
Secured credit facility December 21, 2025 $ 100,000 — $ 100,000 $ 137,112 11.3 %


		December 31, 2022												December 31, 2022
(dollars in thousands)	(dollars in thousands)	Maturity Date (1)	Amount Outstanding		Unused Capacity (2)		Total Capacity		Carrying Value of Collateral		Weighted Average Borrowing Rate		(dollars in thousands)	Maturity Date(1)	Amount Outstanding		Unused Capacity(2)		Total Capacity		Carrying Value of Collateral		Weighted Average Borrowing Rate
Repurchase facilities:	Repurchase facilities:												Repurchase facilities:
Morgan Stanley Bank	Morgan Stanley Bank	June 28, 2023	$	494,250	$	105,750	$	600,000	$	701,469	7.0	%	Morgan Stanley Bank	June 28, 2023	$	494,250	$	105,750	$	600,000	$	701,469	7.0	%
Goldman Sachs Bank USA ~~(4)~~(3)	Goldman Sachs Bank USA ~~(4)~~(3)	July 13, 2023	66,914		183,086		250,000		93,651		6.5	%	Goldman Sachs Bank USA ~~(4)~~(3)	July 13, 2023	66,914		183,086		250,000		93,651		6.5	%
JPMorgan Chase Bank	JPMorgan Chase Bank	June 28, 2024	132,438		217,562		350,000		211,841		6.7	%	JPMorgan Chase Bank	June 28, 2024	132,438		217,562		350,000		211,841		6.7	%
Citibank	Citibank	May 25, 2025	204,593		295,407		500,000		266,179		6.1	%	Citibank	May 25, 2025	204,593		295,407		500,000		266,179		6.1	%
Wells Fargo Bank (6)	Wells Fargo Bank (6)	June 28, 2023	71,091		—		71,091		111,154		6.3	%	Wells Fargo Bank(6)	June 28, 2023	71,091		—		71,091		111,154		6.3	%
Centennial Bank (5)	Centennial Bank (5)	August 29, 2024	46,280		$	103,720	$	150,000	101,844		9.3	%	Centennial Bank(5)	August 29, 2024	46,280		103,720		150,000		101,844		9.3	%
Total/Weighted Average	Total/Weighted Average		$	1,015,566	$	905,525	$	1,921,091	$	1,486,138			Total/Weighted Average		$	1,015,566	$	905,525	$	1,921,091	$	1,486,138

Asset-specific financings	Asset-specific financings	Term Matched	$	44,913	$	105,087	$	150,000	$	57,629	6.0	%	Asset-specific financings	Term Matched	$	44,913	$	105,087	$	150,000	$	57,629	6.0	%
Secured credit facility	Secured credit facility	December 21, 2025	$	100,000	$	—	$	100,000	$	157,112	10.8	%	Secured credit facility	December 21, 2025	$	100,000	$	—	$	100,000	$	157,112	10.8	%

____________________

(1)The facilities are set to mature on the stated maturity date, unless extended pursuant to their terms.

(2)Unused capacity is not committed as of ~~March 31,~~September 30, 2023, and December 31, 2022.

(3)~~Subsequent to March 31, 2023, the Company entered into a modification of the facility to extend the maturity date to June 28, 2024, and adjust the total capacity to $475 million.~~

~~(4)~~As of ~~March 31,~~September 30, 2023, and December 31, 2022, the Company retained options to increase the maximum facility capacity amount up to $350 million, subject to customary terms and conditions.

(4)As of September 30, 2023, the outstanding balance was collateralized by loans held-for-investment and one loan held-for-sale. Subsequent to September 30, 2023, the Company entered into a modification of the facility to increase the maximum facility capacity amount to $525 million.

(5)As of ~~March 31,~~September 30, 2023, and December 31, 2022, the Company retained options to increase the maximum facility capacity amount up to $200 million, subject to customary terms and conditions. As of September 30, 2023, the outstanding balance was collateralized by real estate owned, inclusive of $4.5 million in other assets and liabilities related to acquired leases. See Note 4 - Real Estate Owned, Net, for further detail.

(6)During the ~~three~~nine months ended ~~March 31,~~September 30, 2023, the facility was terminated.

At September 30, 2023, and December 31, 2022, the Company’s borrowings outstanding on its secured financing facilities had contractual maturities as follows:


	September 30, 2023
(in thousands)	Repurchase Facilities		Asset-Specific Financings(1)		Secured Credit Facility		Total Amount Outstanding
2023	$	—	$	45,823	$	—	$	45,823
2024	353,081		—		—		353,081
2025	568,267		—		100,000		668,267
2026	—		—		—		—
2027	—		—		—		—
Thereafter	—		—		—		—
Total	$	921,348	$	45,823	$	100,000	$	1,067,171

1418

Table of Contents

GRANITE POINT MORTGAGE TRUST INC.

Notes to the Condensed Consolidated Financial Statements

~~At March 31, 2023, and December 31, 2022, the Company’s borrowings outstanding on its secured financing facilities had contractual maturities as follows:~~

March 31, 2023
(in thousands) Repurchase Facilities
Asset-Specific Financings (1)
Secured Credit Facility Total Amount Outstanding
2023 $ 519,469 $ 45,823 $ — $ 565,292
2024 416,081 — — 416,081
2025 256,021 — 100,000 356,021
2026 — — — —
2027 — — — —
Thereafter — — — —
Total $ 1,191,571 $ 45,823 $ 100,000 $ 1,337,394


		December 31, 2022						December 31, 2022
(in thousands)	(in thousands)	Repurchase Facilities		Asset-Specific Financings (1)		Secured Credit Facility			Total Amount Outstanding		(in thousands)	Repurchase Facilities		Asset-Specific Financings(1)		Secured Credit Facility		Total Amount Outstanding
2023	2023	$	632,255	$	44,913	$	—		$	677,168	2023	$	632,255	$	44,913	$	—	$	677,168
2024	2024	178,718		—		—			178,718		2024	178,718		—		—		178,718
2025	2025	204,593		—		100,000			304,593		2025	204,593		—		100,000		304,593
2026	2026	—		—		—			—		2026	—		—		—		—
2027	2027	—		—		—			—		2027	—		—		—		—
Thereafter	Thereafter	—		—		—			—		Thereafter	—		—		—		—
Total	Total	$	1,015,566	$	44,913	$	100,000		$	1,160,479	Total	$	1,015,566	$	44,913	$	100,000	$	1,160,479

__________________

(1)Maturity date is term matched to the corresponding loans.

~~(2)Amount outstanding includes unamortized debt issuance costs.~~

~~Table of Contents~~

~~GRANITE POINT MORTGAGE TRUST INC.~~

~~Notes to the Condensed Consolidated Financial Statements~~

The following table summarizes certain characteristics of the Company’s repurchase facilities and counterparty concentration at ~~March 31,~~September 30, 2023, and December 31, 2022:


		March 31, 2023							December 31, 2022								September 30, 2023							December 31, 2022
(dollars in thousands)	(dollars in thousands)	Amount Outstanding		Net Counterparty Exposure (1)		Percent of Equity		Weighted Average Years to Maturity	Amount Outstanding		Net Counterparty Exposure (1)		Percent of Equity		Weighted Average Years to Maturity	(dollars in thousands)	Amount Outstanding		Net Counterparty Exposure(1)		Percent of Equity		Weighted Average Years to Maturity	Amount Outstanding		Net Counterparty Exposure(1)		Percent of Equity		Weighted Average Years to Maturity
Morgan Stanley Bank	Morgan Stanley Bank	$	451,720	$	167,156	18	%	0.24	$	494,250	$	213,855	22	%	0.49	Morgan Stanley Bank	$	246,196	$	134,690	15	%	0.75	$	494,250	$	213,855	22	%	0.49
JPMorgan Chase Bank	JPMorgan Chase Bank	409,291		225,158		24	%	1.25	132,438		81,850		8	%	1.49	JPMorgan Chase Bank	367,672		197,874		22	%	1.83	132,438		81,850		8	%	1.49
Goldman Sachs Bank USA	Goldman Sachs Bank USA	67,749		27,030		3	%	0.29	66,914		27,594		3	%	0.53	Goldman Sachs Bank USA	99,856		75,709		8	%	0.79	66,914		27,594		3	%	0.53
Citibank	Citibank	256,021		89,425		10	%	2.16	204,593		63,924		6	%	2.40	Citibank	200,595		73,197		8	%	1.65	204,593		63,924		6	%	2.40
Wells Fargo Bank	Wells Fargo Bank	—		—		—	%	0.00	71,091		42,447		4	%	0.49	Wells Fargo Bank	—		—		—	%		71,091		42,447		4	%	0.49
Centennial Bank	Centennial Bank	6,790		17,165		2	%	1.42	46,280		55,712		6	%	1.66	Centennial Bank	7,029		16,939		2	%	0.92	46,280		55,712		6	%	1.66
Total	Total	$	1,191,571	$	525,934				$	1,015,566	$	485,382				Total	$	921,348	$	498,409				$	1,015,566	$	485,382

____________________

(1)Represents the excess of the carrying amount or market value of the loans held-for-investment pledged as collateral for repurchase facilities, including accrued interest plus any cash on deposit to secure the repurchase obligation, less the amount of the repurchase liability, including accrued interest.

The Company does not anticipate any defaults by its financing counterparties, although there can be no assurance that one or more defaults will not occur.

Financial Covenants

The Company is subject to a variety of financial covenants under its secured financing agreements. The following represent the most restrictive financial covenants across ~~the agreements as of March 31, 2023:~~its secured financing agreements:

•Unrestricted cash cannot be less than the greater of $30.0 million and 5.0% of recourse indebtedness. As of ~~March 31,~~September 30, 2023, the Company’s unrestricted cash was ~~$223.4~~$257.6 million, while 5.0% of the Company’s recourse indebtedness was ~~$23.0~~$19.1 million.

•Tangible net worth must be greater than the sum of (i) ~~75.0% of the Company’s tangible net worth as of June 28, 2017,~~$816.9 million and (ii) 75.0% of net cash proceeds of the Company’s equity issuances after ~~June 28, 2017, which calculates to $931.7~~August 3, 2023. As the Company has not had any equity issuances after August 3, 2023, tangible net worth must be greater than $816.9 million. As of ~~March 31,~~September 30, 2023, the Company’s tangible net worth was ~~$1.1~~$1.0 billion.

•Target asset leverage ratio cannot exceed 77.5% and total leverage ratio cannot exceed 80.0%. As of ~~March 31,~~September 30, 2023, the Company’s target asset leverage ratio was ~~71.7%~~69.9% and the Company’s total leverage ratio was ~~70.5%~~68.3%.

•Minimum interest coverage of no less than ~~1.5:1.0.~~1.3:1.0 through June 30, 2024. As of ~~March 31,~~September 30, 2023, the Company’s minimum interest coverage was ~~1.6:~~1.5:1.0. Subsequent to June 30, 2024, the Company will be required to maintain minimum interest coverage of no less than 1.4:1.0.

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GRANITE POINT MORTGAGE TRUST INC.

Notes to the Condensed Consolidated Financial Statements

The Company may also be subject to additional financial covenants in connection with various other agreements it enters into in the normal course of its business. The Company was in compliance with all of its financial covenants as of ~~March 31,~~September 30, 2023, and December 31, 2022, and intends to continue to operate in a manner which complies with all of its financial covenants.

Note 6.7. Convertible Senior Notes

In October 2018, the Company closed an underwritten public offering of $131.6 million aggregate principal amount of convertible senior notes due October 1, ~~2023.~~2023, or the convertible notes. The ~~net proceeds from the offering~~convertible notes were ~~approximately $127.7 million after deducting underwriting discounts and expenses. The notes are~~ unsecured, ~~pay~~paid interest

semiannually at a rate of 6.375% per annum and ~~are~~were convertible at the option of the holder into shares of the Company’s

common stock. ~~The notes will mature on October 1, 2023, unless earlier converted or repurchased in accordance with their terms. The Company does not have the right~~Subsequent to ~~redeem the notes prior to maturity but may be required to repurchase the notes from holders under certain circumstances. As of March 31,~~September 30, 2023, the Company redeemed for cash the convertible senior notes ~~had a conversion rate of 50.0894 shares of common stock per $1,000 principal amount~~at maturity, and none of the notes remained outstanding. See Note 16 - Subsequent Events, for further detail.

The consolidated amount outstanding due on the convertible ~~senior~~ notes as of ~~March 31,~~September 30, 2023, and December 31, 2022, was ~~$131.1~~$131.6 million and $130.9 million, respectively, net of deferred issuance costs.

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~~GRANITE POINT MORTGAGE TRUST INC.~~

~~Notes to the Condensed Consolidated Financial Statements~~

The following table details the interest expense related to the convertible ~~senior notes:~~notes for the three and nine months ended September 30, 2023, and 2022:


		Three Months Ended March 31,					Three Months Ended September 30,				Nine Months Ended September 30,
(in thousands)	(in thousands)	2023		2022		(in thousands)	2023		2022		2023		2022
Cash coupon	Cash coupon	$	2,097	$	4,119	Cash coupon	$	2,098	$	4,119	$	6,293	$	12,357
Amortization of issuance costs	Amortization of issuance costs	214		427		Amortization of issuance costs	234		466		682		1,346
Total interest expense	Total interest expense	$	2,311	$	4,546	Total interest expense	$	2,332	$	4,585	$	6,975	$	13,703

The following table details the carrying value of the convertible ~~senior notes:~~

(in thousands) March 31,
2023 December 31,
2022
Principal outstanding $ 131,600 $ 131,600
Less: Unamortized issuance costs (469) (682)
Net carrying value $ 131,131 $ 130,918

~~Note 7. Senior Secured Term Loan Facilities~~

~~Senior Secured Term Loan Facilities~~

On September 25, 2020, the Company, as a guarantor, and certain of its subsidiaries, as borrowers, entered into a senior secured term loan credit agreement with certain investment vehicles managed by Pacific Investment Management Company LLC, or PIMCO, providing for up to $300.0 million of senior secured term loan facilities. On September 28, 2020, the Company borrowed $225.0 million under the initial term loan facility and on May 9, 2022, the Company completed the repayment of the borrowings under the senior secured term loan facilities.

During the three months ended March 31, 2022, the Company prepaid $50.0 million of borrowings under the senior secured term loan facilities, resulting in a total payment of approximately $53.0 million, inclusive of the principal amount, prepayment penalty and accrued interest. As a result of this repayment, the Company realized a charge on early extinguishment of debt of approximately $(5.8) million, or $(0.11) per basic share, comprised of the prepayment penalty and a pro-rata charge-off of unamortized discount including transaction costs. There was no realized charge on early extinguishment of debt during the three months ended March 31, 2023.

~~The following table details the interest expense related to the Senior Secured Term Loan~~notes as of ~~the three months ended March 31,~~September 30, 2023, and December 31, 2022:

Three Months Ended March 31,
(in thousands) 2023 2022
Cash coupon $ — $ 2,451
Amortization of issuance costs — 417
Total interest expense $ — $ 2,868


(in thousands)	September 30, 2023		December 31, 2022
Principal outstanding	$	131,600	$	131,600
Less: Unamortized issuance costs	—		(682)
Net carrying value	$	131,600	$	130,918

Note 8. Cash, Cash Equivalents and Restricted Cash

Cash and cash equivalents include cash held in bank accounts and cash held in money market funds on an overnight basis.

The Company is required to maintain certain cash balances in restricted accounts as collateral for the Company’s repurchase facilities and with counterparties to support investment activities. As of ~~March 31,~~September 30, 2023, the Company held ~~$0.9~~$3.0 million in restricted cash in connection with its non-CRE CLO financing activities, compared to $1.4 million as of December 31, 2022. In addition, as of ~~March 31,~~September 30, 2023, the Company held ~~$2.4~~$22.9 million in restricted cash representing proceeds from principal repayments and paydowns of loans held in the CRE CLOs, compared to $5.6 million as of December 31, 2022.

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~~GRANITE POINT MORTGAGE TRUST INC.~~

~~Notes to the Condensed Consolidated Financial Statements~~

The following table provides a reconciliation of cash, cash equivalents and restricted cash reported on the Company’s condensed consolidated balance sheets as of ~~March 31,~~September 30, 2023, and December 31, 2022, that sum to the total of the same such amounts shown in the condensed consolidated statements of cash flows:


(in thousands)	(in thousands)	March 31, 2023		December 31, 2022		(in thousands)	September 30, 2023		December 31, 2022
Cash and cash equivalents	Cash and cash equivalents	$	223,432	$	133,132	Cash and cash equivalents	$	257,592	$	133,132
Restricted cash	Restricted cash	3,344		7,033		Restricted cash	25,955		7,033
Total cash, cash equivalents and restricted cash	Total cash, cash equivalents and restricted cash	$	226,776	$	140,165	Total cash, cash equivalents and restricted cash	$	283,547	$	140,165

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GRANITE POINT MORTGAGE TRUST INC.

Notes to the Condensed Consolidated Financial Statements

Note 9. Fair Value

Fair Value Measurements

ASC 820, Fair Value Measurements, or ASC 820, defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820 clarifies that fair value should be based on the assumptions market participants would use when pricing an asset or liability and establishes a fair value hierarchy that prioritizes the information used to develop those assumptions. The fair value hierarchy gives the highest priority to quoted prices available in active markets (i.e., market-based or observable inputs) and the lowest priority to data lacking transparency (i.e., unobservable inputs) resulting in the use of management assumptions. Additionally, ASC 820 requires an entity to consider all aspects of nonperformance risk, including the entity’s own credit standing, when measuring fair value of a liability.

ASC 820 establishes a three-level hierarchy to be used when measuring and disclosing fair value. An instrument’s categorization within the fair value hierarchy is based on the lowest level of significant input to its valuation. Following is a description of the three levels:

Level 1Inputs are quoted prices in active markets for identical assets or liabilities as of the measurement date under current market conditions. Additionally, the entity must have the ability to access the active market and the quoted prices cannot be adjusted by the entity.

Level 2Inputs include quoted prices in active markets for similar assets or liabilities; quoted prices in inactive markets for identical or similar assets or liabilities; or inputs that are observable or can be corroborated by observable market data by correlation or other means for substantially the full-term of the assets or liabilities.

Level 3Unobservable inputs are supported by little or no market activity. The unobservable inputs represent the assumptions that market participants would use to price the assets and liabilities, including risk. Generally, Level 3 assets and liabilities are valued using pricing models, discounted cash flow methodologies or similar techniques that require significant judgment or estimation.

Following are descriptions of the valuation methodologies used to measure material assets and liabilities at fair value and details of the valuation models, key inputs to those models and significant assumptions utilized.

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~~GRANITE POINT MORTGAGE TRUST INC.~~

~~Notes to the Condensed Consolidated Financial Statements~~

Recurring Fair Value

As of ~~March 31,~~September 30, 2023, and December 31, 2022, the Company held no assets or liabilities measured at fair value on a recurring basis.

Nonrecurring Fair Value

The Company may be required to measure certain assets or liabilities at fair value from time to time. These periodic fair value measures typically result from establishing allowances for collateral-dependent assets under GAAP. These items would constitute nonrecurring fair value measures under ASC 820. For collateral-dependent loans that are identified as impaired, the Company measures allowance for credit losses by comparing its estimation of the fair value of the underlying collateral, less costs to sell, to the carrying value of the respective loan. To estimate the fair value of the underlying collateral, the Company may (i) use certain valuation techniques which, among others, may include a discounted cash flow method of valuation, or (ii) by obtaining a third-party independent assessment of value such as an appraisal or other opinion of value. These valuations require significant judgments, which include assumptions regarding capitalization rates, discount rates, leasing, creditworthiness of major tenants, occupancy rates, availability and cost of financing, exit plan, loan sponsorship, actions of other lenders, and other factors deemed relevant.

As of ~~March 31,~~September 30, 2023, during its quarterly risk rating process the Company assigned a risk rating of “5” to ~~five~~four of its loans held-for-investment with an aggregate outstanding principal balance of ~~$274.8~~$250.9 million and ~~an aggregate carrying value of $207.2 million during~~ the ~~quarterly risk rating process.~~loans were deemed collateral-dependent. Therefore, the allowance for credit losses associated with these loans ~~had their CECL reserve recorded~~was based on the ~~estimation~~estimates of the fair value of the loans’ underlying property collateral, less costs to sell, and the loans are measured at fair value on a nonrecurring basis using significant unobservable inputs and are classified as Level 3 assets in the fair value hierarchy. The ~~loans~~loans’ collateral properties were valued using the discounted cash flow method. The significant unobservable inputs used to estimate the fair value on these loans include the exit capitalization rate, discount rate and return on cost assumptions used to forecast the ~~future sale price~~fair value of the underlying real estate collateral, which ranged from ~~6.75%~~7.00% to ~~9.50%~~10.00%, from 8.00% to ~~11.00%~~12.00%, and from ~~5.50%~~5.75% to 6.25%, respectively. Refer to Note 3 - Loans Held-for-Investment, Net of Allowance for Credit Losses for further detail.

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GRANITE POINT MORTGAGE TRUST INC.

Notes to the Condensed Consolidated Financial Statements

Additionally, as of September 30, 2023 the Company deemed a loan held-for-investment with an outstanding principal balance of $66.0 million to be collateral-dependent due to the loan maturity date of July 9, 2023 passing without extension and the Company has determined that the repayment of the loan is expected to be substantially through the borrower’s sale of the collateral property and the borrower is in financial difficulty. Therefore, the allowance for credit losses associated with this loan was based on the estimate of the fair value of the loan’s underlying property collateral, less costs to sell, and the loan is measured at fair value on a nonrecurring basis and is classified as a Level 3 asset in the fair value hierarchy. The estimate of the loan’s underlying property collateral was determined using the estimated proceeds from the borrower’s sale of the collateral property, less the estimated costs to sell the property. Refer to Note 3 - Loans Held-for-Investment, Net of Allowance for Credit Losses, for further detail.

During the nine months ended September 30, 2023, the Company acquired legal title of an office property in Phoenix, AZ. The Company’s fair market value estimate at the time of conversion from loan held-for-investment to REO was $24.0 million and was determined primarily using the discounted cash flow method. The significant unobservable inputs used to estimate the fair value include the exit capitalization rate, discount rate and return on cost assumptions used to forecast the fair value of the underlying real estate collateral, which ranged from 6.75% to 7.25%, from 9.25% to 9.75%, and from 5.50% to 6.00%, respectively. Refer to Note 4 - Real Estate Owned, Net for further detail.

Fair Value of Financial Instruments

In accordance with ASC 820, the Company is required to disclose the fair value of financial instruments, both assets and liabilities recognized and not recognized in the condensed consolidated balance sheets, for which fair value can be estimated.

The following describes the Company’s methods for estimating the fair value for financial instruments:

•Loans held-for-investment are carried at cost, net of any unamortized acquisition premiums or discounts, loan fees, origination costs and allowance for credit losses, as applicable. The Company estimates the fair value of its loans held-for-investment by assessing any changes in market interest rates, credit spreads for loans of comparable risk as corroborated by inquiry of other market participants, shifts in credit profiles and actual operating results, taking into consideration such factors as underlying property type, property competitive position within its market, market and submarket fundamentals, tenant mix, nature of business plan, sponsorship, extent of leverage and other loan terms. The Company categorizes the fair value measurement of these assets as Level 3.

•Loans held-for-sale are carried at the fair value of the loans’ underlying collateral less costs to sell. The Company categorizes the fair value measurement of these assets as Level 3.

•Cash and cash equivalents and restricted cash have a carrying value which approximates fair value because of the short maturities of these instruments. The Company categorizes the fair value measurement of these assets as Level 1.

•The carrying value of underlying loans in repurchase, asset-specific, and secured credit facilities that mature in less than one year generally approximates fair value due to the short maturities. The Company’s long-term repurchase, asset-specific, and secured credit facilities have floating rates based on an index plus a credit spread and the credit spread is typically consistent with those demanded in the market. Accordingly, the interest rates on these borrowings are at market and, thus, carrying value approximates fair value. The Company categorizes the fair value measurement of these liabilities as Level 2.

•Securitized debt obligations are recorded at outstanding principal, net of any unamortized deferred debt issuance costs. In determining the fair value of its securitized debt obligations, management’s judgment may be used to arrive at fair value that considers prices obtained from third-party pricing providers, broker quotes received and other applicable market data. If observable market prices are not available or insufficient to determine fair value due principally to illiquidity in the marketplace, then fair value is based upon internally developed models that are primarily based on observable market-based inputs but also include unobservable market data inputs (including prepayment speeds, delinquency levels and credit losses). The Company categorizes the fair value measurement of these liabilities as Level 2.

•Convertible senior notes are carried at their unpaid principal balance, net of any unamortized deferred issuance costs. The Company estimates the fair value of its convertible senior notes using the market transaction price nearest to ~~March 31,~~September 30, 2023. The Company categorizes the fair value measurement of these assets as Level 2.

1922

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GRANITE POINT MORTGAGE TRUST INC.

Notes to the Condensed Consolidated Financial Statements

The following table presents the carrying values and estimated fair values of assets and liabilities that are required to be recorded or disclosed at fair value at ~~March 31,~~September 30, 2023, and December 31, 2022:


		March 31, 2023				December 31, 2022					September 30, 2023				December 31, 2022
(in thousands)	(in thousands)	Carrying Value		Fair Value		Carrying Value		Fair Value		(in thousands)	Carrying Value		Fair Value		Carrying Value		Fair Value
Assets	Assets									Assets
Loans held-for-investment, net of allowance for credit losses	Loans held-for-investment, net of allowance for credit losses	$	3,182,379	$	3,203,001	$	3,267,815	$	3,270,338	Loans held-for-investment, net of allowance for credit losses	$	2,763,558	$	2,794,976	$	3,267,815	$	3,270,338

Loans held-for-sale										Loans held-for-sale	$	14,980	$	14,980	$	—	$	—
Cash and cash equivalents	Cash and cash equivalents	$	223,432	$	223,432	$	133,132	$	133,132	Cash and cash equivalents	$	257,592	$	257,592	$	133,132	$	133,132
Restricted cash	Restricted cash	$	3,344	$	3,344	$	7,033	$	7,033	Restricted cash	$	25,955	$	25,955	$	7,033	$	7,033
Liabilities	Liabilities									Liabilities
Repurchase facilities	Repurchase facilities	$	1,191,571	$	1,191,571	$	1,015,566	$	1,015,566	Repurchase facilities	$	921,348	$	921,348	$	1,015,566	$	1,015,566
Securitized debt obligations	Securitized debt obligations	$	1,039,407	$	988,403	$	1,138,749	$	1,093,351	Securitized debt obligations	$	999,536	$	943,222	$	1,138,749	$	1,093,351
Asset-specific financings	Asset-specific financings	$	45,823	$	45,823	$	44,913	$	44,913	Asset-specific financings	$	45,823	$	45,823	$	44,913	$	44,913
Secured credit facility	Secured credit facility	$	100,000	$	100,000	$	100,000	$	100,000	Secured credit facility	$	100,000	$	100,000	$	100,000	$	100,000

Convertible senior notes	Convertible senior notes	$	131,131	$	124,680	$	130,918	$	127,881	Convertible senior notes	$	131,600	$	131,749	$	130,918	$	127,881

Note 10. Commitments and Contingencies

The following represent the material commitments and contingencies of the Company as of ~~March 31,~~September 30, 2023:

Legal and Regulatory

From time to time, the Company may be subject to liability under laws and government regulations and various claims and legal actions arising in the ordinary course of business. Liabilities are established for legal claims when payments associated with the claims become probable and the costs can be reasonably estimated. The actual costs of resolving legal claims may be substantially higher or lower than the amounts established for those claims. Based on information currently available, management is not aware of any legal or regulatory claims that would have a material effect on the Company’s condensed consolidated financial statements and, therefore, no accrual is required as of ~~March 31,~~September 30, 2023.

Unfunded Commitments on Loans Held-for-Investment

Certain of the Company’s commercial real estate loan agreements contain provisions and obligations to ~~extend credit to~~ its borrowers through its unfunded loan commitments over the contractual period of its loans. As of ~~March 31,~~September 30, 2023, and December 31, 2022, the Company had unfunded loan commitments of ~~$204.5~~$142.1 million and $229.6 million, respectively, on loans held-for-investment, which it expects to fund, subject to the satisfaction of any conditions precedent to such commitments, over the tenure of these loans. These commitments generally provide funding for lease-related or capital improvement expenditures, as well as interest and carry costs, all of which will vary depending on the progress of capital improvement projects, leasing and cash flows at the properties that serve as collateral for the Company’s loans. Therefore, the exact timing and amounts of such loan balance future fundings are generally uncertain and will depend on the current and future performance of the collateral properties. The Company typically finances the funding of its loan commitments on terms generally consistent with its overall financing facilities; however, most of its financing agreement counterparties are not obligated to fund their ratable portion of these loan commitments over time and have varying degrees of discretion over future loan funding obligations, including the advance rates on their fundings. The Company may be obligated to fund loan commitments with respect to a financed asset even if the applicable financing counterparty will not fund their ratable portion of the loan commitment and/or has made margin calls with respect to such financed asset.

As of ~~March 31,~~September 30, 2023, the Company recognized ~~$4.5~~$3.6 million in other liabilities related to the allowance for credit losses on unfunded loan commitments. See Note 3 - Loans Held-for-Investment, Net of Allowance for Credit Losses, for further detail.

Note 11. Preferred Stock

Temporary Equity

The ~~Company’s~~Company issued 10% cumulative redeemable preferred stock ranks, with respect to rights to the payment of dividends and the distribution of assets upon liquidation, dissolution or winding up of the Company, senior to the rights of holders of the Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock.on June 28, 2017. The ~~holders~~holder of the 10% cumulative redeemable preferred stock ~~are~~was entitled to receive, when, as and if authorized and declared by the Company’s board of directors, cumulative cash dividends at the rate of 10% per annum of the $1,000 liquidation preference per share of the 10% ~~cumulative redeemable~~

2023

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GRANITE POINT MORTGAGE TRUST INC.

Notes to the Condensed Consolidated Financial Statements

cumulative redeemable preferred stock. ~~Such dividends accrue on a daily basis and are cumulative from and including the initial issue date of~~The Company redeemed the 10% cumulative redeemable preferred stock ofon June ~~28, 2017.~~

~~The Company currently has the option to redeem the 10% cumulative redeemable preferred stock~~30, 2023, at a redemption price of $1,000 per ~~share, plus any accrued and unpaid dividends. At any time after six years from~~share.

During the ~~initial issue date,~~nine months ended September 30, 2023, the Company will, at the request of any 10% cumulative redeemable preferred stockholder, repurchase the holder’s 10% cumulative redeemable preferred stock at a price of $1,000 per share, plus any accrued and unpaid dividends.

~~During each of the three months ended March 31, 2023, and 2022, the Company declared~~paid dividends to the 10% cumulative redeemable preferred stockholder of ~~$25,000.~~$49,444. No dividends were paid during the three months ended September 30, 2023. During the three and nine months ended September 30, 2022, the Company paid dividends to the 10% cumulative redeemable preferred stockholder of $25,000 and $75,000, respectively.

Issuance of Sub-REIT Preferred Stock

In January 2021, a subsidiary of the Company issued 625 shares of Series A preferred stock of which 500 shares were retained by the Company and 125 shares were sold to third-party investors for proceeds of $0.1 million. The 500 preferred shares of Series A preferred stock retained by the Company are eliminated in the Company’s condensed consolidated statements of changes in equity and the 125 shares sold to third-party investors are shown in the Company’s condensed consolidated statements of changes in equity as non-controlling interests.

Issuance of Series A Preferred Stock

On November 30, 2021, and December 10, 2021, the Company received total net proceeds of $110.5 million from the issuance of 4,596,500 shares of Series A Preferred Stock ~~or the Initial Series A Preferred Stock Shares,~~ after deducting the underwriting discount of $3.6 million and issuance costs of $0.8 million.

On January 18, 2022, and February 8, 2022, the Company received total net proceeds of $87.5 million from the issuance of 3,633,000 additional shares of Series A Preferred Stock ~~or the Additional Series A Preferred Stock Shares,~~ after deducting the underwriting discount of $2.9 million and issuance costs of $0.4 million. The Series A Preferred Stock is currently listed on the NYSE under the symbol “GPMT PrA”.

On and after November 30, 2026, the Company, at its option, upon not fewer than 30 days’ nor more than 60 days’ written notice, may redeem the Series A Preferred Stock, in whole, at any time, or in part, from time to time, for cash, at a redemption price of $25.00 per share, plus any accrued and unpaid dividends thereon to, but excluding, the date fixed for redemption.

Upon the occurrence of a Change of Control event (as defined in the Articles Supplementary designating the Series A Preferred Stock, or the Articles Supplementary), the Company may, at its option, upon not less than 30 nor more than 60 days’ written notice, redeem the Series A Preferred Stock, in whole or in part, within 120 days on or after the first date on which such Change of Control occurred, for cash at a redemption price of $25.00 per share, plus any accumulated and unpaid dividends thereon to, but excluding, the redemption date, without interest.

Holders of Series A Preferred Stock do not have any voting rights except in limited circumstances as set forth in the Articles Supplementary.

During the three and nine months ended ~~March 31,~~September 30, 2023, and 2022, the Company declared dividends on the Series A Preferred Stock of $3.6 ~~million.~~million and $10.8 million, respectively.

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GRANITE POINT MORTGAGE TRUST INC.

Notes to the Condensed Consolidated Financial Statements

Note 12. Stockholders’ Equity

Common Stock

Distributions to Stockholders

The following table presents cash dividends declared by the Company’s board of directors on its common stock during the ~~three~~nine months ended ~~March 31,~~September 30, 2023, and 2022:

Declaration Date

Record Date

Payment Date

Cash Dividend Per Share

2023

September 20, 2023

October 2, 2023

October 16, 2023

0.20

June 22, 2023

July 3, 2023

July 17, 2023

0.20

March 16, 2023

April 3, 2023

April 17, 2023

0.20

~~0.20~~0.60

2022

September 20, 2022

October 3, 2022

October 17, 2022

0.25

June 16, 2022

July 1, 2022

July 15, 2022

0.25

March 17, 2022

April 1, 2022

April 15, 2022

0.25

~~0.25~~0.75

~~Table of Contents~~

~~GRANITE POINT MORTGAGE TRUST INC.~~

~~Notes to the Condensed Consolidated Financial Statements~~

Share Repurchases

On ~~December 16, 2021,~~May 9, 2023, the Company announced that its board of directors had ~~increased~~authorized the ~~Company’s share~~Company to repurchase ~~authorization to allow for the repurchase of up to~~ an ~~aggregate of 4,000,000~~additional 5,000,000 shares of the Company’s common ~~stock.~~stock, which increased the number of shares available for repurchase to 5,157,916 as of September 30, 2023, including 157,916 shares remaining under prior authorization. The Company’s share repurchase program has no expiration date. The shares are expected to be repurchased from time to time through privately negotiated transactions or open market transactions, including pursuant to a trading plan in accordance with Rules 10b5-1 and 10b-18 under the Exchange Act, or by any combination of such methods. The manner, price, number and timing of share repurchases will be subject to a variety of factors, including market conditions and applicable SEC rules. During the ~~three~~nine months ended ~~March 31,~~September 30, 2023, and 2022, the Company repurchased 1,001,338 and 1,539,134 shares, respectively, of its common stock for an aggregate cost of $5.1 ~~million.~~million and $15.7 million, respectively. No shares were repurchased during the three months ended ~~March 31,~~September 30, 2023, and 2022. As

The Company’s board of ~~March 31, 2023, there remained 157,916 shares authorized for repurchase.~~

~~The Company~~directors has also authorized the repurchase of shares of restricted stock granted to employees for tax withholding purposes. During the ~~three~~nine months ended ~~March 31,~~September 30, 2023, and 2022, the Company repurchased from employees 36,916 and 69,039 shares of its common stock, respectively, for an aggregate cost of $0.2 million and $0.8 million, respectively. During the three months ended September 30, 2023, and 2022, no shares were repurchased from employees.

At-the-Market Offering

The Company is party to an equity distribution agreement under which the Company may sell up to an aggregate of 8,000,000 shares of its common stock from time to time in any method permitted by law deemed to be an “at-the-market” offering as defined in Rule 415 under the Securities Act. As of ~~March 31,~~September 30, 2023, 3,242,364 shares of common stock had been sold under the equity distribution agreement for total accumulated net proceeds of approximately $61.2 million. No shares were sold during the three and nine months ended ~~March 31,~~September 30, 2023, or 2022.

~~Warrants~~

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GRANITE POINT MORTGAGE TRUST INC.

Notes to ~~Purchase Common Stock~~

~~See Note 7 -~~ ~~SeniorSecured Term Loan Facilities and Warrants to Purchase Shares of Common Stock~~ ~~for details on warrants to purchase shares of~~ the ~~Company’s common stock.~~Condensed Consolidated Financial Statements

Preferred Stock

Distributions to Stockholders

The following table presents cash dividends declared by the Company’s board of directors on its Series A Preferred Stock during the ~~three~~nine months ended ~~March 31,~~September 30, 2023, and 2022:


Declaration Date	Record Date	Payment Date	Cash Dividend Per Share
2023

September 20, 2023	October 2, 2023	October 16, 2023	$	0.43750
June 22, 2023	July 3, 2023	July 17, 2023	$	0.43750
March 16, 2023	April 3, 2023	April 17, 2023	$	0.43750
			$	~~0.43750~~1.31250
2022



September 20, 2022	October 3, 2022	October 17, 2022	$	0.43750
June 16, 2022	July 1, 2022	July 15, 2022	$	0.43750
March 17, 2022	April 1, 2022	April 15, 2022	$	0.43750
			$	~~0.43750~~1.31250

Note 13. Equity Incentive Plans

On June 2, 2022, the Company’s stockholders approved the adoption of the Granite Point Mortgage Trust Inc. 2022 Omnibus Incentive Plan, or the 2022 Plan. The 2022 Plan permits the granting of stock options, stock appreciation rights, restricted stock, restricted stock units (both non-performance-based, or RSUs, and performance-based, or PSUs), dividend equivalent rights, other stock-based awards and other cash-based awards to employees, certain consultants of the Company and members of the board of directors. As of ~~March 31,~~September 30, 2023, the Company had ~~7,250,000~~7,182,964 shares of common stock available for future issuance under the 2022 Plan.

With the adoption of the 2022 Plan, no new equity awards may be granted under the Granite Point Mortgage Trust Inc. 2017 Equity Incentive Plan, or the 2017 Plan, but ~~previously-granted~~previously granted RSUs and PSUs remain outstanding under the 2017 Plan. As of ~~March 31,~~September 30, 2023, the Company had 1,650,317 shares of common stock available for future issuance under the 2017 Plan.

The Company accounts for equity-based awards under ASC 718 - Compensation - Stock Compensation, which requires the Company to expense the cost of services received in exchange for equity-based awards based on the grant-date fair value of the awards. This expense is recognized ratably over the requisite service period following the date of grant. The fair value of awards of the Company’s RSUs is typically equivalent to the closing stock price on the grant date. The unrecognized compensation cost relating to such awards is recognized as an expense over the awards’ remaining vesting periods.

For the nine months ended September 30, 2023, the Company recognized the remaining $47.5 thousand of compensation expense associated with awards of restricted stock, compared to $0.1 million and $0.5 million for the three and nine months ended September 30, 2022, respectively, within compensation and benefits expense on the condensed consolidated statements of income. No compensation expense associated with awards of restricted stock were recognized during the three months ended September 30, 2023. As of September 30, 2023, all awards of restricted stock had vested.

As of September 30, 2023, there was $7.1 million of total unrecognized compensation cost for awards of RSUs that will be recognized over the grants’ remaining weighted average vesting period of 0.8 years. For the three and nine months ended September 30, 2023, the Company recognized $1.7 million and $4.9 million of compensation expense associated with these awards, respectively, compared to $1.5 million and $4.3 million for the three and nine months ended September 30, 2022, respectively, within compensation and benefits expense on the condensed consolidated statements of income.

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GRANITE POINT MORTGAGE TRUST INC.

Notes to the Condensed Consolidated Financial Statements

For the three months ended March 31, 2023, the Company recognized the remaining $47.5 thousand of compensation expense associated with awards of restricted stock, compared to $0.2 million for the three months ended March 31, 2022, within compensation and benefits expense on the condensed consolidated statements of income. As of March 31, 2023, all awards of restricted stock had vested.

As of March 31, 2023, there was $9.8 million of total unrecognized compensation cost for awards of RSUs that will be recognized over the grants’ remaining weighted average vesting period of 1.0 year. For the three months ended March 31, 2023, the Company recognized $1.5 million of compensation expense associated with these awards, compared to $1.3 million for the three months ended March 31, 2022, within compensation and benefits expense on the condensed consolidated statements of income.

Awards of PSUs have a three-year cliff vesting with the number of performance-based stock units vesting at the end of the three-year period based upon the Company’s performance with respect to metrics set in the applicable award agreements. Between 0% and 200% of the target number of units granted in early 2021 and 2022 may vest at the end of their respective performance periods based (i) 50% against the predetermined internal Company performance goal for “core” return on average equity, or “core” ROAE and (ii) 50% against the Company’s performance ranking for “core” ROAE among a peer group of commercial mortgage REIT ~~peer~~ companies. Between 0% and 200% of the target number of units granted in March 2023 may vest at the end of the performance period based (i) 25% against the predetermined internal Company performance goal “run-rate” ROAE, (ii) 25% against the Company’s performance ranking for “run-rate” ROAE among a peer group of commercial mortgage REIT companies, (iii) 25% against the predetermined internal Company performance goal for change in book value per share, and (iv) 25% against the Company’s performance ranking for change in book value per share among a peer group of commercial mortgage REIT companies. The commercial mortgage REIT peer group used to measure relative “core” ROAE, “run-rate” ROAE and change in book value per share includes publicly traded commercial mortgage REITs, which the Company believes derive the majority of their revenues from commercial real estate balance sheet lending activities and meet certain market capitalization criteria.

As of ~~March 31,~~September 30, 2023, there was ~~$5.4~~$3.8 million of total unrecognized compensation cost for awards of PSUs that will be recognized over the grants’ remaining weighted average vesting period of ~~1.2 years.~~1.0 year. For the three and nine months ended ~~March 31,~~September 30, 2023, the Company recognized ~~$0.4~~$(0.2) million and $0.9 million of compensation expense associated with these awards, respectively, compared to $0.7 million and $1.5 million for the three and nine months ended ~~March 31,~~September 30, 2022, respectively, within compensation and benefits expenses on the condensed consolidated statements of income.

The following table summarizes the grants, vesting and forfeitures of restricted stock, RSUs and PSUs for the three and nine months ended ~~March 31,~~September 30, 2023:


		Restricted Stock	RSUs	PSUs	Weighted Average Grant Date Fair Market Value		Restricted Stock	RSUs	PSUs	Weighted Average Grant Date Fair Market Value

Outstanding at December 31, 2022	Outstanding at December 31, 2022	92,585	1,238,439	660,434	11.83	Outstanding at December 31, 2022	92,585	1,238,439	660,434	11.83
Granted	Granted	—	1,095,521	734,223	5.04	Granted	—	1,095,521	734,223	5.04
Vested	Vested	(92,585)	(213,304)	—	13.05	Vested	(92,585)	(213,304)	—	13.05
Forfeited	Forfeited	—	(114,306)	—	10.84	Forfeited	—	(114,306)	—	10.84
Outstanding at March 31, 2023	Outstanding at March 31, 2023	—	2,006,350	1,394,657	8.1	Outstanding at March 31, 2023	—	2,006,350	1,394,657	8.1
Granted						Granted	—	159,561	—	4.81
Vested						Vested	—	(51,802)	—	10.32
Forfeited						Forfeited	—	(15,234)	—	11.06
Outstanding at June 30, 2023						Outstanding at June 30, 2023	—	2,098,875	1,394,657	7.9
Granted						Granted	—	—	—	—
Vested						Vested	—	—	—	—
Forfeited						Forfeited	—	—	—	—
Outstanding at September 30, 2023						Outstanding at September 30, 2023	—	2,098,875	1,394,657	7.9

Below is a summary of restricted stock, RSU and PSU vesting dates as of ~~March 31,~~September 30, 2023:


Vesting Year	Vesting Year	Restricted Stock	RSUs	PSUs	Total Awards	Vesting Year	RSUs	PSUs	Total Awards
2023	2023	—	67,036	347,896	414,932	2023	—	347,896	347,896
2024	2024	—	690,413	312,538	1,002,951	2024	849,974	312,538	1,162,512
2025	2025	—	886,100	734,223	1,620,323	2025	886,100	734,223	1,620,323
2026	2026	—	362,801	—	362,801	2026	362,801	—	362,801
Total	Total	—	2,006,350	1,394,657	3,401,007	Total	2,098,875	1,394,657	3,493,532

Note 14. Income Taxes

The Company has elected to be taxed as a REIT under the Code for U.S. federal income tax purposes. As long as the Company qualifies as a REIT, the Company generally will not be subject to U.S. federal income taxes on that portion of its

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GRANITE POINT MORTGAGE TRUST INC.

Notes to the Condensed Consolidated Financial Statements

income that it distributes to its stockholders if it annually distributes at least 90% of its REIT taxable income, without regard to the deduction for dividends paid and excluding net capital gains, and does not engage in prohibited transactions. The Company intends to distribute 100% of its REIT taxable income and to continue to comply with all requirements to qualify as a REIT. The majority of states also recognize the Company’s REIT status. The Company’s TRS files a separate federal tax return and is fully taxed as a standalone U.S. C-corporation. It is assumed that the Company will retain its REIT status and will incur no REIT-level taxation as it intends to comply with the REIT regulations and annual distribution requirements.

Based on the Company’s evaluation, it has been concluded that there are no significant uncertain tax positions requiring recognition in the Company’s condensed consolidated financial statements of a contingent tax liability for uncertain tax positions. Additionally, there were no amounts accrued for penalties or interest as of, or during, the periods presented in these condensed consolidated financial statements.

Note 15. Earnings (Loss) Per Share

The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share for the three and nine months ended ~~March 31,~~September 30, 2023, and 2022:


		Three Months Ended					Three Months Ended		Nine Months Ended
		March 31,					September 30,		September 30,
(in thousands, except share data)	(in thousands, except share data)		2023		2022			(in thousands, except share data)		2023		2022		2023		2022
Numerator:	Numerator:							Numerator:
Net (loss) income attributable to common stockholders			$	(37,454)	$	1,011
Net income (loss) attributable to common stockholders								Net income (loss) attributable to common stockholders		$	(24,537)	$	(29,130)	$	(60,575)	$	(45,475)
Dividends allocated to participating restricted stock units	Dividends allocated to participating restricted stock units		$	(401)	$	—		Dividends allocated to participating restricted stock units		$	(420)	$	—	$	(1,241)	$	—
Net (loss) income attributable to common stockholders - basic			$	(37,855)	$	1,011
Net income (loss) attributable to common stockholders - basic								Net income (loss) attributable to common stockholders - basic		$	(24,957)	$	(29,130)	$	(61,816)	$	(16,345)

Net (loss) income attributable to common stockholders - diluted			$	(37,855)	$	1,011
Net income (loss) attributable to common stockholders - diluted								Net income (loss) attributable to common stockholders - diluted		$	(24,957)	$	(29,130)	$	(61,816)	$	(16,345)
Denominator:	Denominator:							Denominator:
Weighted average common shares outstanding	Weighted average common shares outstanding		52,277,518		53,705,195			Weighted average common shares outstanding		51,577,143		52,258,404		51,795,091		53,122,374
Weighted average restricted stock shares	Weighted average restricted stock shares		30,862		151,856			Weighted average restricted stock shares		—		92,585		10,174		112,124
Basic weighted average shares outstanding	Basic weighted average shares outstanding		52,308,380		53,857,051			Basic weighted average shares outstanding		51,577,143		52,350,989		51,805,265		53,234,498

Effect of dilutive shares issued in an assumed conversion of RSUs as additional shares			—		104,446

Diluted weighted average shares outstanding	Diluted weighted average shares outstanding		52,308,380		53,961,497			Diluted weighted average shares outstanding		51,577,143		52,350,989		51,805,265		53,234,498
(Loss) earnings per share
Earnings (loss) per share								Earnings (loss) per share
Basic	Basic		$	(0.72)	$	0.02		Basic		$	(0.48)	$	(0.56)	$	(1.17)	$	(0.85)
Diluted	Diluted		$	(0.72)	$	0.02		Diluted		$	(0.48)	$	(0.56)	$	(1.17)	$	(0.85)

For the three and nine months ended ~~March 31,~~September 30, 2023, and 2022, excluded from the calculation of diluted earnings per share is the effect of adding back $2.3 million and ~~$4.5~~$7.0 million, and $4.6 million and $13.7 million, respectively, of interest expense related to the Company’s convertible senior notes. For both the three and nine months ended September 30, 2023, and 2022, 6,591,765 and 14,065,946, respectively, of weighted average common share equivalents related to the assumed conversion of the Company’s convertible senior notes were also excluded from the calculation of diluted earnings per share, as their inclusion would be antidilutive.

The computation of diluted earnings per share is also based on the incremental shares that would be outstanding assuming the settlement of RSUs. The number of incremental shares is calculated by applying the treasury stock method. For the three and nine months ended ~~March 31, 2022, an additional 104,446~~September 30, 2023, 621,465 and 303,004 of weighted-average unvested RSUs, respectively, were ~~included~~excluded in the dilutive earnings per share ~~denominator.~~denominator, as their inclusion would be antidilutive. For the three and nine months ended ~~March 31, 2023, 1,219,646~~September 30, 2022, 667,286 and 390,584 of weighted-average unvested RSUs, respectively, were excluded in the dilutive earnings per share denominator, as their inclusion would be antidilutive.

The computation of diluted earnings per share is also based on the incremental shares that would be outstanding assuming the settlement of PSUs. The number of incremental shares is calculated by applying the treasury stock method. For the three and nine months ended ~~March 31,~~September 30, 2023, and 2022, ~~420,997 and 497,220~~no additional weighted-average unvested PSUs were ~~excluded~~included in the dilutive earnings per share denominator, as their inclusion would be antidilutive.

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GRANITE POINT MORTGAGE TRUST INC.

Notes to the Condensed Consolidated Financial Statements

Note 16. Subsequent Events

Events subsequent to ~~March 31,~~September 30, 2023, were evaluated through the date these condensed consolidated financial statements were issued and no other additional events were identified requiring further disclosure in these condensed consolidated financial statements other than the events described below.

On October 16, 2023, the Company sold a senior loan that was held-for-sale. The senior loan had an outstanding principal balance of $31.8 million and was held-for-sale at its carrying amount of $14.9 million as of September 30, 2023. The loan sale was finalized with no additional losses incurred. See Note 3 - Loans Held-for-Investment, for further detail.

Subsequent to ~~March 31,~~September 30, 2023, the Company entered into aan amendment to its JPMorgan repurchase facility, upsizing the borrowing capacity on the facility by up to an additional $100 million and modifying the facility’s minimum interest coverage financial covenant (which modification is reflected in the description of the ~~Morgan Stanley Bank repurchase facility~~Company’s covenants in Note 6 - Secured Financing Agreements).

Subsequent to ~~extend~~September 30, 2023, the Company redeemed for cash $131.6 million in convertible senior notes at maturity, ~~date to June 28, 2024,~~ and ~~adjust~~none of the ~~total capacity to~~notes remain outstanding. See Note 7 - ~~$475 million.~~Convertible Senior Notes, for further detail.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

The following discussion and analysis should be read in conjunction with the interim unaudited condensed consolidated financial statements and accompanying notes included elsewhere in this Quarterly Report on Form 10-Q, as well as our Annual Report on Form 10-K for the year ended December 31, 2022.

Our Company

Granite Point Mortgage Trust Inc. is an internally-managed real estate finance company that focuses primarily on directly originating, investing in and managing senior floating-rate commercial mortgage loans and other debt and debt-like commercial real estate investments. Our investment objective is to preserve our stockholders’ capital while generating attractive risk-adjusted returns over the long term, primarily through dividends derived from current income produced by our investment portfolio. We operate as a REIT, as defined under the Code. We also operate our business in a manner intended to maintain our exclusion from registration under the Investment Company Act. We operate our business as one segment.

Recent Developments

Macroeconomic Environment

The period over the last several quarters has been characterized by ~~steep declines and~~ significant volatility in global securities markets driven by investor concerns over high inflation, rapidly rising interest rates, escalating trade tensions, slowing economic growth and geopolitical ~~uncertainty.~~conditions, including the impacts of the Hamas-Israel and Russia-Ukraine conflicts. Inflation across many key economies reached generational highs, prompting central banks to undertake monetary policy tightening actions that are likely to create headwinds for economic growth. ~~The ongoing war between Russia and Ukraine is also contributing to economic and geopolitical uncertainty.~~

~~Inflation remains high and has~~Inflationary pressures have caused the Federal Reserve to ~~continue to~~rapidly raise interest rates ~~with indications of future increases,~~since early 2022, which has ~~created~~meaningfully reduced transaction activity in the real estate market, creating further uncertainty for the economy, the capital markets and for our borrowers. More recently, the negative developments in the regional bank sector driven by select bank failures have added to the overall market uncertainty especially with respect to liquidity in the commercial real estate market given the meaningful regional banks’ share of lending in this market. Although our business model is such that ~~in general,~~ rising interest rates will, all else being equal, generally correlate to increases in our net income, increases in interest rates have and may continue to adversely affect our existing borrowers and cost of financing their properties. Additionally, rising interest rates and increasing costs may dampen consumer spending and slow corporate profit growth, which may negatively impact the collateral underlying certain of our loans. While there is debate among economists as to whether such factors ~~coupled with recent periods of economic contraction in the U.S.,~~ indicate that the U.S. ~~has entered, or in the near term will~~may enter a recession, it remains difficult to predict the full impact on macroeconomic conditions and our business of recent changes and any future changes in interest rates or inflation.

Office Property Market

The COVID-19 pandemic has particularly impacted the office property market due in large part to remote work trends, which has resulted in higher office vacancies, slower leasing activity and various tenants re-evaluating their need for physical office space. These factors coupled with high inflation, rising interest rates, and limited market liquidity has created a high level of uncertainty in respect to property values. These challenging dynamics have stressed certain borrowers’ ability to support their office properties and perform in accordance with the terms of their loans. Given this uncertainty, it remains difficult to predict the effect these challenging conditions may have on the office property market, our borrowers, their performance under the terms of our loans secured by office properties and our financial results over time.

LIBOR Transition

~~On March 5, 2021,~~LIBOR has been the ~~Financial Conduct Authority~~subject of ~~the U.K.,~~regulatory guidance and proposals for reform or the FCA, which regulates LIBOR, announced that all LIBOR tenors relevant to us will cease to be published or will no longer be representative after June 30, 2023. The FCA announcement coincided with the March 5, 2021, announcement of LIBOR’s administrator, the ICE Benchmark Administration Limited, or the IBA, indicating that, as a result of not having access to input data necessary to calculate LIBOR tenors relevant to us on a representative basis after June 30, 2023, the IBA would have to cease publication of such LIBOR tenors immediately after the last publication on June 30, 2023. Further, on March 15, 2022, the Consolidated Appropriations Act of 2022, which includes the Adjustable Interest Rate (LIBOR) Act, was signed into law in the United States. This legislation establishes a uniform benchmark replacement process for financial contracts maturing after June 30, 2023, that do not contain clearly defined or practicable fallback provisions. The legislation also creates a safe harbor that shields lenders from litigation if they choose to utilize a replacement rate recommended by the Board of Governors of the United States Federal Reserve, or the Federal Reserve. The Federal Reserve has also advised banks to cease entering into new contracts that use U.S. dollar LIBOR as a reference rate.replacement. The Federal Reserve, in conjunction with the Alternative Reference ~~Rate~~Rates Committee, ~~or the ARRC,~~ a steering committee ~~convened by the Federal Reserve that includes major market participants, has~~composed of large U.S. financial institutions, identified SOFR, an index calculated using short-term repurchase agreements backed by U.S. Treasury securities, as its preferred alternative rate for LIBOR. There are significant differences between LIBOR and SOFR, such as LIBOR being an unsecured lending rate while SOFR is a secured lending rate, and SOFR is an overnight rate while LIBOR reflects term rates at different maturities. If our LIBOR-based borrowings are converted to SOFR, the differences between LIBOR and SOFR, and potential margin adjustments in connection with the transition, could result in higher interest costs for us, which could have a material adverse effect on our operating results. Although the ARRC has indicated that data from the cash and derivatives markets show continued momentum in the transition from LIBOR to SOFR and that SOFR is currently predominant across cash and derivatives markets, it is possible that some lenders may choose alternative replacement rates that may differ from LIBOR in ways similar to SOFR or in other ways that would result in higher interest costs for us. We cannot fully predict the ultimate effect of the decision not to sustain LIBOR, or the transition to SOFR or another alternative reference rate as LIBOR’s replacement.

As of ~~March 31,~~September 30, 2023, ~~61.1%~~all of our loans ~~by carrying value~~ earned a ~~floating~~ rate of interest indexed to ~~LIBOR,~~SOFR and ~~37.5% to SOFR. As of March 31, 2023, 43.7%~~all of our outstanding floating rate financing arrangements ~~(excluding our convertible senior notes) bear~~bore interest indexed to ~~LIBOR,~~SOFR.

Third Quarter2023 Activity

Operating Results:

•Recognized GAAP net (loss) attributable to common stockholders of $(24.5) million, or $(0.48) per basic share.

•Generated pre-loss Distributable Earnings of $9.5 million, or $0.18 per basic share, and ~~56.3%~~Distributable (Loss) to ~~SOFR. All~~common stockholders of ~~our LIBOR-based arrangements provide procedures~~$(7.3) million, or $(0.14) per basic share, which includes the $(16.8) million write-off on the transfer of a loan from loans held-for-investment to loans held-for-sale and excludes the $(31.0) million in non-cash provision for credit losses, $1.6 million of non-cash equity compensation expense and $1.4 million of non-cash depreciation and amortization on real estate owned.

•Recorded an increase to the allowance for credit losses of $14.3 million, for a total allowance of credit losses of $148.9 million, or approximately 4.9% of total loan commitments of $3.1 billion.

•Book value per share of common stock of $13.28, inclusive of $(2.89) per share of total CECL reserve.

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determining an alternative base rate when LIBOR is discontinued. As of March 31, 2023, the one-month SOFR was 4.80% and one-month US LIBOR was 4.86%. Regardless, there can be no assurances as to what alternative base rates may be and whether such base rate will be more or less favorable than LIBOR and any other unforeseen impacts of the discontinuation of LIBOR. We continue to monitor the developments with respect to the phasing out of LIBOR and are working with our lenders and borrowers to minimize the impact of the LIBOR transition on our financial condition and results of operations, but can provide no assurances regarding the ultimate impact of the discontinuation of LIBOR.

~~First Quarter 2023 Activity~~

~~Operating Results:~~

•~~GAAP net (loss) attributable to common stockholders of $(37.5) million, or $(0.72) per basic share, mainly reflecting an increase in CECL reserves of $(46.4) million.~~

•~~Distributable Earnings of $10.7 million, or $0.20 per basic share, which excludes the $(46.4) million non-cash provision for credit losses and $2.0 million of non-cash equity compensation expense.~~

•~~Book value per share of common stock of $14.08 inclusive of $(2.54) per share of total CECL reserve.~~

•Declared aggregate common stock dividends of $10.7 million, or $0.20 per share of common stock, and preferred dividends of $3.6 million, or $0.43750 per share of Series A Preferred Stock.

Investment Portfolio Activity:

•Funded ~~$17.3~~$20.2 million of prior loan ~~commitments.~~commitments and $0.5 million in loan upsizes.

•Realized $177.5 million of total UPB in loan repayments, principal paydowns and principal ~~amortization~~amortization.

•Transferred a $31.8 million senior loan to held-for-sale, incurring a write-off of ~~$59.5 million.~~$(16.8) million at the time of transfer.

•Maintained a portfolio of 8877 loan investments with an aggregate unpaid principal balance of ~~$3.3~~$2.9 billion and total commitments of ~~$3.5~~$3.1 billion, weighted average stabilized LTV at origination of ~~62.9%~~63.3%, and a weighted average all-in yield at origination of ~~L+/~~S+~~4.04%~~3.98%.

Portfolio Financing Activity:

•~~Redeemed~~Extended the ~~GPMT 2019-FL2 CRE CLO, which at its redemption had $98.1~~maturity of the JPMorgan Chase financing facility to July 28, 2025, and on October 12, 2023, upsized the facility’s maximum borrowing capacity up to $525 million ~~of outstanding borrowings.~~from $425 million.

•~~Increased~~Entered into amendments of the ~~maximum borrowing capacity on~~guaranties provided by the Company in connection with certain of its secured financing arrangements, including its repurchase facilities with Morgan Stanley Bank, Goldman Sachs Bank USA, JPMorgan ~~financing facility up~~Chase and Citibank, to ~~$425.0 million.~~

~~Corporate Financing Activity:~~

•~~Accretively repurchased approximately 1.0 million shares of common stock at an average price of $5.08 for a total of $5.1 million.~~modify certain financial covenants.

Available Liquidity

•At ~~March 31,~~September 30, 2023, carried unrestricted cash of ~~$223.4~~$257.6 million, a portion of which is subject to certain liquidity covenants, as well as ~~$2.4~~$22.9 million of restricted cash related to balances in CRE CLOs, which can be used for reinvestment of certain loan balances or paydown of outstanding CLO borrowings.

Key Financial Measures and Indicators

As a commercial real estate finance company, we believe the key financial measures and indicators for our business are earnings per share presented on a GAAP basis, dividends declared on common stock, Distributable Earnings and book value per share of common stock. For the three months ended ~~March 31,~~September 30, 2023, we recorded GAAP net (loss) per basic share of ~~$(0.72)~~$(0.48), declared a cash dividend of $0.20 per share of common stock and reported Distributable ~~Earnings~~(Loss) of ~~$0.20~~$(0.14) per basic share. Our book value as of ~~March 31,~~September 30, 2023, was ~~$14.08~~$13.28 per share of common stock, inclusive of ~~$(2.54)~~$(2.89) per share of total CECL reserve.

As further described below, Distributable Earnings is a measure that is not prepared in accordance with GAAP. We use Distributable Earnings to evaluate our performance, excluding the effects of certain transactions and GAAP adjustments that we believe are not necessarily indicative of our current loan portfolio and operations. In addition, Distributable Earnings is a performance metric we consider, along with other measures, when declaring our common stock dividends.

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Earnings Per Share and Dividends Declared Per Common Share

The following table sets forth the calculation of basic and diluted earnings (loss) ~~earnings~~ per share and dividends declared per ~~share:~~share for the three and nine months ended September 30, 2023, and 2022:


		Three Months Ended			Three Months Ended						Nine Months Ended
		March 31,			September 30,						September 30,
(in thousands, except share data)	(in thousands, except share data)		2023			2022		(in thousands, except share data)	2023		2022		2023		2022
Net (loss) income attributable to common stockholders			$	(37,454)		$	1,011
Net (loss) attributable to common stockholders								Net (loss) attributable to common stockholders	$	(24,537)	$	(29,130)	$	(60,575)	$	(45,475)
Weighted average number of common shares outstanding	Weighted average number of common shares outstanding		52,308,380			53,857,051		Weighted average number of common shares outstanding	51,577,143		52,350,989		51,805,265		53,234,498
Weighted average number of diluted shares outstanding	Weighted average number of diluted shares outstanding		52,308,380			53,961,497		Weighted average number of diluted shares outstanding	51,577,143		52,350,989		51,805,265		53,234,498
Basic (loss) earnings per basic common share			$	(0.72)		$	0.02
Diluted (loss) earnings per basic common share			$	(0.72)		$	0.02
Basic (loss) per basic common share								Basic (loss) per basic common share	$	(0.48)	$	(0.56)	$	(1.17)	$	(0.85)
Diluted (loss) per basic common share								Diluted (loss) per basic common share	$	(0.48)	$	(0.56)	$	(1.17)	$	(0.85)
Dividend declared per common share	Dividend declared per common share		$	0.20		$	0.25	Dividend declared per common share	$	0.20	$	0.25	$	0.60	$	0.75

Distributable Earnings

In order to maintain our status as a REIT, we are required to distribute at least 90% of our taxable income as dividends. Distributable Earnings is intended to over time serve as a general, though imperfect, proxy for our taxable income. As such, Distributable Earnings is considered a key indicator of our ability to generate sufficient income to pay dividends on our common ~~dividends,~~stock, which is the primary focus of income-oriented investors who comprise a meaningful segment of our stockholder base. We believe providing Distributable Earnings on a supplemental basis to our net income (loss) and cash flow from operating activities, as determined in accordance with GAAP, is helpful to stockholders in assessing the overall run-rate operating performance of our business.

We use Distributable Earnings to evaluate our performance, excluding the effects of certain transactions and GAAP adjustments we believe are not necessarily indicative of our current loan portfolio and operations. For reporting purposes, we define Distributable Earnings as net income (loss) attributable to our stockholders, computed in accordance with GAAP, excluding: (i) non-cash equity compensation expenses; (ii) depreciation and amortization; (iii) any

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unrealized gains (losses) or other similar non-cash items that are included in net income (loss) for the applicable reporting period (regardless of whether such items are included in other comprehensive income or in net income (loss) for such period); and (iv) certain non-cash items and one-time expenses. Distributable Earnings may also be adjusted from time to time for reporting purposes to exclude one-time events pursuant to changes in GAAP and certain other material non-cash income or expense items approved by a majority of our independent directors. The exclusion of depreciation and amortization from the calculation of Distributable Earnings only applies to debt investments related to real estate to the extent we foreclose upon the property or properties underlying such debt investments.

While Distributable Earnings excludes the impact of the unrealized non-cash current provision for credit losses, we expect to only recognize such potential credit losses in Distributable Earnings if and when such amounts are deemed non-recoverable. This is generally at the time a loan is repaid, or in the case of foreclosure, when the underlying asset is sold, but non-recoverability may also be concluded if, in our determination, it is nearly certain that all amounts due will not be collected. The realized loss amount reflected in Distributable Earnings will equal the difference between the cash received, or expected to be received, and the carrying value of the asset, and is reflective of our economic experience as it relates to the ultimate realization of the loan. During the three and nine months ended ~~March 31,~~September 30, 2023, we recorded provision for credit losses of ~~$(46.4)~~$(31.0) million and $(83.2) million, respectively, which has been excluded from Distributable Earnings, consistent with other unrealized gains (losses) and other non-cash items pursuant to our existing policy for reporting Distributable Earnings referenced above. ~~Pursuant~~During the three months ended September 30, 2023, we recorded $(1.4) million in depreciation and amortization on real estate owned and related intangibles, which has been excluded from Distributable Earnings consistent with other unrealized gains (losses) and other non-cash items pursuant to our existing policy for reporting Distributable Earnings referenced above. During the ~~three~~nine months ended ~~March 31,~~September 30, 2023, we recorded a $0.2 million gain on early extinguishment of debt, which has been excluded from Distributable Earnings consistent with certain one-time events pursuant to our existing policy for reporting Distributable Earnings as a helpful indicator in assessing the overall run-rate operating performance of our business.

Distributable Earnings does not represent net income (loss) or cash flow from operating activities and should not be considered as an alternative to GAAP net income (loss), or an indication of our GAAP cash flows from operations, a measure of our liquidity, or an indication of funds available for our cash needs. In addition, our methodology for calculating Distributable Earnings may differ from the methodologies employed by other companies to calculate the same or similar supplemental performance measures, and, accordingly, our reported Distributable Earnings may not be comparable to the Distributable Earnings reported by other companies.

The following table provides a reconciliation of GAAP net income (loss) ~~income~~ attributable to common stockholders to Distributable Earnings ~~(in thousands, except share~~for the three and ~~per share data):~~nine months ended September 30, 2023, and 2022:


	Three Months Ended				Nine Months Ended
	September 30,				September 30,
(in thousands, except share data)	2023		2022		2023		2022
Reconciliation of GAAP net (loss) to Distributable Earnings:
GAAP net (loss) attributable to common stockholders	$	(24,537)	$	(29,130)	$	(60,575)	$	(45,475)
Adjustments:
Provision for (benefit from) credit losses	31,008		35,442		83,236		52,757
Write-offs	(16,750)		—		(20,950)		(10,107)
Recovery of amounts previously written off	—		—		—		512
Depreciation and amortization on real estate owned	1,416		—		1,979		—
(Gain) loss on extinguishment of debt	—		—		(238)		18,823

Non-cash equity compensation	1,571		2,349		5,912		6,426
Distributable Earnings	$	(7,292)	$	8,661	$	9,364	$	22,936
Distributable Earnings per basic share of common stock	$	(0.14)	$	0.17	$	0.18	$	0.43
Distributable Earnings per diluted share of common stock	$	(0.14)	$	0.17	$	0.18	$	0.43
Basic weighted average common shares	51,577,143		52,350,989		51,805,265		53,234,498
Diluted weighted average common shares	51,577,143		52,350,989		51,805,265		53,234,498

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Three Months Ended
March 31,
(in thousands, except share data) 2023 2022
Reconciliation of GAAP net (loss) income to Distributable Earnings:
GAAP net (loss) income attributable to common stockholders $ (37,454) $ 1,011
Adjustments for non-distributable earnings:
Provision for (benefit from) credit losses 46,410 3,688
Write-offs — (10,107)
(Gain) loss on extinguishment of debt (238) 5,791
Non-cash equity compensation 1,955 2,171
Distributable Earnings $ 10,673 $ 2,554
Distributable Earnings per basic share of common stock $ 0.20 $ 0.05
Distributable Earnings per diluted share of common stock $ 0.20 $ 0.05
Basic weighted average common shares 52,308,380 53,857,051
Diluted weighted average common shares 52,308,380 53,961,497

Book Value Per Common Share

The following table provides the calculation of our book value per share of common ~~stock:~~stock as of September 30, 2023, and December 31, 2022:


(in thousands, except share data)	(in thousands, except share data)	March 31, 2023		December 31, 2022		(in thousands, except share data)	September 30, 2023		December 31, 2022
Stockholders’ equity	Stockholders’ equity	$	931,333	$	983,545	Stockholders’ equity	$	890,620	$	983,545
7.00% Series A cumulative redeemable preferred stock liquidation preference	7.00% Series A cumulative redeemable preferred stock liquidation preference	(205,738)		(205,738)		7.00% Series A cumulative redeemable preferred stock liquidation preference	(205,738)		(205,738)

Common stockholders’ equity	Common stockholders’ equity	$	725,595	$	777,807	Common stockholders’ equity	$	684,882	$	777,807
Shares:	Shares:					Shares:
Common stock	Common stock	51,526,039		52,258,404		Common stock	51,577,143		52,258,404
Restricted stock	Restricted stock	—		92,585		Restricted stock	—		92,585
Total outstanding	Total outstanding	51,526,039		52,350,989		Total outstanding	51,577,143		52,350,989
Book value per share of common stock	Book value per share of common stock	$	14.08	$	14.86	Book value per share of common stock	$	13.28	$	14.86

Book value per share as of ~~March 31,~~September 30, 2023, includes the impact of an estimated allowance for credit losses of ~~$(133.0)~~$(148.9) million, or ~~$(2.54)~~$(2.89) per common share. See Note 3 – Loans Held-for-Investment, Net of Allowance for Credit Losses to our condensed consolidated financial statements included in this Quarterly Report on Form 10-Q for a detailed discussion of allowance for credit losses.

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Loan Portfolio Overview

Interest-earning assets include our 100% loan investment portfolio. At ~~March 31,~~September 30, 2023, our loan portfolio was comprised of ~~88 loans,~~77 investments, of which 8776 were senior first mortgage loans totaling ~~$3.5~~$3.0 billion of commitments with an unpaid principal balance of ~~$3.3~~$2.9 billion, and one ~~was a~~ subordinated loan totaling ~~$13.7~~$13.6 million in commitments and unpaid principal balance. At ~~March 31,~~September 30, 2023, the weighted average risk rating of our loan portfolio was ~~2.6,~~2.7 as compared to 2.5 at December 31, 2022, weighted by total unpaid principal balance.

During the three months ended ~~March 31,~~September 30, 2023, we ~~had $17.3~~funded $20.2 million ~~of additional fundings made~~ under existing loan ~~commitments.~~commitments and $0.5 million on one loan upsize. Proceeds from loan repayments, paydowns, and principal amortization totaled ~~$59.5~~$177.5 million. We generated interest income of $66.7 million and incurred interest expense of ~~$43.8~~$46.8 million, which resulted in net interest income of ~~$22.9~~$19.9 million. See Note 3 - Loans Held-for-Investment, Net of Allowance for Credit Losses to our Condensed Consolidated Financial Statements included in this Quarterly Report on Form 10-Q for ~~details.~~further detail.

The following table details our loan activity by unpaid principal balance for the three months ended ~~March 31,~~September 30, 2023, and 2022:


		Three Months Ended March 31,					Three Months Ended September 30,
(in thousands)	(in thousands)	2023		2022		(in thousands)	2023		2022
Loan originations	Loan originations	$	—	$	131,560	Loan originations	$	—	$	43,404
Other loan fundings (1)	Other loan fundings (1)	$	17,324	$	40,772	Other loan fundings(1)	$	20,719	$	28,402
Deferred interest capitalized	Deferred interest capitalized	$	881	$	533	Deferred interest capitalized	$	980	$	629
Loan sales		$	—	$	(43,859)

Transfers to loans held-for-sale						Transfers to loans held-for-sale	$	(15,100)	$	—
Loan repayments (2)	Loan repayments (2)	$	(59,450)	$	(118,383)	Loan repayments(2)	$	(177,482)	$	(346,737)
Loan write-offs and realized loan losses	Loan write-offs and realized loan losses	$	—	$	(10,107)	Loan write-offs and realized loan losses	$	(16,750)	$	—

Total loan activity, net	Total loan activity, net	$	(41,245)	$	516	Total loan activity, net	$	(187,633)	$	(274,302)

___________________

(1) Additional fundings made under existing loan commitments and upsizing of loans.

(2) Includes repayment of deferred interest capitalized.

~~The following table details overall statistics for our investment portfolio as of March 31, 2023:~~


~~(dollars in thousands)~~
~~Portfolio Summary~~
~~Number of loans~~	88
~~Total loan commitments~~	$	~~3,525,272~~
~~Unpaid principal balance~~	$	~~3,320,761~~
~~Unfunded loan commitments~~	$	~~204,511~~
~~Carrying value~~	$	~~3,182,379~~
~~Weighted-average cash coupon~~	~~L+/S+3.67%~~
~~Weighted-average all-in yield~~	~~L+/S+4.04%~~

~~Stabilized LTV at origination~~	~~62.9~~		%

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The following table details overall statistics for our loan portfolio as of September 30, 2023:


(dollars in thousands)
Loan Portfolio Summary
Number of loans	77
Total loan commitments	$	3,059,786
Unpaid principal balance	$	2,917,729
Unfunded loan commitments	$	142,056
Carrying value	$	2,763,558
Weighted-average cash coupon	S+3.72%
Weighted-average all-in yield	S+3.98%

Stabilized LTV at origination	63.3		%

The following table provides detail of our investment portfolio as of ~~March 31,~~September 30, 2023:


(dollars in millions)	(dollars in millions)														(dollars in millions)
Type (1)	Type (1)	Origination/ Acquisition Date	Maximum Loan Commitment	Principal Balance	Carrying Value	Cash Coupon (2)	All-in Yield at Origination (3)	Original Term (Years) (4)	State	Property Type		Initial LTV (5)		Stabilized LTV (6)	Type(1)		Origination/ Acquisition Date		Maximum Loan Commitment		Principal Balance	Carrying Value			Cash Coupon(2)		All-in Yield at Origination(3)		Original Term (Years)(4)		State		Property Type		Initial LTV(5)	Stabilized LTV(6)
Loans Held-For-Investment											Loans Held-For-Investment
Senior	Senior	12/19	$111.1	$109.2	$109.0	L+2.75%	L+3.23%	3.0	IL	Multifamily		76.5%		73.0%	Senior		12/19		$111.1		$109.2	$109.1			S+2.80%		S+3.23%		3.0		IL		Multifamily		76.5%	73.0%
Senior	Senior	12/18	96.4	88.7	88.4	L+3.75%	L+5.21%	3.0	NY	Mixed-Use		26.2%		47.6%	Senior		12/18		96.4		90.2	90.0			S+3.75%		S+5.21%		3.0		NY		Mixed-Use		26.2%	47.6%
Senior (7)	Senior (7)	08/19	93.1	93.1	93.2	L+2.80%	L+3.26%	3.0	MN	Office		73.1%		71.2%	Senior(7)		08/19		93.1		93.1	93.2			S+2.85%		S+3.26%		3.0		MN		Office		73.1%	71.2%
Senior (7)	Senior (7)	10/19	92.6	92.6	92.6	L+3.24%	L+3.86%	3.0	CA	Office		63.9%		61.1%	Senior(7)		10/19		92.6		92.6	92.6			S+3.30%		S+3.86%		3.0		CA		Office		63.9%	61.1%
Senior	Senior	07/19	89.8	79.8	79.7	L+3.69%	L+4.32%	3.0	IL	Office		70.0%		64.4%	Senior		07/19		89.8		79.8	79.7			S+3.74%		S+4.32%		3.0		IL		Office		70.0%	64.4%
Senior	Senior	10/19	87.8	86.6	86.4	L+2.55%	L+3.05%	3.0	TN	Office		70.2%		74.2%	Senior		10/19		87.8		87.1	87.0			S+2.60%		S+3.05%		3.0		TN		Office		70.2%	74.2%
Senior	Senior	12/15	82.0	82.0	82.0	L+4.15%	L+4.43%	4.0	LA	Mixed-Use		65.5%		60.0%	Senior		12/15		86.0		84.8	84.6			S+4.15%		S+4.43%		4.0		LA		Mixed-Use		65.5%	60.0%
Senior	Senior	01/20	81.9	72.7	72.6	L+4.25%	L+3.93%	3.0	CO	Industrial		47.2%		47.5%	Senior		06/19		81.7		81.4	81.0			S+3.29%		S+3.05%		3.0		TX		Mixed-Use		71.7%	72.2%
Senior	Senior	06/19	81.7	81.4	81.4	S+2.69%	S+3.05%	3.0	TX	Mixed-Use		71.7%		72.2%	Senior		10/22		77.3		77.3	77.3			S+4.50%		S+4.61%		2.0		CA		Retail		47.7%	36.6%
Senior	Senior	10/22	77.3	77.3	77.3	S+4.50%	S+4.61%	2.0	CA	Retail		47.7%		36.6%	Senior		10/19		76.8		76.8	76.7			S+3.41%		S+3.73%		3.0		FL		Mixed-Use		67.7%	62.9%
Senior	Senior	10/19	76.8	76.8	76.7	L+3.36%	L+3.73%	3.0	FL	Mixed-Use		67.7%		62.9%	Senior		12/16		66.0		66.0	66.0			S+5.15%		S+4.87%		4.0		FL		Office		73.3%	63.2%
Senior	Senior	12/16	67.8	66.0	66.0	S+5.15%	S+4.87%	4.0	FL	Office		73.3%		63.2%	Senior		12/19		63.7		62.1	62.0			S+3.50%		S+3.28%		3.0		NY		Office		68.8%	59.3%
Senior	Senior	12/19	63.7	60.5	60.3	S+3.50%	S+3.28%	3.0	NY	Office		68.8%		59.3%	Senior		07/21		63.3		63.3	63.0			S+3.05%		S+3.39%		3.0		LA		Multifamily		68.8%	68.6%
Senior	Senior	07/21	63.3	63.1	62.8	L+3.00%	L+3.39%	3.0	LA	Multifamily		68.8%		68.6%	Senior		12/18		60.1		60.1	59.9			S+2.90%		S+3.44%		3.0		TX		Office		68.5%	66.7%
Senior	Senior	12/18	60.1	59.1	59.0	S+2.90%	S+3.44%	3.0	TX	Office		68.5%		66.7%	Senior		05/22		55.5		45.8	45.5			S+3.29%		S+3.70%		3.0		TX		Multifamily		59.3%	62.9%
Senior	Senior	10/21	55.5	52.8	52.6	L+3.15%	L+3.42%	3.0	CO	Multifamily		78.2%		74.7%	Senior		06/19		54.1		54.1	53.9			S+3.35%		S+3.70%		3.0		VA		Office		49.3%	49.9%
Senior	Senior	05/22	55.5	42.7	42.4	S+3.29%	S+3.70%	3.0	TX	Multifamily		59.3%		62.9%	Senior		11/21		52.8		49.3	49.1			S+3.40%		S+3.82%		3.0		PA		Mixed-Use		62.0%	63.5%
Senior	Senior	05/19	55.4	53.1	53.0	L+3.20%	L+3.60%	3.0	NY	Mixed-Use		59.7%		55.1%	Senior		06/21		52.7		47.5	47.4			S+4.38%		S+4.75%		3.0		GA		Office		68.0%	69.4%
Senior	Senior	06/19	54.1	54.0	54.0	L+3.30%	L+3.70%	3.0	VA	Office		49.3%		49.9%	Senior		09/21		51.7		50.8	50.8			S+5.05%		S+5.12%		3.0		MN		Hotel		68.4%	57.8%
Senior	Senior	11/17	53.7	53.7	53.6	S+5.50%	S+5.20%	3.0	TX	Hotel		68.2%		61.6%	Senior		03/22		49.9		46.9	46.6			S+3.25%		S+3.64%		3.0		MA		Industrial		67.3%	60.8%
Senior	Senior	11/21	52.8	48.3	48.0	L+3.40%	L+3.82%	3.0	PA	Mixed-Use		62.0%		63.5%	Senior		08/19		48.2		45.9	45.8			S+3.76%		S+3.39%		3.0		GA		Office		69.5%	68.3%
Senior	Senior	06/21	52.7	46.7	46.5	L+4.32%	L+4.75%	3.0	GA	Office		68.0%		69.4%	Senior		08/17		47.7		47.7	47.6			S+4.35%		S+4.40%		3.0		KY		Multifamily		79.8%	73.1%
Senior	Senior	09/21	51.7	50.4	50.4	L+5.00%	L+5.12%	3.0	MN	Hotel		68.4%		57.8%	Senior		07/21		46.4		45.4	45.2			S+3.72%		S+4.19%		3.0		CT		Office		68.3%	63.5%
Senior	Senior	02/20	50.2	46.2	46.0	L+3.30%	L+3.75%	3.0	TN	Hotel		69.1%		54.2%	Senior		04/22		46.2		43.8	43.5			S+3.41%		S+3.78%		3.0		TX		Multifamily		74.4%	64.0%
Senior	Senior	03/22	49.9	46.9	46.5	S+3.25%	S+3.64%	3.0	MA	Industrial		67.3%		60.8%	Senior		08/21		45.8		45.4	45.3			S+3.21%		S+3.53%		3.0		TX		Multifamily		77.8%	75.2%
Senior	Senior	08/19	48.2	45.3	45.1	L+3.70%	L+3.39%	3.0	GA	Office		69.5%		68.3%	Senior		07/22		45.0		44.0	43.5			S+3.58%		S+4.25%		3.0		GA		Multifamily		74.5%	68.2%
Senior	Senior	07/21	46.4	45.4	45.1	L+3.69%	L+4.19%	3.0	CT	Office		68.3%		63.5%	Senior		09/21		44.3		40.8	40.5			S+3.36%		S+3.72%		3.0		CA		Office		62.4%	66.1%
Senior	Senior	04/22	46.2	43.3	43.0	S+3.41%	S+3.78%	3.0	TX	Multifamily		74.4%		64.0%	Senior		02/22		42.4		42.4	42.1			S+3.05%		S+3.40%		3.0		NJ		Industrial		75.0%	59.5%
Senior	Senior	08/21	45.8	45.4	45.2	L+3.16%	L+3.53%	3.0	TX	Multifamily		77.8%		75.2%	Senior		07/16		40.5		40.5	40.5			S+4.71%		S+4.99%		4.0		VA		Office		62.8%	61.5%
Senior	Senior	08/17	45.8	45.8	45.6	S+4.35%	S+4.40%	3.0	KY	Multifamily		79.8%		73.1%	Senior		04/22		40.2		37.1	37.0			S+4.65%		S+4.87%		3.0		NY		Other		66.7%	61.8%
Senior	Senior	07/22	45.0	43.5	42.9	S+3.58%	S+4.25%	3.0	GA	Multifamily		74.5%		68.2%	Senior		12/17		39.4		38.7	38.5			S+5.25%		S+5.26%		3.0		MA		Mixed-Use		72.9%	62.0%
Senior	Senior	09/21	44.3	40.2	39.9	L+3.30%	L+3.72%	3.0	CA	Office		62.4%		66.1%	Senior		05/21		38.9		36.6	36.4			S+3.33%		S+3.83%		3.0		AL		Multifamily		72.2%	64.8%
Senior(7)											Senior(7)		11/18			37.1		37.1		37.1			S+3.60%	S+5.50%		3.0		CA		Mixed-Use		69.9%		67.9%
Senior	Senior	02/22	42.4	42.4	42.1	S+3.05%	S+3.40%	3.0	NJ	Industrial		75.0%		59.5%	Senior		11/19		36.5		36.2	36.1			S+3.33%		S+3.14%		3.0		NC		Multifamily		80.0%	72.8%
Senior	Senior	07/16	40.5	40.5	40.4	L+4.65%	L+4.99%	4.0	VA	Office		62.8%		61.5%	Senior		05/18		35.4		35.3	35.2			S+3.18%		S+3.95%		3.0		MA		Office		47.0%	41.1%
Senior	Senior	12/17	40.2	38.6	38.5	S+4.75%	S+5.26%	3.0	MA	Mixed-Use		72.9%		62.0%	Senior		03/20		34.9		24.1	24.1			S+5.04%		S+4.66%		3.0		GA		Office		63.2%	64.6%
Senior	Senior	04/22	40.2	36.7	36.6	S+4.65%	S+4.87%	3.0	NY	Other		66.7%		61.8%	Senior		12/18		34.2		33.6	33.4			S+4.11%		S+3.27%		4.0		IL		Multifamily		70.8%	62.1%
Senior	Senior	05/21	38.9	32.9	32.7	L+3.28%	L+3.83%	3.0	AL	Multifamily		72.2%		64.8%	Senior		08/19		33.5		30.6	30.6			S+2.96%		S+3.38%		3.0		TX		Multifamily		79.3%	72.5%
Senior	Senior	05/18	38.8	34.8	34.8	L+3.18%	L+3.95%	3.0	MA	Office		47.0%		41.1%	Senior		11/21		33.4		31.3	31.2			S+3.13%		S+3.52%		3.0		AL		Multifamily		77.9%	68.1%
Senior	Senior	11/18	37.1	37.1	37.1	S+3.60%	S+5.50%	3.0	CA	Mixed-Use		69.9%		67.9%	Senior		03/16		32.6		32.6	32.6			5.11%		5.26%		10.0		NJ		Office		74.9%	74.9%
Senior	Senior	11/19	36.5	36.0	36.0	L+3.28%	L+3.14%	3.0	NC	Multifamily		80.0%		72.8%	Senior		04/22		31.8		30.0	29.8			S+3.35%		S+3.73%		3.0		GA		Multifamily		75.1%	67.1%
Senior	Senior	03/20	34.9	18.0	17.9	S+5.25%	S+4.66%	3.0	GA	Office		63.2%		64.6%	Senior		03/19		30.6		28.5	28.4			S+3.75%		S+3.42%		3.0		NY		Office		53.8%	48.5%
Senior		12/18	34.2	33.4	33.3	S+4.11%	S+3.27%	4.0	IL	Multifamily		70.8%		62.1%
Senior		08/19	33.5	30.3	30.3	L+2.90%	L+3.38%	3.0	TX	Multifamily		79.3%		72.5%
Senior		11/21	33.4	30.0	29.9	L+3.18%	L+3.52%	3.0	AL	Multifamily		77.9%		68.1%
Senior		03/16	32.8	32.8	32.8	5.11%	5.26%	10.0	NJ	Office		74.9%		74.9%
Senior (7)		05/17	31.8	31.8	31.7	L+5.35%	L+5.97%	3.0	TX	Office		68.7%		65.1%
Senior		04/22	31.8	29.0	28.8	S+3.35%	S+3.73%	3.0	GA	Multifamily		75.1%		67.1%
Senior		03/19	30.6	27.1	27.1	S+3.50%	S+3.42%	3.0	NY	Office		53.8%		48.5%
Senior (7)		05/17	29.7	29.7	29.7	S+4.51%	S+5.36%	3.0	AZ	Office		69.5%		59.0%
Senior		05/18	29.4	29.4	29.3	S+5.00%	S+4.63%	3.0	NY	Mixed-Use		57.0%		51.1%
Senior		06/18	29.3	24.6	24.5	S+4.57%	S+4.75%	3.0	OH	Hotel		70.6%		57.4%
Senior		04/22	28.6	25.9	25.7	S+3.22%	S+3.55%	3.0	TX	Multifamily		73.3%		63.9%
Senior		01/19	27.6	26.9	26.8	S+2.97%	S+3.38%	3.0	TX	Multifamily		64.9%		64.9%
Senior (7)		12/18	27.5	27.5	27.5	S+3.90%	S+4.42%	3.0	MN	Hotel		64.7%		57.7%
Senior		03/22	27.2	24.1	23.7	S+4.14%	S+4.89%	3.0	NC	Office		47.4%		53.5%
Senior		01/19	27.0	25.2	25.1	S+3.40%	S+3.44%	3.0	MA	Office		71.2%		70.1%
Senior		08/19	26.8	26.6	26.5	L+3.15%	L+3.67%	3.0	SC	Multifamily		67.0%		58.7%
Senior		12/18	25.9	24.6	24.5	L+4.00%	L+5.56%	3.0	PA	Multifamily		70.1%		67.0%

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Senior	05/18	29.4	29.4	29.3	S+5.00%	S+4.63%	3.0	NY	Mixed-Use	57.0%	51.1%
Senior	04/22	28.6	26.2	26.0	S+3.22%	S+3.55%	3.0	TX	Multifamily	73.3%	63.9%
Senior(7)	12/18	28.0	28.0	28.0	S+3.90%	S+4.42%	3.0	MN	Hotel	64.7%	57.7%
Senior	01/19	27.6	26.9	26.9	S+3.00%	S+3.38%	3.0	TX	Multifamily	64.9%	64.9%
Senior	03/22	27.2	24.1	23.8	S+4.14%	S+4.89%	3.0	NC	Office	47.4%	53.5%
Senior	01/19	27.0	25.8	25.7	S+3.40%	S+3.44%	3.0	MA	Office	71.2%	70.1%
Senior	08/19	26.8	26.6	26.5	S+3.20%	S+3.67%	3.0	SC	Multifamily	67.0%	58.7%
Senior	10/21	25.7	25.7	25.5	S+3.20%	S+3.43%	4.0	GA	Industrial	67.5%	64.5%
Senior	01/18	25.4	25.4	25.3	S+5.18%	S+5.58%	3.0	AZ	Hotel	65.8%	61.3%
Senior	03/20	25.1	22.1	22.0	S+4.25%	S+3.27%	3.0	CA	Office	63.6%	66.7%
Senior	08/19	25.0	23.9	23.8	S+2.71%	S+3.07%	2.0	OK	Multifamily	79.9%	74.2%
Senior	12/21	24.7	16.7	16.6	S+3.36%	S+3.59%	3.0	CA	Office	72.9%	68.3%
Senior	09/21	24.4	23.6	23.5	S+3.23%	S+3.61%	3.0	CA	Multifamily	71.9%	57.8%
Senior	12/21	24.4	20.4	20.3	S+3.91%	S+4.16%	3.0	Various	Other	55.1%	64.3%
Senior	07/17	23.8	23.8	23.7	S+4.50%	S+4.58%	3.0	NY	Multifamily	76.5%	76.5%
Senior	05/21	23.3	18.6	18.5	S+3.55%	S+4.09%	3.0	LA	Multifamily	68.0%	69.6%
Senior	02/22	22.9	19.9	19.8	S+3.90%	S+4.29%	3.0	CO	Office	64.4%	60.2%
Senior	02/20	21.9	21.9	21.8	S+4.00%	S+3.75%	3.0	TN	Hotel	69.1%	54.2%
Senior	06/18	21.8	19.4	19.3	S+5.31%	S+4.73%	3.0	FL	Retail	74.0%	69.4%
Senior	06/19	21.5	21.5	21.4	S+4.55%	S+5.05%	3.0	NY	Other	39.6%	39.6%
Senior	05/21	20.6	20.0	19.9	S+4.05%	S+4.41%	3.0	FL	Multifamily	69.8%	62.8%
Senior	06/19	20.4	20.4	20.3	S+3.25%	S+4.24%	3.0	GA	Mixed-Use	60.6%	67.4%
Senior	11/18	19.0	17.3	17.3	S+3.26%	S+3.83%	3.0	CA	Office	73.1%	64.5%
Senior	07/19	18.6	16.1	16.1	S+3.07%	S+3.60%	3.0	OH	Office	63.1%	66.1%
Senior	10/18	17.1	17.0	16.9	S+4.71%	S+5.16%	3.0	CT	Hotel	75.4%	66.9%
Senior	06/21	16.7	14.2	14.1	S+3.41%	S+3.82%	4.0	IN	Multifamily	67.0%	66.4%
Senior	08/17	15.4	12.4	12.3	S+5.25%	S+5.49%	3.0	PA	Office	66.7%	67.3%
Senior	08/21	14.4	13.9	13.9	S+3.70%	S+3.88%	3.0	CO	Office	72.0%	63.7%
Senior	07/18	14.3	10.0	10.0	S+4.86%	S+4.35%	3.0	CA	Office	77.1%	63.5%
Senior	08/18	14.2	14.2	14.2	S+2.98%	S+3.32%	3.0	TX	Multifamily	68.9%	63.6%
Mezzanine	01/17	13.6	13.6	13.6	8.00%	8.11%	10.0	HI	Hotel	41.4%	36.2%
Senior	09/19	12.0	11.8	11.7	S+3.05%	S+3.50%	3.0	WI	Multifamily	51.4%	75.0%
Senior	10/19	11.8	4.1	4.1	S+2.81%	S+3.28%	3.0	CA	Office	70.6%	67.8%
Senior	06/19	11.4	10.4	10.4	S+4.01%	S+4.69%	3.0	NY	Office	40.7%	60.0%
Senior	01/18	8.4	6.6	6.6	S+5.25%	S+5.50%	3.0	PA	Office	66.8%	67.3%
Allowance for credit losses				(145.3)

Total/Weighted Average Loans		$3,059.8	$2,917.7	$2,763.6	S+3.72%	S+3.98%	3.2			66.4%	63.3%

Senior 01/18 25.7 25.7 25.7 L+5.13% L+5.58% 3.0 AZ Hotel 65.8% 61.3%
Senior 10/21 25.7 25.7 25.5 L+3.15% L+3.43% 4.0 GA Industrial 67.5% 64.5%
Senior 03/20 25.1 22.0 21.9 S+4.25% S+3.27% 3.0 CA Office 63.6% 66.7%
Senior 08/19 25.0 23.9 23.9 L+2.66% L+3.07% 2.0 OK Multifamily 79.9% 74.2%
Senior 12/21 24.7 16.7 16.6 L+3.30% L+3.59% 3.0 CA Office 72.9% 68.3%
Senior 09/21 24.4 23.3 23.2 L+3.18% L+3.61% 3.0 CA Multifamily 71.9% 57.8%
Senior 12/21 24.4 20.4 20.3 L+3.86% L+4.16% 3.0 Various Other 55.1% 64.3%
Senior 07/17 24.3 24.3 24.2 S+4.50% S+4.58% 3.0 NY Multifamily 76.5% 76.5%
Senior 05/21 23.3 18.0 17.9 L+3.50% L+4.09% 3.0 LA Multifamily 68.0% 69.6%
Senior 10/15 22.9 22.9 22.9 L+4.07% L+5.76% 3.0 MO Hotel 73.2% 57.8%
Senior 02/22 22.9 19.7 19.6 S+3.90% S+4.29% 3.0 CO Office 64.4% 60.2%
Senior 06/18 22.8 19.5 19.5 S+5.31% S+4.73% 3.0 FL Retail 74.0% 69.4%
Senior 04/18 22.2 22.2 22.2 L+4.05% L+4.46% 3.0 KS Multifamily 72.1% 67.4%
Senior 06/19 21.5 21.5 21.4 L+4.50% L+5.05% 3.0 NY Other 39.6% 39.6%
Senior 07/21 21.4 21.4 21.3 L+3.25% L+3.63% 3.0 GA Multifamily 77.0% 68.7%
Senior 05/21 20.6 19.7 19.6 L+3.99% L+4.41% 3.0 FL Multifamily 69.8% 62.8%
Senior 06/19 20.4 20.4 20.3 L+2.90% L+4.24% 3.0 GA Mixed-Use 60.6% 67.4%
Senior 10/18 19.3 19.1 19.0 S+4.71% S+5.16% 3.0 CT Hotel 75.4% 66.9%
Senior 11/18 19.0 17.1 17.1 L+3.20% L+3.83% 3.0 CA Office 73.1% 64.5%
Senior 07/19 18.5 16.1 16.0 L+3.00% L+3.60% 3.0 OH Office 63.1% 66.1%
Senior 06/21 16.7 14.3 14.1 L+3.35% L+3.82% 4.0 IN Multifamily 67.0% 66.4%
Senior 08/17 15.4 12.4 12.3 S+5.25% S+5.49% 3.0 PA Office 66.7% 67.3%
Senior 07/18 14.8 10.5 10.5 S+3.86% S+4.35% 3.0 CA Office 77.1% 63.5%
Senior 06/19 14.6 11.1 11.0 L+3.96% L+4.69% 3.0 NY Office 40.7% 60.0%
Senior 08/21 14.4 14.0 14.0 L+3.65% L+3.88% 3.0 CO Office 72.0% 63.7%
Senior 08/18 14.2 14.2 14.2 L+2.93% L+3.32% 3.0 TX Multifamily 68.9% 63.6%
B-Note 01/17 13.7 13.7 13.7 8.00% 8.11% 10.0 HI Hotel 41.4% 36.2%
Senior 09/19 12.0 11.8 11.8 L+2.99% L+3.50% 3.0 WI Multifamily 51.4% 75.0%
Senior 10/19 11.8 4.1 4.1 L+2.75% L+3.28% 3.0 CA Office 70.6% 67.8%
Senior 01/18 8.4 6.6 6.6 S+5.25% S+5.50% 3.0 PA Office 66.8% 67.3%
Allowance for credit losses (128.5)
Total/Weighted Average $3,525.3 $3,320.8 $3,182.4 L+/S+3.67% L+/S+4.05% 3.1 66.4% 62.9%

____________________

(1)“Senior” means a loan primarily secured by a first priority lien on commercial real property and related personal property and also includes, when applicable, any companion subordinate loans.

(2)Cash coupon does not include origination or exit fees. Weighted average cash coupon excludes fixed rate loans.

(3)Yield includes net origination fees and exit fees, but does not include future fundings, and is expressed as a monthly equivalent. Weighted average yield excludes fixed rate loans.

(4)Original term (years) is the initial maturity date at origination and does not include any extension options and has not been updated to reflect any subsequent extensions or modifications, if applicable.

(5)Initial loan-to-value ratio, or initial LTV, is calculated as the initial loan amount (plus any financing that is pari passu with or senior to such loan) divided by the as is appraised value (as determined in conformance with the Uniform Standards of Professional Appraisal Practice, or USPAP) as of the date of the loan was originated set forth in the original appraisal.

(6)Stabilized loan-to-value ratio, or stabilized LTV, is calculated as the fully funded loan amount (plus any financing that is pari passu with or senior to such loan), including all contractually provided for future fundings, divided by the as stabilized value (as determined in conformance with USPAP) set forth in the original appraisal. As stabilized value may be based on certain assumptions, such as future construction completion, projected re-tenanting, payment of tenant improvement or leasing commissions allowances or free or abated rent periods, or increased tenant occupancies.

(7)Loan was held on nonaccrual status as of ~~March 31,~~September 30, 2023.

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Most of our loans are structured with an initial maturity term, typically three years, and one or more (typically two) one-year extension options, which can be exercised by the borrower subject to meeting various extension conditions in accordance with the terms of the loan agreement. As part of our overall asset management strategy, we have in the past entered into, and may in the future enter into, loan modifications with some of our borrowers. These amendments may include, among other things, modifying or waiving certain performance or extension conditions as part of the overall agreement.

The map and charts below illustrate the geographic distribution and types of properties securing our loan portfolio as of ~~March 31,~~September 30, 2023 (the charts are weighted by unpaid principal balance):

Portfolio Management and Credit Quality

We actively manage each loan investment from closing and initial funding through final repayment and assess the risk of credit deterioration by quarterly evaluating the performance of the underlying collateral properties. We also evaluate the

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macroeconomic environment, prevailing real estate fundamentals and local property market dynamics. Typically, our loan documents allow us, among other things, to receive regular property, borrower and guarantor financial statements; approve annual budgets and major tenant leases; and enforce loan covenants and remedies. In addition, we work with Trimont Real Estate Advisors LLC, one of the leading commercial real estate loan servicers, which provides us with a fully-dedicated and experienced team to increase efficiency and leverage our internal resources in servicing and asset managing our loan investments. Our internal team retains authority on all asset management decisions.

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We maintain strong relationships and an active asset management dialogue with our borrowers. We have leveraged those strong relationships to maximize the performance of our portfolio, including during periods of economic uncertainty and market volatility. While we generally believe that the principal amount of our loans is sufficiently protected by the underlying collateral value, there is a risk that we will not realize the entire principal amount of certain of our loan investments.

In addition to ongoing asset management, we review our entire portfolio quarterly, assess the performance of each loan and assign it a risk rating on a scale between “1” and “5,” from least risk to greatest risk, respectively. See Note 3 - Loans Held-for-Investment, Net of Allowance for Credit Losses to our condensed consolidated financial statements included in this Quarterly Report on Form 10-Q for a discussion regarding the risk rating methodology we use for our portfolio.

The following table allocates the unpaid principal balance and the carrying value balances based on our internal risk ~~ratings:~~ratings as of September 30, 2023, and December 31, 2022:


(dollars in thousands)	(dollars in thousands)	March 31, 2023					December 31, 2022					(dollars in thousands)	September 30, 2023					December 31, 2022
Risk Rating	Risk Rating	Number of Loans	Unpaid Principal Balance		Carrying Value		Number of Loans	Unpaid Principal Balance		Carrying Value		Risk Rating	Number of Loans	Unpaid Principal Balance		Carrying Value		Number of Loans	Unpaid Principal Balance		Carrying Value
1	1	7	$	257,477	$	252,307	8	$	291,236	$	287,527	1	5	$	134,655	$	133,874	8	$	291,236	$	287,527
2	2	48	1,706,949		1,676,839		52	1,857,744		1,824,564		2	40	1,419,862		1,391,937		52	1,857,744		1,824,564
3	3	24	839,453		818,533		21	697,532		689,196		3	23	784,320		767,944		21	697,532		689,196
4	4	4	242,124		227,466		5	268,236		258,570		4	5	328,023		303,941		5	268,236		258,570
5	5	5	274,758		207,234		4	247,258		207,958		5	4	250,869		165,862		4	247,258		207,958
Total	Total	88	$	3,320,761	$	3,182,379	90	$	3,362,006	$	3,267,815	Total	77	$	2,917,729	$	2,763,558	90	$	3,362,006	$	3,267,815

As of September 30, 2023, the weighted average risk rating of the Company’s loan portfolio was 2.7, versus 2.5 as of December 31, 2022, weighted by unpaid principal balance. The change in portfolio risk rating as of September 30, 2023, versus December 31, 2022, is mainly a result of changes in portfolio mix from loan payoffs and paydowns, and select loan rating downgrades, including one loan downgraded to a risk rating of “5”, partially offset by the transfer of a previously risk-rated “5” rated loan to loans held-for-sale, as described below.

Risk-Rated “5” Loan Summaries

During the three months ended September 30, 2023, a first mortgage loan with a principal balance of $37.1 million collateralized by a mixed-use office and retail property located in Los Angeles, CA, was downgraded from a risk rating of “4” to a risk rating of “5” and placed on nonaccrual status as the collateral property’s operating performance has been adversely affected by the ongoing office leasing market challenges related to work from home trends and local submarket dynamics, a significant rise in interest rates resulting in a dramatic reduction in real estate transaction activity and capital markets volatility, and other property specific factors. The loan was individually assessed in accordance with the CECL framework and an allowance for credit loss for this loan was determined based on the estimate of the collateral property’s fair value. We are in an ongoing dialogue with the borrower regarding next steps and potential resolutions with respect to this loan, the timing and ultimate outcome of which remain uncertain.

During the three months ended September 30, 2023, a senior loan with an outstanding principal balance of $31.8 million collateralized by an office property located in Dallas, TX was transferred to loans held-for-sale resulting in a write-off of $(16.8) million in the allowance for credit losses, which reflects a $(7.9) million provision for credit losses at the time of the transfer. The loan had previously been placed on nonaccrual status and had a risk rating of “5”. Subsequent to September 30, 2023, the loan sale was finalized with no additional losses incurred. See Note 16 - Subsequent Events, for further detail.

At September 30, 2023, we held a first mortgage loan with an outstanding principal balance of $93.1 million collateralized by an office property located in Minneapolis, MN that had a risk rating of “5”. The loan had been previously placed on nonaccrual status as the collateral property’s operating performance has been adversely affected by the ongoing office leasing market challenges related to work from home trends, a significant rise in interest rates resulting in a substantial reduction in real estate transaction activity, capital markets volatility and limited liquidity for office properties, and other local submarket dynamics. The loan was individually assessed in accordance with the CECL framework and an allowance for credit loss for this loan was determined based on the estimate of the collateral property’s fair value. We are in an ongoing dialogue with the borrower regarding next steps and potential resolutions with respect to this loan, the timing and ultimate outcome of which remain uncertain.

At September 30, 2023, we held a first mortgage loan with an outstanding principal balance of $92.6 million collateralized by an office property located in San Diego, CA that had a risk rating of “5”. The loan had been previously placed on nonaccrual status as the collateral property’s operating performance has been adversely affected by the ongoing leasing market challenges related to work from home trends, a significant rise in interest rates resulting in a substantial reduction in real estate transaction activity, capital markets volatility and limited liquidity for office properties, and other local submarket dynamics. The loan was

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individually assessed in accordance with the CECL framework and an allowance for credit loss for this loan was determined based on the estimate of the collateral property’s fair value. The borrower is currently under contract to sell the collateral property; however, given the volatile and uncertain market conditions, there may be no assurances that the borrower’s sale of the collateral property will be completed as currently contemplated under the terms of the purchase and sale agreement, and the timing and ultimate outcome remain uncertain.

At September 30, 2023, we held a first mortgage loan with an outstanding principal balance of $28.0 million collateralized by a hotel property located in Minneapolis, MN that had a risk rating of “5”. The loan had been previously placed on nonaccrual status as the collateral property’s operating performance has been adversely affected by the ongoing softness in local market business travel environment, a significant rise in interest rates resulting in a substantial reduction in real estate transaction activity, capital markets volatility and limited market liquidity for certain properties, and other local submarket dynamics. The loan was individually assessed in accordance with the CECL framework and an allowance for credit loss for this loan was determined based on the estimate of the collateral property’s fair value. The borrower has begun a process to sell the collateral property, which remains ongoing. However, given the volatile and uncertain market conditions, there may be no assurances that the borrower’s process to sell the collateral property will be completed, and the timing and ultimate outcome remain uncertain.

As of September 30, 2023, we had four collateral-dependent loans that had a risk rating of “5” with an aggregate principal balance of $250.9 million, for which we recorded an allowance for credit losses of $85.1 million. These four loans were on nonaccrual status as of September 30, 2023.

Loan Modification Activity

Loan modifications and amendments are commonplace in the transitional lending business. We may amend or modify a loan depending on the loan’s specific facts and circumstances. These loan modifications may include additional time for the borrower to refinance or sell the collateral property, adjustment or waiver of performance tests that are prerequisite to the extension of a loan maturity, and/or deferral of scheduled payments. In exchange for a modification, we often receive a partial repayment of principal, an accrual of deferral interest for a portion of interest due, a cash infusion to replenish interest or capital improvement reserves, termination of all or a portion of the remaining unfunded loan commitment, additional call protection, and/or an increase in the loan coupon or additional loan fees. None of our loan modifications resulted in a significant modification during the three months ended ~~March 31,~~September 30, 2023.

Other Portfolio Developments

~~During the three months ended March 31,~~As discussed above, as of September 30, 2023, we had one first mortgage loan with a principal balance of ~~$27.5~~$66.0 million collateralized by ~~a hotel~~an office property ~~was downgraded~~located in Miami Beach, FL, whose maturity on July 9, 2023 passed without extension. We deemed probable that the repayment of the loan and its past due interest is expected to ~~a risk rating of “5” as a result~~be substantially satisfied through the borrower’s sale of the collateral property, which was under contract to be sold. As the collateral property’s ~~operating performance being adversely affected by~~estimated fair value exceeded the ~~lagging travel trends impacting~~carrying value of the ~~local hotel occupancy rates, capital markets volatility~~loan and ~~other factors. At March 31, 2023,~~past due interest, we ~~had five collateral-dependent loans with an aggregate principal balance of $274.8 million, for which we recorded an~~recognized no allowance for credit losses ~~of $67.5 million based on our estimate of fair value~~and retained the loan’s accrual status. Given the volatile and uncertain market conditions, there may be no assurances that the borrower’s sale of the ~~underlying~~ collateral ~~properties,~~property will be completed as currently contemplated under the terms of the purchase and ~~we held these loans on nonaccrual status.~~sale agreement.

Portfolio Financing

As of ~~March 31,~~September 30, 2023, our portfolio financing consisted of repurchase, asset-specific financing, and secured credit facilities collateralized by a portion of our loans held-for-investment and securitized debt obligations collateralized by pools of loans held-for-investment issued in CRE CLOs. Our non-mark-to-market financing sources accounted for approximately ~~50.2%~~55.8% of portfolio loan-level financing as of ~~March 31,~~September 30, 2023.

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The following table details our portfolio loan-level financing as of ~~March 31,~~September 30, 2023, and December 31, 2022:


(in thousands)	(in thousands)	March 31, 2023		December 31, 2022		(in thousands)	September 30, 2023		December 31, 2022
CRE CLOs	CRE CLOs	$	1,039,407	$	1,138,749	CRE CLOs	$	999,536	$	1,138,749

Asset-specific financing facility	Asset-specific financing facility	45,823		44,913		Asset-specific financing facility	45,823		44,913
Secured credit facility	Secured credit facility	100,000		100,000		Secured credit facility	100,000		100,000
Secured repurchase agreement (non-mark-to-market)	Secured repurchase agreement (non-mark-to-market)	6,970		46,280		Secured repurchase agreement (non-mark-to-market)	7,029		46,280
Total non-mark-to-market financing	Total non-mark-to-market financing	1,192,200		1,329,942		Total non-mark-to-market financing	1,152,388		1,329,942
Secured repurchase agreements (mark-to-market)	Secured repurchase agreements (mark-to-market)	1,184,601		969,286		Secured repurchase agreements (mark-to-market)	914,319		969,286
Total portfolio financing	Total portfolio financing	$	2,376,801	$	2,299,228	Total portfolio financing	$	2,066,707	$	2,299,228

The following table summarizes assets at carrying values that served as collateral for the future payment obligations of the repurchase facilities, the asset-specific financing facility, the term financing facility, the secured credit facility and the CRE CLOs as of ~~March 31,~~September 30, 2023, and December 31, 2022:


(in thousands)	(in thousands)	March 31, 2023		December 31, 2022		(in thousands)	September 30, 2023		December 31, 2022
Loans held-for-investment	Loans held-for-investment	$	3,292,911	$	3,236,745	Loans held-for-investment	$	2,744,728	$	3,236,745
Loans held-for-sale						Loans held-for-sale	14,980		—
Real Estate Owned, net(1)						Real Estate Owned, net(1)	21,957		—

Restricted cash	Restricted cash	2,443		5,674		Restricted cash	22,940		5,674

Total	Total	$	3,295,354	$	3,242,419	Total	$	2,804,605	$	3,242,419

____________________

(1)As of September 30, 2023, real estate owned, net included $4.5 million in other assets and liabilities related to acquired leases.

Secured Repurchase Agreements

As of ~~March 31,~~September 30, 2023, we had repurchase facilities in place with five counterparties with aggregate outstanding borrowings of ~~$1.2~~$0.9 billion, which financed a portion of our loans ~~held-for-investment.~~held-for-investment, loans held-for-sale and real estate owned. As of ~~March 31,~~September 30, 2023, the weighted average borrowing rate on our repurchase facilities was ~~7.4%~~8.0%, the weighted average advance rate was ~~68.2%~~63.9%, and the term to maturity ranged from 89272 days to approximately ~~2.2~~1.8 years, with a weighted average remaining maturity of ~~1.0~~1.4 years.

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The table below details our secured repurchase facilities as of ~~March 31,~~September 30, 2023:


		March 31, 2023									September 30, 2023
(in thousands)	(in thousands)	Maturity Date (1)	Committed	Amount Outstanding		Unused Capacity (2)		Total Capacity		(in thousands)	Maturity Date(1)	Committed	Amount Outstanding		Unused Capacity(2)		Total Capacity
Repurchase facilities:	Repurchase facilities:									Repurchase facilities:
Morgan Stanley Bank ~~(3)~~	Morgan Stanley Bank ~~(3)~~	June 28, 2023	No	$	451,720	$	148,280	$	600,000	Morgan Stanley Bank ~~(3)~~	June 28, 2024	No	$	246,196	$	228,804	$	475,000
Goldman Sachs Bank USA ~~(4)~~(3)	Goldman Sachs Bank USA ~~(4)~~(3)	July 13, 2023	No	$	67,749	$	182,251	$	250,000	Goldman Sachs Bank USA ~~(4)~~(3)	July 13, 2024	No	$	99,856	$	150,144	$	250,000
JPMorgan Chase Bank(4)	JPMorgan Chase Bank(4)	June 28, 2024	No	$	409,291	$	15,709	$	425,000	JPMorgan Chase Bank(4)	July 28, 2025	No	$	367,672	$	57,328	$	425,000
Citibank	Citibank	May 25, 2025	No	$	256,021	$	243,979	$	500,000	Citibank	May 25, 2025	No	$	200,595	$	299,405	$	500,000

Centennial Bank (5)	Centennial Bank (5)	August 29, 2024	No	$	6,790	$	143,210	$	150,000	Centennial Bank(5)	August 29, 2024	No	$	7,029	$	142,971	$	150,000

____________________

(1)The facilities are set to mature on the stated maturity date, unless extended pursuant to their terms.

(2)Unused capacity is not committed as of ~~March 31, 2023~~September 30, 2023.

(3)~~Subsequent to March 31, 2023, we entered into a modification of the facility to extend the maturity date to June 28, 2024, and adjust the total capacity to $475 million.~~

~~(4)~~As of ~~March 31,~~September 30, 2023, we retained options to increase the maximum facility capacity amount up to $350 million, subject to customary terms and conditions.

(5)As of ~~March 31,~~September 30, 2023, we retained options to increase the maximum facility capacity amount up to $200 million, subject to customary terms and conditions. As of September 30, 2023, the outstanding balance was collateralized by real estate owned.

Under our repurchase facilities, other than with respect to our Centennial Bank repurchase facility, which provides financing on a non-mark-to-market basis, our counterparties may make margin calls as a result of a perceived decline in the value of our assets collateralizing the given secured financing arrangement due to a credit event or, under a limited number of our repurchase facilities, due to market events. To cover a margin call, we may transfer cash or other loan collateral to such a counterparty. Should the value of our assets suddenly decrease, significant margin calls on our mark-to-market repurchase facilities could result, causing an adverse change in our liquidity position.

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Commercial Real Estate Collateralized Loan Obligations

We have financed certain pools of our loans through the issuance of CRE CLOs. At ~~March 31,~~September 30, 2023, we had two CRE CLOs outstanding: GPMT 2021-FL4 and GPMT 2021-FL3, totaling $1.0 billion of outstanding borrowings, financing 4039 of our existing first mortgage loan investments with an aggregate principal balance, inclusive of restricted cash, of $1.3 billion. ~~Our~~As of September 30, 2023, our CRE CLOs ~~provide us with an attractive cost of funds and, as of March 31, 2023,~~ financed ~~39.0%~~34.2% of our total loan portfolio principal balance on a term-matched, non-recourse and non-mark-to-market ~~basis.~~basis with attractive cost of funds. On March 16, 2023, we redeemed the GPMT 2019-FL2 CRE CLO, which at its redemption had $98.1 million of outstanding borrowings. As a result of the redemption, we realized a gain on early extinguishment of debt of approximately $0.3 million.

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The following table details our CRE CLO securitized debt ~~obligations:~~obligations as of September 30, 2023:


(dollars in thousands)	(dollars in thousands)	March 31, 2023						(dollars in thousands)	September 30, 2023
Securitized Debt Obligations	Securitized Debt Obligations		Principal Balance		Carrying Value		Wtd. Avg. Yield/Cost (1)	Securitized Debt Obligations		Principal Balance		Carrying Value		Wtd. Avg. Yield/Cost (1)
GPMT 2021-FL4 CRE CLO	GPMT 2021-FL4 CRE CLO							GPMT 2021-FL4 CRE CLO
Collateral assets (2)	Collateral assets (2)		$	621,409	$	608,049	L+/S+ 3.7%	Collateral assets(2)		$	621,409	$	602,977	S+ 3.8%
Financing provided	Financing provided		502,564		499,531		L+ 1.7%	Financing provided		502,564		500,113		S+ 1.8%
GPMT 2021-FL3 CRE CLO	GPMT 2021-FL3 CRE CLO							GPMT 2021-FL3 CRE CLO
Collateral assets (3)	Collateral assets (3)		677,715		662,892		L+/S+3.9%	Collateral assets(3)		637,263		626,418		S+3.8%
Financing provided	Financing provided		539,876		539,876		L+1.7%	Financing provided		499,423		499,423		S+1.9%

Total	Total							Total
Collateral assets	Collateral assets		$	1,299,124	$	1,270,941	L+/S+3.8%	Collateral assets		$	1,258,672	$	1,229,395	S+3.8%
Financing provided	Financing provided		$	1,042,440	$	1,039,407	L+1.7%	Financing provided		$	1,001,987	$	999,536	S+1.8%

(1)Calculations of all in yield on collateral assets at origination are based on a number of assumptions (some or all of which may not occur) and are expressed as monthly equivalent yields that include net origination fees and exit fees and exclude future fundings and any potential or completed loan amendments or modifications. Calculations of cost of funds is the weighted average coupon of the CRE CLO, exclusive of any CRE CLO issuance costs. During the three months ended September 30, 2023, the financing provided transitioned from LIBOR to SOFR.

(2)~~Includes no~~$22.9 million of restricted cash is included as of ~~March~~September 30, 2023. No restricted cash is included as of December 31, ~~2023.~~2022. Yield on collateral assets is exclusive of restricted cash.

(3)~~Includes $2.4~~No restricted cash is included as of September 30, 2023. $5.6 million of restricted cash is included as of ~~March~~December 31, ~~2023.~~2022. Yield on collateral assets is exclusive of restricted cash.

Asset-Specific Financing

In April 2019, we entered into a $150 million asset-specific financing facility to provide us with loan-based financing on a non-mark-to-market basis with a term matched to the underlying loan collateral and partial recourse to us.

The following table details the outstanding borrowings under our asset-specific financing facility as of ~~March 31,~~September 30, 2023:

(dollars in thousands)

March 31, 2023

(dollars in thousands)

September 30, 2023

Asset-Specific Financing Facility

Principal Balance

Carrying Value

Wtd. Avg. Yield/Cost (1)

Asset-Specific Financing Facility

Principal Balance

Carrying Value

Wtd. Avg. Yield/Cost (1)

Collateral assets

59,129

57,950

S+3.4%

Collateral assets

60,060

59,582

S+3.4%

Borrowings outstanding

45,823

S+1.8%

Borrowings outstanding

45,823

S+1.8%

(1)Calculations of all in yield on collateral assets at origination are based on a number of assumptions (some or all of which may not occur) and are expressed as monthly equivalent yields that include net origination fees and exit fees and exclude future fundings and any potential or completed loan amendments or modifications. Calculations of all in weighted average yield at origination exclude fixed rate loans. Calculations of cost of funds is the initial weighted average coupon of the asset-specific financing facility, exclusive of any asset-specific financing facility issuance costs.

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Secured Credit Facility

In December 2022, we entered into a $100 million secured credit facility, which financed a portion of our loans held for investment on a non-mark-to-market basis. The facility matures on ~~May 25,~~December 21, 2025.

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The following table details the outstanding borrowings under our asset-specific financing facility as of ~~March 31,~~September 30, 2023:

(dollars in thousands)

March 31, 2023

(dollars in thousands)

September 30, 2023

Secured Credit Facility

Principal Balance

Carrying Value

Wtd. Avg. Yield/Cost (1)

Secured Credit Facility

Principal Balance

Carrying Value

Wtd. Avg. Yield/Cost (1)

Collateral assets

185,723

137,112

L+3.6%

Collateral assets

185,723

123,112

S+3.6%

Borrowings outstanding

100,000

S+6.5%

Borrowings outstanding

100,000

S+6.5%

(1)Calculations of all in yield on collateral assets at origination are based on a number of assumptions (some or all of which may not occur) and are expressed as monthly equivalent yields that include net origination fees and exit fees and exclude future fundings and any potential or completed loan amendments or modifications. Calculations of all in weighted average yield at origination exclude fixed rate loans. Calculations of cost of funds is the initial weighted average coupon of the secured credit facility, exclusive of any secured credit facility issuance costs.

Corporate Financing

Convertible Senior Notes

We redeemed for cash $143.8 million in convertible senior notes at maturity on December 1, 2022. As of ~~March 31,~~September 30, 2023, the total outstanding amount due on convertible senior notes was $131.6 million. The notes ~~are~~were unsecured and ~~pay~~paid interest semiannually at a rate of 6.375% per annum. As of ~~March 31,~~September 30, 2023, these notes had a conversion rate of 50.0894 shares of common stock per $1,000 principal amount of the notes. Subsequent to September 30, 2023, the Company redeemed for cash $131.6 million in convertible senior notes, which matured on October 1, 2023, and none of the notes remained outstanding.

~~As of March 31, 2023, the~~The following convertible senior notes were ~~outstanding:~~outstanding as of September 30, 2023:


(dollars in thousands)	(dollars in thousands)	March 31, 2023									(dollars in thousands)	September 30, 2023
Convertible Senior Notes	Convertible Senior Notes	Principal Balance		Carrying Value		Interest Rate		All-in Cost (1)		Maturity Date	Convertible Senior Notes	Principal Balance		Carrying Value		Interest Rate		All-in Cost (1)		Maturity Date
Convertible Senior Notes Maturing 2023	Convertible Senior Notes Maturing 2023	$	131,600	$	131,131	6.4	%	7.2	%	October 1, 2023	Convertible Senior Notes Maturing 2023	$	131,600	$	131,600	6.4	%	7.2	%	October 1, 2023

(1)In addition to cash coupon, average yield includes the amortization of deferred financing costs.

The following table provides the quarterly average balances, the quarter-end balances and the maximum balances at any month-end within that quarterly period, of borrowings under our repurchase facilities, asset-specific financing facility, secured financing facility, term financing facility, CRE CLOs, senior secured term loan facilities, secured credit facility and convertible senior notes for the three months ended ~~March 31,~~September 30, 2023, and the four immediately preceding quarters:


(in thousands)	(in thousands)	Quarterly Average		End of Period Balance		Maximum Balance of Any Month-End		(in thousands)	Quarterly Average		End of Period Balance		Maximum Balance of Any Month-End
For the Three Months Ended September 30, 2023								For the Three Months Ended September 30, 2023	$	2,269,192	$	2,198,307	$	2,309,239
For the Three Months Ended June 30, 2023								For the Three Months Ended June 30, 2023	$	2,395,784	$	2,349,102	$	2,434,097
For the Three Months Ended March 31, 2023	For the Three Months Ended March 31, 2023	$	2,451,213	$	2,507,932	$	2,507,932	For the Three Months Ended March 31, 2023	$	2,451,213	$	2,507,932	$	2,507,932
For the Three Months Ended December 31, 2022	For the Three Months Ended December 31, 2022	$	2,609,762	$	2,430,146	$	2,739,201	For the Three Months Ended December 31, 2022	$	2,609,762	$	2,430,146	$	2,739,201
For the Three Months Ended September 30, 2022	For the Three Months Ended September 30, 2022	$	2,824,626	$	2,739,202	$	2,892,033	For the Three Months Ended September 30, 2022	$	2,824,626	$	2,739,202	$	2,892,033
For the Three Months Ended June 30, 2022		$	3,017,504	$	3,014,659	$	3,051,406
For the Three Months Ended March 31, 2022		$	2,917,731	$	2,918,429	$	2,951,641

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Financial Covenants

Our financial covenants and guarantees for outstanding borrowings related to our secured financing agreements generally require us to maintain compliance with the following most restrictive covenants across the agreements:


Financial Covenant	Description	Value as of ~~December 31, 2022~~September 30, 2023
Cash Liquidity	Unrestricted cash liquidity of no less than the greater of $30.0 million and 5.0% of recourse indebtedness, which was ~~$23.0~~$19.1 million.	Unrestricted cash of ~~$223.4~~$257.6 million
Tangible Net Worth	Tangible net worth greater than the sum of (i) ~~75.0% of tangible net worth as of June 28, 2017,~~$816.9 million and (ii) 75.0% of net cash proceeds of equity issuances after ~~June 28, 2017, which calculates to $931.7 million.~~August 3, 2023. As the Company has not had any equity issuances after August 3, 2023, tangible net worth must be greater than $816.9 million	Tangible net worth of ~~$1.1~~$1.0 billion
Leverage Ratios	Target asset leverage ratio cannot exceed 77.5% and total leverage ratio cannot exceed 80.0%.	Target asset leverage ratio of ~~71.7%~~69.9%; Total leverage ratio of ~~70.5%~~68.3%
Interest Coverage	Interest coverage ratio of no less than ~~1.5:~~1.3:1.0 through June 30, 2024, thereafter no less than 1.4:1.0	Interest coverage of ~~1.6:~~1.5:1.0

We were in compliance with all financial covenants as of ~~March 31,~~September 30, 2023.

Leverage Ratios

As of ~~March 31,~~September 30, 2023, the total debt-to-equity ratio with respect to our loans held-for-investment was ~~2.5:~~2.2:1.0, and our recourse leverage ratio was ~~1.3:~~1.1:1.0.

The following table represents our recourse leverage ratio and total leverage ratio as of ~~March 31,~~September 30, 2023, and December 31, 2022:

March 31, 2023 December 31, 2022
Recourse leverage ratio (1)
1.3 1.2
Total leverage ratio (2)
2.5 2.3


	September 30, 2023	December 31, 2022
Recourse leverage ratio(1)	1.1	1.2
Total leverage ratio(2)	2.2	2.3

____________________

(1)The debt-to-equity ratio with respect to our loans held-for-investment, defined as recourse debt, net of cash, divided by total equity.

(2)The total debt-to-equity ratio with respect to our loans held-for-investment, defined as total debt, net of cash, divided by total equity.

Floating Rate Portfolio

Our business strategy seeks to minimize our exposure to changes in interest rates by matching benchmark indices on our assets with those on our asset level borrowings. Accordingly, our business model is such that, in general, rising interest rates will increase our net interest income, while declining interest rates will decrease our net interest income, subject to the impact of interest rate floors on our floating rate assets and certain liabilities. As of ~~March 31,~~September 30, 2023, ~~98.6%~~98.4% of our loan investments by ~~carrying value~~principal balance earned a floating rate of interest and were financed with liabilities that pay interest on a floating rate basis, which resulted in an amount of net floating rate exposure, subject to the impact of interest rate floors on certain of our floating rate loan investments, of $0.8 billion. As of ~~March 31,~~September 30, 2023, ~~1.4%~~1.6% of our loan investments by ~~carrying value~~principal balance earned a fixed rate of interest and were financed with liabilities that pay interest on a floating rate basis, which resulted in a negative correlation to rising interest rates on that amount of our financing.

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The following table details our loan portfolio’s net floating rate exposure as of ~~March 31,~~September 30, 2023:


(in thousands)	Net Exposure
Floating rate assets(1)(2)	$	~~3,136,447~~2,903,406
Floating rate liabilities(1)~~(2)~~(3)	~~2,376,801~~2,069,158
Net floating rate exposure	$	~~759,646~~834,248

____________________

(1)~~Floating~~As of September 30, 2023, all of our floating rate assets and liabilities ~~are~~were indexed to ~~LIBOR or~~ SOFR.

(2)Includes loans on nonaccrual status as of September 30, 2023.

(3)Floating rate liabilities include our outstanding repurchase facilities, asset-specific financing facility, secured credit facility and CRE CLOs.

Interest-Earning Assets and Interest-Bearing Liabilities

The following tables present the components of interest income and average annualized net asset yield earned by asset type, the components of interest expense and average annualized cost of funds on borrowings incurred by collateral type and net interest income and average annualized net interest rate spread for the three and nine months ended ~~March 31,~~September 30, 2023, and 2022:


	Three Months Ended September 30, 2023						Nine Months Ended September 30, 2023
(dollars in thousands)	Average Balance		Interest Income/Expense(1)		Net Yield/Cost of Funds		Average Balance		Interest Income/Expense(1)		Net Yield/Cost of Funds
Interest-earning assets(2)
Loans held-for-investment
Senior loans(3)	$	3,040,502	$	63,570	8.4	%	$	3,196,230	$	194,528	12.2	%
Subordinated loans	13,597		278		8.2	%	13,659		828		12.1	%



Total loan interest income/net asset yield	$	3,054,099	$	63,848	8.4	%	$	3,209,889	$	195,356	12.2	%
Other - Interest on cash and cash equivalents			2,839						6,876
Total interest income			$	66,687					$	202,232
Interest-bearing liabilities
Borrowings collateralized by:
Loans held-for-investment
Senior loans(3)(4)(5)	$	2,161,189	$	44,265	8.2	%	$	2,245,722	$	130,089	11.6	%
Subordinated loans	8,163		175		8.6	%	8,202		500		12.2	%


Other:
Convertible senior notes	131,521		2,332		7.1	%	131,290		6,975		10.6	%

Total interest expense/cost of funds	$	2,300,873	46,772		8.1	%	$	2,385,214	137,564		11.5	%
Net interest income/spread			$	19,915	0.30	%			$	64,668	0.7	%

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Three Months Ended March 31, 2023
(dollars in thousands) Average Balance
Interest Income/Expense (1)
Net Yield/Cost of Funds
Interest-earning assets (2)
Loans held-for-investment
Senior loans (3)
$ 3,339,047 $ 65,017 7.8 %
Subordinated loans 13,722 274 8.0 %
Other — 1,428
Total interest income/net asset yield $ 3,352,769 $ 66,719 8.0 %
Interest-bearing liabilities
Borrowings collateralized by:
Loans held-for-investment
Senior loans (3)
$ 2,291,233 $ 41,337 7.2 %
Subordinated loans 8,241 158 7.7 %
Other:
Convertible senior notes 131,060 2,311 7.1 %
Total interest expense/cost of funds $ 2,430,534 43,806 7.2 %
Net interest income/spread $ 22,913 0.8 %


		Three Months Ended March 31, 2022			Three Months Ended September 30, 2022									Nine Months Ended September 30, 2022
(dollars in thousands)	(dollars in thousands)		Average Balance			Interest Income/Expense (1)		Net Yield/Cost of Funds		(dollars in thousands)	Average Balance			Interest Income/Expense(1)		Net Yield/Cost of Funds		Average Balance		Interest Income/Expense(1)			Net Yield/Cost of Funds
Interest-earning assets (2)	Interest-earning assets (2)									Interest-earning assets(2)
Loans held-for-investment	Loans held-for-investment									Loans held-for-investment
Senior loans (3)	Senior loans (3)		$	3,787,743		$	46,939	5.0	%	Senior loans(3)	$	3,709,486		$	51,785	5.6	%	$	3,788,658	$	147,424		5.2	%
Subordinated loans	Subordinated loans		14,808			359		9.7	%	Subordinated loans	14,006			336		9.6	%	14,403		1,051			9.7	%

Other			—			23
Total interest income/net asset yield			$	3,802,551		$	47,321	5.0	%

Total loan interest income/net asset yield										Total loan interest income/net asset yield	$	3,723,492	3723492000	$	52,121	5.6	%	$	3,803,061	$	148,475	148475000	5.2	%
Other - Interest on cash and cash equivalents										Other - Interest on cash and cash equivalents				714						960
Total interest income										Total interest income				$	52,835					$	149,435
Interest-bearing liabilities	Interest-bearing liabilities									Interest-bearing liabilities
Borrowings collateralized by:	Borrowings collateralized by:									Borrowings collateralized by:
Loans held-for-investment	Loans held-for-investment									Loans held-for-investment
Senior loans (3)	Senior loans (3)		$	2,515,619		$	16,328	2.6	%	Senior loans(3)	$	2,543,058		$	29,845	4.7	%	$	2,567,725	$	67,979		3.5	%
Subordinated loans	Subordinated loans		8,387			67		3.2	%	Subordinated loans	8,313			111		5.3	%	8,350		258			4.1	%

Other:	Other:									Other:
Senior secured term loan facilities	Senior secured term loan facilities		273,227			4,546		6.7	%	Senior secured term loan facilities	274,132			4,585		6.7	%	273,676		13,703			6.7	%
Convertible senior notes	Convertible senior notes		109,552			2,868		10.5	%	Convertible senior notes	—			—				48,004		3,754			10.4	%

Total interest expense/cost of funds	Total interest expense/cost of funds		$	2,906,785		23,809		3.3	%	Total interest expense/cost of funds	$	2,825,503		34,541		4.9	%	$	2,897,755	85,694			3.9	%
Net interest income/spread	Net interest income/spread					$	23,512	1.7	%	Net interest income/spread				$	18,294	0.7	%			$	63,741		1.3	%

____________________

(1)Includes amortization of deferred debt issuance costs.

(2)Average balance represents average amortized cost on loans held-for-investment.

(3)Loans primarily secured by a first priority lien on commercial real property and related personal property and also includes, when applicable, any companion subordinate loans.

(4)

~~Table~~Included in collateralized borrowings is the Centennial repurchase facility with an outstanding balance $7.0 million as shown in Note 6 - Secured Financing Agreements, which became collateralized by real estate owned on May 16, 2023. During the three and nine months ended September 30, 2023, the facility had an average balance collateralized by real estate owned of ~~Contents~~$6.9 million and $3.5 million, respectively. During the three and nine months ended September 30, 2023, the facility accrued interest expense of $3.2 million and $3.3 million while collateralized by real estate owned, respectively.

(5)Included in collateralized borrowings is the JPM repurchase facility with an outstanding balance $367.7 million as shown in Note 6 - Secured Financing Agreements, which became partially collateralized by loans held-for-sale on September 30, 2023. As of September 30, 2023, outstanding financings collateralized by loans held-for-sale had an outstanding balance of $14.0 million.

Factors Affecting Our Operating Results

The results of our operations are affected by a number of factors and primarily depend on, among other things, the level of our net interest income, the availability and cost of financing for us, the market value of our assets, the credit performance of our assets and the supply of, and demand for, commercial real estate loans, other commercial real estate debt instruments and other financial assets available for investment in the market and available as a source of refinancing of our assets. Our interest income, which reflects the amortization of origination fees and direct costs, is recognized based on the contractual rate and the outstanding principal balance of the loans we originate. The objective of the interest method is to arrive at periodic interest income that yields a level rate of return over the loan term. Interest rates vary according to the type of loan or security, conditions in the financial markets, credit worthiness of our borrowers, competition and other factors, none of which can be predicted with any certainty. Our operating results may also be impacted by credit losses in excess of initial anticipations or unanticipated credit events experienced by our borrowers. We continue to monitor the effects on each of these factors in light of the significant volatility in global markets, driven by investor concerns over inflation, rising interest rates, slowing economic growth ~~instability in the banking sector following multiple bank failures~~ and geopolitical uncertainty, and how they will affect ~~the results~~our operating results.

Table of ~~our operations.~~Contents

Loan Originations

Our business model is mainly focused on directly originating, investing in and managing senior floating-rate commercial mortgage loans and other debt and debt-like commercial real estate investments. As a result of this strategy, our operating performance is subject to overall market demand for commercial real estate loan products and other debt and debt-like commercial real estate investments. We manage originations and acquisitions of our target investments by diversifying our investment portfolio across geographical regions, local markets, property types, borrower types and loan structures. We do not limit our investments to any number of geographical areas or property types for our originations so that we develop a well-diversified investment portfolio. Additionally, our team has extensive experience originating and acquiring commercial real estate loans and other debt and debt-like commercial real estate investments, through a network of long-standing relationships with borrowers, sponsors and industry brokers. Investor concerns over inflation, rising interest rates, slowing economic growth, ~~instability in the banking sector following multiple bank failures,~~ and geopolitical uncertainty have resulted in significant disruptions and volatility in financial markets, uncertainty about the overall macroeconomic outlook and a dislocation in the commercial real estate sector, including reduced borrower demand, wider credit spreads, higher lending rates, increased capitalization rates on properties and significantly lower transaction volume. This dislocation in capital markets and decline in real estate sale transaction and refinancing activities have negatively impacted, and will likely continue to negatively impact, the volume of loan repayments and prepayments on select property types, which are a significant source of our overall liquidity and could make it more difficult for us to originate new loan investments.

Financing Availability

We are subject to the availability and cost of financing to successfully execute on our business strategy and generate attractive risk-adjusted returns to our stockholders. Much of our financing is in the form of repurchase agreements or other types of credit facilities provided to us by our lender counterparties. We mitigate this counterparty risk by seeking to diversify our lending partners, focusing on establishing borrowing relationships with strong counterparties and continuously monitoring them through a thoughtful approach to counterparty risk oversight. Additionally, as part of our broader risk management strategy, and to the extent available in the market, we finance our business through other means, which may include, but not be limited to, securitizations, note sales and issuance of unsecured debt and equity instruments. We continue to actively explore additional types of funding facilities in order to further diversify our financing sources. Investor concerns over inflation, rising interest rates, slowing economic growth, ~~instability in the banking sector following multiple bank failures,~~ and geopolitical uncertainty have resulted in significant disruptions and volatility in financial markets and uncertainty about the overall macroeconomic outlook. Declines in economic conditions have negatively impacted, and may continue to negatively impact, real estate and real estate capital markets, which could make it more difficult for us to obtain or maintain financing.

We finance pools of our commercial real estate loans through CRE CLOs, retaining subordinate securities in our investment portfolio. Our CRE CLOs are accounted for as financings with the non-retained securitized debt obligations recognized on our condensed consolidated balance sheets.

Credit Risk

We are subject to varying degrees of credit risk in connection with our target investments. The performance and value of our investments depend upon sponsors’ ability to operate the properties that serve as our collateral so that they produce cash flows adequate to pay interest and principal due to us. In addition, we are exposed to the risks generally associated with the commercial real estate market, including variances in occupancy rates, capitalization rates, absorption rates and other macroeconomic factors beyond our ~~control.~~control such as the level of market interest rates. We try to mitigate ~~this risk~~these risks by seeking to originate or acquire assets of higher quality at appropriate rates of return given anticipated and unanticipated losses, by employing a comprehensive review and selection process and by proactively monitoring our investments. Nevertheless, unanticipated credit losses, including as a result of inflation, rising interest rates, capital markets volatility, slowing economic growth ~~instability in the banking sector following multiple bank failures~~ and geopolitical uncertainty, could occur that could adversely impact our operating results.

~~Table of Contents~~

The environmental, social and governance, or ESG, factors associated with our potential collateral and borrowers could also pose credit risks to us. We try to mitigate these risks by incorporating diligence practices into our investment process to identify significant ESG concerns related to a given investment. The nature and scope of our ESG diligence will vary based on the investment but may include a review of, among other things, energy management, pollution and contamination, accounting standards, bribery and corruption.

We employ a long-term, fundamental value-oriented investment strategy and we aim to, on a loan-by-loan basis, construct an investment portfolio that is well-diversified across property types, geographies and sponsors.

Operating Expenses

Our operating expenses, such as compensation costs and expenses related to managing our investment portfolio, may vary over time and are subject to a variety of factors, including overall economic and market environment, competitive market forces driving employee-related costs and other related factors.

Allowance for Credit Losses

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Our operating results are also impacted by the allowance for credit ~~loss~~losses we record for loans held-for-investment using the CECL model pursuant to ASU 2016-13.

Changes in the Fair Value of Our Investments

We intend to hold our target investments for the long-term and, as such, they are carried at an amortized cost on our condensed consolidated balance sheets.

Although we intend to hold our target investments for the long-term, we may occasionally ~~classify some of our~~invest in debt securities and classify them as available-for-sale, or AFS. Investments classified as AFS are carried at their fair value, with changes in fair value recorded through accumulated other comprehensive income, a component of stockholders’ equity, rather than through earnings. We do not intend to hold any of our investments for trading purposes.

Changes in Market Interest Rates

Our primary interest rate exposures relate to the yield on our loans and other investments and the financing cost of our borrowings. Changes in interest rates may affect our net interest income from loans and other investments. Interest rate fluctuations resulting in our interest and related expense exceeding interest and related income would result in operating losses for us. To the extent that our financing costs are determined by reference to floating rates, such as ~~LIBOR,~~ SOFR or a Treasury index, the amount of such costs will depend on the level and movement of interest rates. In response to the inflationary pressures, over the last ~~year~~couple of years the Federal Reserve has ~~approved multiple increases to~~significantly increased its federal funds rate target range and ~~has indicated~~signaled that ~~it anticipates further~~additional increases may be appropriate in the future. Any additional interest ~~rates. Any such~~rate increases could adversely affect our results of operations and financial condition. In a period of rising interest rates, our interest expense on floating rate borrowings would increase, while, in certain circumstances, interest rate floors on our floating rate loan investments could limit the growth of our interest income. Any such scenario could adversely affect our results of operations, interest coverage ratio and financial condition.

Although our strategy is to primarily originate, invest in and manage senior floating-rate commercial mortgage loans, from time-to-time we may acquire or originate fixed-rate investments, which further exposes our operating results to the risks posed by fluctuations in interest rates. To the extent that this applies to us, we may choose to actively manage this risk through the use of hedging strategies.

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Summary of Results of Operations and Financial Condition

Comparison of the Three Months Ended ~~March 31,~~September 30, 2023, and ~~December 31, 2022~~June 30, 2023

Net Interest Income

The following table presents the components of interest income and interest expense for the three months ended ~~March 31,~~September 30, 2023, and ~~December 31, 2022:~~June 30, 2023:


(in thousands)	(in thousands)	Three Months Ended						(in thousands)		Three Months Ended
Income Statement Data:	Income Statement Data:	March 31, 2023		December 31, 2022		Q1’23 vs Q4’22					Income Statement Data:		September 30, 2023		June 30, 2023		Q3’23 vs Q2’23
Interest income:	Interest income:	(unaudited)							Interest income:			(unaudited)
Loans held-for-investment	Loans held-for-investment	$	65,291	$	60,025	$	5,266				Loans held-for-investment		$	63,848	$	66,217	$	(2,369)

Cash and cash equivalents	Cash and cash equivalents	1,428		1,394		34					Cash and cash equivalents		2,839		2,609		230
Total interest income	Total interest income	66,719		61,419		$	5,300				Total interest income		$	66,687	$	68,826	$	(2,139)
Interest expense:	Interest expense:										Interest expense:
Repurchase facilities	Repurchase facilities	19,772		18,966		806					Repurchase facilities		$	21,986	$	22,872	$	(886)
Securitized debt obligations	Securitized debt obligations	18,051		16,639		1,412					Securitized debt obligations		18,414		17,888		526
Convertible senior notes	Convertible senior notes	2,311		3,824		(1,513)					Convertible senior notes		2,332		2,332		—
Term financing facility	Term financing facility	—		—		—					Term financing facility		—		—		—
Asset-specific financings	Asset-specific financings	743		623		120					Asset-specific financings		862		819		43

Secured credit facility	Secured credit facility	2,929		383		2,546					Secured credit facility		3,178		3,075		103
Senior secured term loan facilities	Senior secured term loan facilities	—		—		—					Senior secured term loan facilities		—		—		—

Total interest expense	Total interest expense	43,806		40,435		3,371					Total interest expense		46,772		46,986		(214)
Net interest income	Net interest income	22,913		20,984		1,929					Net interest income		$	19,915	$	21,840	$	(1,925)

The majority of our interest-earning assets and liabilities have floating rates based on an index (e.g., one-month ~~LIBOR/~~SOFR) plus a credit spread. As a result, our asset yields and cost of funds are impacted by changes in benchmark market short-term interest rates and credit spreads on investments and borrowings, as well as changes in the mix of our investment portfolio credit spreads due to new originations, loan amendments, additional fundings, upsizings, repayments and when certain loans are placed on nonaccrual status.

Interest Income

Interest income for the three months ended ~~March 31,~~September 30, 2023, ~~increased~~decreased to $66.7 million from ~~$61.4~~$68.8 million for the three months ended ~~December 31, 2022,~~June 30, 2023, mainly due to ~~an increase in short-term interest rates, partially offset by~~ a lower average balance of our interest-earning assets due to repayments and a higher average balance of nonaccrual ~~loans.~~loans, partially offset by an increase in short-term interest rates.

Interest Expense

Interest expense for the three months ended ~~March 31,~~September 30, 2023, ~~increased~~decreased to ~~$43.8~~$46.8 million from ~~$40.4~~$47.0 million for the three months ended ~~December 31, 2022,~~June 30, 2023, mainly due to a lower average balance of our interest-bearing liabilities, partially offset by an increase in short-term interest ~~rates and a higher average balance on the higher-cost secured credit facility, partially offset by a lower average balance on convertible senior notes.~~rates.

Provision for Credit Losses

The following table presents the components of (provision for) benefit from credit losses for the three months ended ~~March 31,~~September 30, 2023, and ~~December 31, 2022:~~June 30, 2023:


		Three Months Ended March 31,		Three Months Ended December 31,			Three Months Ended September 30,		Three Months Ended June 30,
(in thousands)	(in thousands)	2023		2022		(in thousands)	2023		2023
(Provision for) benefit from credit losses on:	(Provision for) benefit from credit losses on:					(Provision for) benefit from credit losses on:
Loans held-for-investment	Loans held-for-investment	$	(46,116)	$	(15,224)	Loans held-for-investment	$	(31,636)	$	(6,161)

Other liabilities	Other liabilities	(294)		(1,284)		Other liabilities	628		343

Total (provision for) benefit from credit losses	Total (provision for) benefit from credit losses	$	(46,410)	$	(16,508)	Total (provision for) benefit from credit losses	$	(31,008)	$	(5,818)

During the three months ended ~~March 31,~~September 30, 2023, we recorded a provision for credit losses of ~~$46.4~~$(31.0) million as compared to ~~$16.5~~$(5.8) million for the three months ended ~~December 31, 2022.~~June 30, 2023. The increase in the provision for credit losses was primarily driven by recording an increase in the allowance for credit losses for certain collateral-dependent loans during the three months ended ~~March 31,~~September 30, 2023, that were individually assessed in accordance with ASU ~~2016-13. The collateral properties securing these loans have been affected~~2016-13, partially offset by ~~an increasingly uncertain macroeconomic outlook which includes weakening in~~a benefit from credit ~~fundamentals, reduced liquidity~~losses in the ~~capital markets especially for certain property types such as office assets located~~general reserve due to loan repayments, changes in ~~underperforming markets,~~portfolio mix and other factors.

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~~and inflationary expectations resulting~~Revenue from REO Operations

During the three months ended September 30, 2023, we recorded revenue from REO operations of $1.1 million as compared to $0.5 million for the three months ended June 30, 2023. The increase in ~~meaningfully higher interest rates, resulting in slowing~~revenue from REO operations was primarily driven by the three months ended September 30, 2023 being the first full quarter of ~~business plan execution and reduced market liquidity impacting the borrowers’ ability to either sell or refinance their properties.~~REO operations.

Expenses

The following table presents the components of expenses for the three months ended ~~March 31,~~September 30, 2023, and ~~December 31, 2022:~~June 30, 2023:


		Three Months Ended March 31,	Three Months Ended December 31,							Three Months Ended September 30,	Three Months Ended June 30,
(dollars in thousands)	(dollars in thousands)		2023			2022			(dollars in thousands)			2023			2023

Compensation and benefits	Compensation and benefits		$	5,912		$	3,686		Compensation and benefits			$	5,044		$	6,209
Servicing expenses	Servicing expenses		$	1,378		$	1,421		Servicing expenses			$	1,331		$	1,320

Expenses from real estate owned operations									Expenses from real estate owned operations			$	2,233		$	1,664
Other operating expenses	Other operating expenses		$	3,271		$	3,887		Other operating expenses			$	2,358		$	2,180
Annualized total operating expense ratio			4.3		%	4.2		%
Annualized core operating expense ratio (excluding non-cash equity compensation)			3.5		%	4.0		%
Annualized total operating expense ratio, excluding expenses from real estate owned operations									Annualized total operating expense ratio, excluding expenses from real estate owned operations			3.8		%	4.1		%
Annualized core operating expense ratio (excluding non-cash equity compensation and expenses from real estate owned operations)									Annualized core operating expense ratio (excluding non-cash equity compensation and expenses from real estate owned operations)			3.1		%	3.1		%

We incur compensation and benefits expenses, servicing expenses related to the servicing of commercial real estate loans, expenses from REO operations, and other operating expenses. Compensation and benefits for the three months ended ~~March 31,~~September 30, 2023, ~~increased~~decreased primarily due to ~~higher~~lower compensation accruals as compared to the three months ended ~~December 31, 2022.~~June 30, 2023. Servicing expenses for the three months ended ~~March 31,~~September 30, 2023, were relatively ~~stable~~unchanged as compared to the prior quarter. Expenses from real estate owned operations increased due to the three months ended September 30, 2023, being the first full quarter of REO operations, partially offset by one-time closing costs incurred in the three months ended June 30, 2023. Other operating expenses ~~were relatively stable~~increased as compared to the prior ~~quarter.~~quarter mainly due to higher legal fees. Our operating expense ratio during the three months ended ~~March 31,~~September 30, 2023, ~~remained relatively stable~~modestly declined as compared to the three months ended ~~December 31, 2022.~~June 30, 2023.

Comparison of the ~~Three~~Nine Months Ended ~~March 31,~~September 30, 2023, and ~~March 31,~~September 30, 2022

Net Interest Income

The following table presents the components of interest income and interest expense for the ~~three~~nine months ended ~~March 31,~~September 30, 2023, and ~~March 31,~~September 30, 2022:


(in thousands)	(in thousands)	Three Months Ended								(in thousands)			Nine Months Ended
Income Statement Data:	Income Statement Data:			March 31, 2023		March 31, 2022		Q1’23 vs Q1’22				Income Statement Data:			September 30, 2023		September 30, 2022		YTD’23 vs YTD’22
Interest income:	Interest income:		(unaudited)								Interest income:			(unaudited)
Loans held-for-investment	Loans held-for-investment			$	65,291	$	47,298	$	17,993			Loans held-for-investment			$	195,356	$	148,475	$	46,881

Cash and cash equivalents	Cash and cash equivalents			1,428		23		1,405				Cash and cash equivalents			6,876		960		5,916
Total interest income	Total interest income			66,719		47,321		19,398				Total interest income			$	202,232	$	149,435	$	52,797
Interest expense:	Interest expense:							—				Interest expense:							—
Repurchase facilities	Repurchase facilities			19,772		5,008		14,764				Repurchase facilities			$	64,630	$	30,486	$	34,144
Securitized debt obligations	Securitized debt obligations			18,051		9,732		8,319				Securitized debt obligations			54,353		34,992		19,361
Convertible senior notes	Convertible senior notes			2,311		4,546		(2,235)				Convertible senior notes			6,975		13,703		(6,728)
Term financing facility	Term financing facility			—		1,373		(1,373)				Term financing facility			—		1,713		(1,713)
Asset-specific financings	Asset-specific financings			743		282		461				Asset-specific financings			2,424		1,046		1,378

Secured credit facility	Secured credit facility			2,929		—		2,929				Secured credit facility			9,182		—		9,182
Senior secured term loan facilities	Senior secured term loan facilities			—		2,868		(2,868)				Senior secured term loan facilities			—		3,754		(3,754)

Total interest expense	Total interest expense			43,806		23,809		19,997				Total interest expense			137,564		85,694		51,870
Net interest income	Net interest income			22,913		23,512		(599)				Net interest income			$	64,668	$	63,741	$	927

The majority of our interest-earning assets and liabilities have floating rates based on an index (e.g., one-month ~~LIBOR/~~SOFR) plus a credit spread. As a result, our asset yields and cost of funds are impacted by changes in benchmark market interest rates and credit spreads on investments and borrowings, as well as changes in the mix of our investment portfolio credit spreads due to new originations, loan amendments, additional fundings, upsizings and repayments.

~~Interest Income~~

Interest income for the three months ended March 31, 2023, increased to $66.7 million from $47.3 million for the three months ended March 31, 2022, mainly due to an increase in short-term interest rates, partially offset by a lower average balance of our interest-earning assets and higher average balance of nonaccrual loans.

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Interest ~~Expense~~Income

Interest ~~expense~~income for the ~~three~~nine months ended ~~March 31,~~September 30, 2023, increased to ~~$43.8~~$202.2 million from ~~$23.8~~$149.4 million for the ~~three~~nine months ended ~~March 31,~~September 30, 2022, mainly due to an increase in short-term interest rates, partially offset by a lower average balance of our interest-earning assets due to prepayments and a higher average balance onof nonaccrual loans.

Interest Expense

Interest expense for the nine months ended September 30, 2023, increased to $137.6 million from $85.7 million for the nine months ended September 30, 2022, mainly due to an increase in short-term interest rates and the higher-cost secured credit facility, partially offset by a lower average balance on the senior secured term ~~financing~~loan facilities, term financing facility and convertible senior notes.

Provision for Credit Losses

The following table presents the components of (provision for) benefit from credit losses for the ~~three~~nine months ended ~~March 31,~~September 30, 2023, and ~~March 31,~~September 30, 2022:


		Three Months Ended March 31,		Three Months Ended March 31,			Nine Months Ended September 30,		Nine Months Ended September 30,
(in thousands)	(in thousands)	2023		2022		(in thousands)	2023		2022
(Provision for) benefit from credit losses on:	(Provision for) benefit from credit losses on:					(Provision for) benefit from credit losses on:
Loans held-for-investment	Loans held-for-investment	$	(46,116)	$	(3,364)	Loans held-for-investment	$	(83,912)	$	(51,821)

Other liabilities	Other liabilities	(294)		(324)		Other liabilities	676		(1,448)

Recoveries of amounts previously written off						Recoveries of amounts previously written off	—		512
Total (provision for) benefit from credit losses	Total (provision for) benefit from credit losses	$	(46,410)	$	(3,688)	Total (provision for) benefit from credit losses	$	(83,236)	$	(52,757)

During the ~~three~~nine months ended ~~March 31,~~September 30, 2023, we recorded a provision for credit losses of ~~$46.4~~$(83.2) million as compared to ~~$3.7~~$(52.8) million during the ~~three~~nine months ended ~~March 31,~~September 30, 2022. The increase in the provision for credit losses was primarily driven by recording an increase in the allowance for certain collateral-dependent loans during the ~~three~~nine months ended ~~March 31,~~September 30, 2023, that were individually assessed in accordance with ASU 2016-13. The collateral properties securing these loans have been ~~affected~~significantly impacted by an increasingly uncertain macroeconomic outlook which includes weakening in credit ~~fundamentals,~~fundamentals; global market volatility; reduced liquidity in the capital markets, especially for certain property types, such as office assets located in underperforming ~~markets,~~markets; and inflationary expectations resulting in meaningfully higher interest ~~rates, resulting~~rates. These macroeconomic factors, along with uncertainty derived from the geopolitical environment, have resulted in slowing of business plan execution and reduced market liquidity, thereby impacting the borrowers’ ability to either sell or refinance their ~~properties.~~properties to repay the Company’s loans.

Gain (Loss) on Extinguishment of Debt

Gains on extinguishment of debt for the ~~three~~nine months ended ~~March 31,~~September 30, 2023, were $0.2 million mainly due to the redemption of the GPMT 2019-FL2 CRE CLO, partially offset by the termination of the Wells Fargo repurchase facility, compared to losses on extinguishment of debt for the ~~three~~nine months ended ~~March 31,~~September 30, 2022 of ~~$5.8~~$(18.8) million comprised of the prepayment penalty and a pro-rata charge-off of unamortized discount including transaction costs related to the term financing facility and senior secured term loan facilities.

~~Expenses~~Revenue from REO Operations

~~The following table presents~~During the ~~components of expenses for the three~~nine months ended ~~March 31,~~September 30, 2023, ~~and March 31, 2022:~~
Three Months Ended
March 31, Three Months Ended March 31,
(dollars in thousands) 2023 2022
Compensation and benefits $ 5,912 $ 5,816
Servicing expenses $ 1,378 $ 1,461
Other operating expenses $ 3,271 $ 2,614
Annualized total operating expense ratio 4.3 % 3.7 %
Annualized core operating expense ratio (excluding non-cash equity compensation) 3.5 % 2.9 %

~~We incur compensation and benefits expenses, servicing expenses related to~~we recorded revenue from REO operations of $1.5 million. No revenue from REO operations was generated during the ~~servicing of commercial real estate loans and other operating expenses. Compensation and benefits for the three~~nine months ended ~~March 31, 2023, were relatively stable as compared to the three months ended March 31,~~September 30, 2022. Servicing expenses for the three months ended March 31, 2023, were relatively stable as compared to the three months ended March 31, 2022. Other operating expenses increased as compared to the three months ended March 31, 2022, mainly due to higher legal and advisory expenses. Our operating expense ratio during the three months ended March 31, 2023, increased as compared to the three months ended March 31, 2022, mainly due to higher other operating expenses and lower average equity.

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Expenses

The following table presents the components of expenses for the nine months ended September 30, 2023, and September 30, 2022:


	Nine Months Ended September 30,	Nine Months Ended September 30,
(dollars in thousands)		2023			2022

Compensation and benefits		$	17,165		$	16,539
Servicing expenses		$	4,029		$	4,297







Expenses from real estate owned operations		$	3,897		$	—
Other operating expenses		$	7,809		$	6,867
Annualized total operating expense ratio, excluding expenses from real estate owned operations		4.1		%	3.4		%
Annualized core operating expense ratio (excluding non-cash equity compensation and expenses from real estate owned operations)		3.3		%	2.6		%

We incur compensation and benefits expenses, servicing expenses related to the servicing of commercial real estate loans, expenses from REO operations and other operating expenses. Compensation and benefits increased during the nine months ended September 30, 2023, mainly due to higher compensation accruals as compared to the nine months ended September 30, 2022. Servicing expenses for the nine months ended September 30, 2023, modestly declined as compared to the nine months ended September 30, 2022. Expenses from real estate owned operations increased during the nine months ended September 30, 2023, due to the acquisition of REO. Other operating expenses increased as compared to the nine months ended September 30, 2022, mainly due to higher legal and advisory expenses. Our operating expense ratio during the nine months ended September 30, 2023, increased as compared to the nine months ended September 30, 2022, mainly due to higher other operating expenses and lower average equity.

Liquidity and Capital Resources

Capitalization

To date we have capitalized our business primarily through the issuance and sale of shares of our common and preferred stock, borrowings under our senior secured term loan facilities, secured financing facilities, issuance of CRE CLOs and the issuance and sale of convertible notes. As of ~~March 31,~~September 30, 2023, our capitalization included $0.1 billion of corporate debt and ~~$2.4~~$2.1 billion of loan-level financing. Our loan-level financing as of ~~March 31,~~September 30, 2023, is generally term-matched or matures in ~~2023~~2024 or later, and includes ~~$1.2~~$0.9 billion of secured repurchase agreements, $1.0 billion of CRE CLO securitizations, which are term-matched to the underlying assets, non-recourse and non-mark-to-market, $45.8 million of asset-specific financing facility and a $100.0 million secured credit facility.

See Note 45 – Variable Interest Entities and Securitized Debt Obligations, Note 56 – Secured Financing Agreements and Note 67 – Convertible Senior Notes to our Condensed Consolidated Financial Statements included in this Quarterly Report on Form 10-Q for additional details regarding our securitized debt ~~obligations;~~obligations, our secured financing ~~facilities;~~facilities, and our ~~secured~~ convertible senior notes, respectively.

Leverage

From ~~December 31, 2022,~~June 30, 2023, to ~~March 31,~~September 30, 2023, our debt-to-equity ratio, defined as total debt, net of cash, divided by total equity, ~~increased~~decreased from 2.3:1.0 to ~~2.5:~~2.2:1.0, mainly driven by ~~the~~a reduction in outstanding debt, partially offset by a reduction in total equity. As part of our investment strategy, we plan to finance our target assets with a moderate amount of leverage, the level of which may vary based upon the particular characteristics of our portfolio and market conditions. To that end, subject to maintaining our qualification as a REIT and our exclusion from registration under the Investment Company Act, we intend to use borrowings to fund the origination or acquisition of our target investments. Given our focus on senior floating-rate mortgage loans, we currently expect that such leverage will be, on a total debt-to-equity ratio basis, within a range of 3.0:1.0 and 3.5:1.0; however, our leverage may vary and differ from our expectations depending on market conditions and any steps we may take to strengthen our balance sheet and enhance our liquidity position. The amount of leverage we deploy for our target investments depends upon our assessment of a variety of factors, which may include the anticipated liquidity and any changes in value of the investments in our portfolio, the potential for losses in our portfolio, the gap between the maturities of our assets and liabilities, the availability and cost of financing our investments, our opinion of the creditworthiness of our financing counterparties, the health of the U.S. economy and commercial real estate financing markets, our outlook for the level and volatility of interest rates, the slope of the yield curve, the credit quality of our investments, the collateral underlying our investments and our outlook for investment credit spreads relative to ~~LIBOR and/or~~ SOFR.

Sources of Liquidity

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Our primary sources of liquidity include cash and cash equivalents on our condensed consolidated balance sheets, any approved but unused borrowing capacity under our financing facilities, the net proceeds of future public and private equity and debt offerings, payments of principal, including loan repayments and prepayments, loan sales, interest we receive on our portfolio of assets and cash generated from our operating results.

The following table sets forth our immediately available sources of liquidity as of ~~March 31,~~September 30, 2023:



(in thousands)	~~March 31,~~September 30, 2023
Cash and cash equivalents	$	~~223,432~~257,592
Approved but unused borrowing capacity on financing facilities	—

Total	$	~~223,432~~257,592

We have access to liquidity through public offerings of debt and equity securities, subject to market conditions. To facilitate such offerings, in August 2021, we filed a shelf registration statement with the SEC that is effective for a term of three years and expires in August 2024. The amount of securities to be issued pursuant to this shelf registration statement was not specified when it was filed and there is no specific dollar limit on the amount of securities we may issue. The securities covered by this registration statement include: (i) common stock, (ii) preferred stock, (iii) depositary shares representing preferred stock and (iv) debt securities. The specifics of any future offerings, along with the use of proceeds of any securities offered, will be described in detail in a prospectus supplement, or other offering materials, at the time of any offering.

We may also access liquidity through our at-the-market stock offering program, pursuant to which we may sell, from time to time, up to 4,757,636 additional shares of our common stock as of ~~March 31,~~September 30, 2023. See Note 12 – Stockholders’ Equity, to our Condensed Consolidated Financial Statements included in this Quarterly Report on Form 10-Q for ~~additional details.~~further detail.

Although we generally intend to hold our target investments as long-term investments, we have opportunistically sold, and may again in the future sell, certain of our assets in order to manage our liquidity needs, to meet other operating objectives and to adapt to market conditions. We cannot predict the timing and impact of future sales of our assets, if any. Since many of our assets are financed with secured financing facilities and/or CRE CLOs, a significant portion of the proceeds from sales of our assets, prepayments and scheduled amortization would be used to repay balances under these financing arrangements.

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We remain focused on actively managing our balance sheet and enhancing our liquidity position to best position us for the market environment, satisfy our loan future funding and financing obligations and to make new investments, which we expect will cause us to take, and in some instances has already caused us to take, some or all of the following actions: raise capital from offerings of equity and/or debt securities, on a public or private basis; borrow additional capital; post additional collateral; sell assets; and/or change our dividend policy, which we will continue to evaluate in respect of future quarters based upon customary considerations, including market conditions and distribution requirements to maintain our REIT status. At any given time and from time to time we may be evaluating or pursuing one or more transactions, including, but not limited to, loan sales, capital markets activities and other sources of funding, to improve our liquidity or to refinance our debt or may otherwise seek transactions to reduce our interest expense or leverage and extend our debt maturities, which transactions, depending on market conditions and other factors, could result in actual losses and/or otherwise negatively impact our results of operations in one or more periods.

Liquidity Needs

In addition to our loan origination activities and general operating expenses, our primary liquidity needs include interest and principal payments under our ~~$2.5~~$2.1 billion of outstanding borrowings under our repurchase facilities, collateralized loan obligations, asset-specific financing facility, and secured credit ~~facility and convertible senior notes; $204.5~~facility; $142.1 million of unfunded loan commitments; and dividend distributions to our preferred and common stockholders.

Financing Availability

We are subject to the availability and cost of financing to successfully execute on our business strategy and generate attractive risk-adjusted returns to our stockholders. Much of our financing is in the form of repurchase facilities or other types of credit facilities provided to us by our lender counterparties. We mitigate this counterparty risk by seeking to diversify our lending partners, focusing on establishing borrowing relationships with strong counterparties and continuously monitoring them through a thoughtful approach to counterparty risk oversight. Additionally, as part of our broader risk management strategy, and to the extent available in the market, we finance our business through other means which may include, but not be limited to, CRE CLOs, note sales and the issuance of unsecured debt and equity instruments. We continue to actively explore additional types of funding facilities in order to further diversify our financing sources. Investor concerns over inflation, rising interest rates, slowing economic growth ~~instability in the banking sector following multiple bank failures~~ and geopolitical uncertainty have resulted in significant disruptions in financial markets and uncertainty about the overall macroeconomic outlook. Declines in economic conditions have negatively impacted, and may continue to negatively impact, real estate fundamentals and real estate capital markets, which could make it more difficult for us to obtain or maintain financing.

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The following table provides the maturities of our repurchase facilities, asset-specific financing facility, secured credit facility, securitized debt obligations, and convertible senior notes, net of deferred debt issuance costs, as of ~~March 31,~~September 30, 2023, and December 31, 2022:


(in thousands)	(in thousands)	March 31, 2023		December 31, 2022		(in thousands)	September 30, 2023		December 31, 2022
Within one year	Within one year	1,261,329		$	1,338,194	Within one year	1,316,446		$	1,338,194
One to three years	One to three years	1,246,603		1,091,952		One to three years	881,861		1,091,952
Three to five years	Three to five years	—		—		Three to five years	—		—
Five years and over	Five years and over	—		—		Five years and over	—		—
Total	Total	$	2,507,932	$	2,430,146	Total	$	2,198,307	$	2,430,146

Cash Flows

For the ~~three~~nine months ended ~~March 31,~~September 30, 2023, our restricted and unrestricted cash and cash equivalents balance increased approximately ~~$86.6~~$143.4 million, to ~~$226.8~~$283.5 million. The cash movements can be summarized by the following:

•Cash flows from operating activities. For the ~~three~~nine months ended ~~March 31,~~September 30, 2023, operating activities increased our cash balances by approximately ~~$10.5~~$42.4 million, primarily driven by net income after removing non-cash provision, and equity compensation.

•Cash flows from investing activities. For the ~~three~~nine months ended ~~March 31,~~September 30, 2023, investing activities increased our cash balances by approximately ~~$19.5~~$388.0 million, primarily driven by repayments of loans held-for-investment.

•Cash flows from financing activities. For the ~~three~~nine months ended ~~March 31,~~September 30, 2023, financing activities ~~increased~~decreased our cash balances by approximately ~~$56.6~~$287.0 million, primarily driven by the refinance of the collateral loans held in the GPMT 2019-FL2 CRE CLO, partially offset by principal payments on repurchase agreements, ~~and~~ the redemption of the GPMT 2019-FL2 CRE ~~CLO.~~CLO, and the redemption of the 10% cumulative preferred stock.

Dividends

We generally intend to distribute substantially all of our taxable income each year (which does not necessarily equal net income as calculated in accordance with GAAP) to our stockholders to comply with the REIT provisions of the Code. In

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addition, our dividend policy remains subject to revision at the discretion of our board of directors. All distributions will be made at the discretion of our board of directors and will depend upon, among other things, our actual results of operations and liquidity. These results, and our ability to pay distributions, will be affected by various factors, including our taxable income, our financial condition, our maintenance of REIT status, restrictions related to our financing facilities, applicable law and other factors as our board of directors deems relevant.

Inflation

Virtually all of our assets and liabilities are interest rate sensitive in nature. As a result, interest rates and other factors typically influence our performance more than inflation does. However, changes in interest rates may correlate with inflation rates or changes in inflation rates. In response to the inflationary pressures, over the last ~~year~~couple of years the Federal Reserve has approved multiple increases to its federal funds rate target ~~range and has indicated that it anticipates further increases in interest rates.~~range. Our condensed consolidated financial statements are prepared in accordance with GAAP and our distributions will be determined by our board of directors consistent with our obligation to distribute to our stockholders at least 90% of our REIT taxable income on an annual basis in order to maintain our REIT qualification; in each case, our activities and balance sheet are measured with reference to historical cost and/or fair market value without considering inflation.

Item 3. Quantitative and Qualitative Disclosures about Market Risk

We seek to manage our risks related to the credit quality of our investments, interest rates, liquidity and market value while, at the same time, seeking to generate attractive risk-adjusted returns to our stockholders. While we are exposed to certain types of market risk in our business, we seek to actively manage them using our risk management infrastructure and philosophy centered around quantifying and measuring various market risks on a continuous basis. We seek to be fairly compensated through the returns we earn on our investments for taking those risks and focus on maintaining liquidity and capital levels consistent with the risks to which we are exposed. However, many of those risks have been magnified by the continuing economic disruption and capital markets volatility resulting from inflation, rising interest rates, slowing economic growth ~~instability in the banking sector following multiple bank failures~~ and geopolitical uncertainty.

Recent Market Conditions

Due to the macroeconomic challenges driven by inflation, rising interest rates, slowing economic growth ~~instability in the banking sector following multiple bank failures~~ and geopolitical uncertainty, most of our borrowers, sponsors, their tenants, the properties serving as collateral for our loan investments and the

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economy as a whole have been, and will likely continue to be, adversely affected. See “Macroeconomic Environment” in Part I, Item 2 of this Quarterly Report on Form 10-Q for further discussion of current market conditions.

Credit Risk

We are subject to varying degrees of credit risk in connection with holding a portfolio of our target investments. The performance and value of our investments depend upon the sponsors’ ability to operate the properties that serve as our collateral so that they produce cash flows adequate to pay interest and principal due to us. We seek to manage credit risk by performing deep fundamental credit analysis of our potential investments, as well as seeking to originate or acquire assets of higher quality at appropriate rates of return given anticipated and unanticipated losses, by employing a comprehensive review and selection process and by proactively monitoring our investments. Credit risk is also addressed through our ongoing review, and our investment portfolio is monitored for variance from underwritten and expected results on a monthly basis, with more intense analysis and oversight done on a quarterly basis. Nevertheless, unanticipated credit losses, including as a result of inflation, rising interest rates, slowing economic growth ~~instability in the banking sector following multiple bank failures~~ and geopolitical uncertainty, could occur and could adversely impact our operating results.

We maintain an active dialogue and strong relationships with our borrowers as part of our overall asset management strategy to maximize the performance of our portfolio, including during periods of volatility. While we generally believe that the principal amount of our loans is typically sufficiently protected by the underlying collateral value, there is a risk that we will not realize the entire principal amount of certain of our loan investments.

Interest Rate Risk

Our primary strategy is to ~~primarily~~ originate, invest in and manage a portfolio of senior floating-rate commercial mortgage loans. As a result, the composition of our investments in general is such that rising interest rates increase our net income, while declining interest rates will decrease our net income, subject to the impact of contractual interest rate floors. From time to time, we may originate or acquire fixed-rate investments, which may expose our operating results to the risks posed by fluctuations in interest rates, which we may choose to hedge, if we deem it prudent.

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In response to ~~the~~ inflationary pressures, over the last ~~year~~couple of years the Federal Reserve has approved multiple increases to its federal funds rate target ~~range and has indicated that it anticipates further increases in interest rates.~~range. Such increases in interest rates have increased, and may continue to increase, our interest expense, which may not be fully offset by any increases in interest income, and may also slow the pace of loan repayments and increase the number of our borrowers who seek extension of term on their loans. The ultimate impact of higher market interest rates on the economy, real estate fundamentals in general and our business is uncertain and difficult to predict.

As of ~~March 31,~~September 30, 2023, approximately ~~98.6%~~98.4% of our portfolio by ~~carrying value~~principal balance earned a floating rate of interest. The remaining approximately ~~1.4%~~1.6% of our portfolio earned a fixed rate of interest. If interest rates were to decline, the value of these fixed-rate investments may increase, and if interest rates were to increase, the value of these fixed-rate investments may fall; however, the interest income generated by these investments would not be affected by fluctuations in market interest rates. The interest rates we pay under our current secured financing facilities and CRE CLOs are primarily floating rate, which generally, and with limited exceptions, are not subject to contractual interest rate floors. Accordingly, our interest expense generally increases as interest rates increase and decreases as interest rates decrease.

Our analysis of risks is based on our experience, estimates and assumptions. Actual economic conditions or our implementation of decisions may produce results that differ significantly from the estimates and assumptions used in our analyses.

The information presented in the following interest rate sensitivity table projects the potential impact of sudden parallel changes in interest rates on our financial results and financial condition over the next 12 months, based on our interest sensitive financial instruments at ~~March 31,~~September 30, 2023. All changes in value are measured as the change from our ~~March 31,~~September 30, 2023, financial position. All projected changes in annualized net interest income are measured as the change from our projected annualized net interest income based off current performance returns. Actual results of changes in annualized net interest income may differ from the information presented in the sensitivity table below due to differences between the dates of actual interest rate resets in our loan investments and our floating rate interest-bearing liabilities, and the dates as of which the analysis was performed.

Changes in Interest Rates
(in thousands) -100 bps -50 bps +50 bps +100 bps
Change in value of financial position:
Loans held-for-investment $ 1,219 $ 610 $ (654) $ (1,307)
Repurchase facilities (497) (248) 248 497
Securitized debt obligations (434) (217) 217 434
Asset-specific financings (19) (10) 10 19
Secured financing facility (42) (21) 21 42
Convertible senior notes (497) (248) 247 493
Total net assets $ (270) $ (134) $ 89 $ 178
-100 bps -50 bps +50 bps +100 bps
Change in annualized net interest income: $ (5,896) $ (2,969) $ 2,969 $ 5,938

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	Changes in Interest Rates
(in thousands)	-100 bps		-50 bps		+50 bps		+100 bps
Change in value of financial position:
Loans held-for-investment	$	1,075	$	537	$	(567)	$	(1,134)


Repurchase facilities	(384)		(192)		192		384
Securitized debt obligations	(418)		(209)		209		418
Asset-specific financings	(19)		(10)		10		19

Secured financing facility	(42)		(21)		21		42
Total net assets	$	212	$	105	$	(135)	$	(271)

	-100 bps		-50 bps		+50 bps		+100 bps
Change in annualized net interest income:	$	(5,641)	$	(2,821)	$	2,821	$	5,641

The interest rate sensitivity table quantifies the potential changes in annualized net interest income and portfolio value, should interest rates immediately change. The interest rate sensitivity table presents the estimated impact of interest rates instantaneously rising 50 and 100 basis points, and falling 50 and 100 basis points. The cash flows associated with the portfolio for each rate change are calculated based on assumptions with respect to interest rates and size of the portfolio. Assumptions made on the interest rate sensitive liabilities include anticipated interest rates, collateral requirements as a percentage of borrowings and amount and term of borrowing.

Certain assumptions have been made in connection with the calculation of the information set forth in the foregoing interest rate sensitivity table and, as such, there can be no assurance that assumed events will occur or that other events will not occur that would affect the outcomes. The base interest rate scenario assumes interest rates at ~~March 31,~~September 30, 2023. The analysis utilizes assumptions and estimates based on management’s judgment and experience. Furthermore, while we generally expect to retain such assets and the associated interest rate risk to maturity, future originations, acquisitions and sales of assets could materially change our interest rate risk profile.

The information set forth in the interest rate sensitivity table above and all related disclosures constitutes forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Exchange Act. Actual results could differ significantly from those estimated in the foregoing interest rate sensitivity table.

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Market Value Risk

We intend to hold our target investments for the long-term and, as such, they are carried at an amortized cost on our condensed consolidated balance sheets. However, we may occasionally classify some of our investments as AFS. Investments classified as AFS are carried at their fair value, with changes in fair value recorded through accumulated other comprehensive income, a component of stockholders’ equity, rather than through earnings. The estimated fair value of such investments may fluctuate primarily due to changes in interest rates, overall market environment and liquidity and other factors. As market volatility increases or liquidity decreases, the market value of the investments may be adversely impacted. We do not intend to hold any of our investments for trading purposes.

Borrower Performance

In addition to the risks related to fluctuations in cash flows and investment values associated with movements in interest rates, there is also the risk of borrower non-performance on our floating-rate investments. If interest rates were to significantly rise, it is possible that the increased debt service costs may negatively impact operating cash flows on properties securing our commercial real estate loan investments, resulting in potential non-performance of our borrowers or, in severe cases, default. This risk is partially mitigated by various factors we consider during our rigorous underwriting and loan structuring process, which in certain cases include a requirement for our borrower to purchase an interest rate cap contract.

Capital Markets Risk

As a REIT, we are required to distribute a significant portion of our taxable income annually, which constrains our ability to accumulate significant operating cash flow and therefore requires us to utilize capital markets, both debt and equity, to finance our business. As a result, we are exposed to risks related to the equity capital markets and our related ability to raise capital through the issuance of our common stock or other equity instruments. We are also exposed to risks related to the debt capital markets, and our related ability to finance our business through borrowings under credit facilities or other debt instruments, such as securitizations or unsecured debt. We seek to mitigate these risks by monitoring the debt and equity capital markets to inform our decisions on the amount, timing and terms of capital we raise.

Various factors, such as rising interest rates, high inflation, supply chain disruptions, ~~bank failures,~~ growing geopolitical tensions and increased volatility in public equity and fixed income markets have led to increased cost and decreased availability of capital,

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which may adversely impact the ability of commercial property owners to service their debt obligations and refinance their loans as they mature and/or our ability to access capital markets.

Real Estate Risk

Our business strategy focuses on commercial real estate related debt investments. As a result, we will be exposed to the risks generally associated with the commercial real estate market, including occupancy rates, capitalization rates, absorption rates and other macroeconomic factors beyond our control.

Additionally, commercial real estate debt investments may be affected by a number of factors, including international, national, regional and local economic and real estate conditions, changes in business trends of specific industry segments, property construction characteristics, demographic factors and changes to laws and regulations, including additional restrictions or requirements on the development of commercial real estate intended to reduce greenhouse gas emissions and climate change. Any combination of these factors may affect the value of real estate collateral for investments within our investment portfolio and the potential proceeds available to a borrower to repay the underlying loans, which could cause us to suffer losses. We seek to manage these risks through our rigorous and fundamentally driven underwriting and investment management processes.

Liquidity Risk

Our liquidity risk is principally associated with our financing of longer-maturity investments with shorter-term borrowings, such as repurchase facilities. Should the value of our investments serving as collateral for our repurchase facilities significantly decrease, our lenders may exercise their margin call rights, causing an adverse change in our liquidity position. If we fail to resolve such margin calls when due, the lenders may exercise their rights under such repurchase facilities, including requiring payment by us of our aggregate outstanding financing obligations and/or taking ownership of the loans securing such obligations, potentially on an unfinanced basis, thereby reducing our available liquidity. Additionally, if one or more of our financing counterparties should choose not to provide ongoing funding, including with respect to future funding obligations on existing loans financed with such counterparties, our ability to finance our investments and related future funding obligations would possibly decline or exist at ~~possibly~~ less advantageous terms.

Extension Risk

We manage our assets based on a variety of assumptions and estimates, including among others, assumptions regarding the rate at which the borrowers will prepay our loans or extend. If prepayment rates decrease in a rising interest rate environment or extension options are exercised, the life of our loan investments could extend beyond the term of the secured financing agreements. The current macroeconomic, commercial real estate and capital markets disruptions have resulted in, and will likely continue to result in, a decrease in prepayment rates and an increase in the number of our borrowers who exercise loan extension options. In addition, higher interest rates imposed by the Federal Reserve to address ~~the high rate of inflation~~inflationary pressures have led to, and may continue to lead to, a decrease in prepayment speeds and an increase in the number of our borrowers who exercise

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loan extension options. This could have a negative impact on our results of operations. In some situations, we may be forced to sell assets to maintain adequate liquidity, which could cause us to incur losses.

As part of our overall asset management strategy, we have in the past entered into, and may in the future enter into, loan modifications with some of our borrowers. These amendments may include, among other things, modifying or waiving certain performance or extension conditions as part of the overall agreement, which are often coupled with additional equity or other forms of credit support from the sponsor. We work closely with our lending counterparties when negotiating and entering into loan modifications with our borrowers to ensure we maintain financing on modified assets. There can be no assurance that going forward we will be able to maintain financing on modified loans.

Risk Management

To the extent consistent with maintaining our REIT qualification, we seek to manage risk exposure by closely monitoring our portfolio and actively managing the financing, interest rate, credit and other risks associated with holding a portfolio of our target investments. Generally, we:

•manage our portfolio with focus on diligent, investment-specific market review, enforcement of loan and security rights and timely execution of disposition strategies;

•actively employ portfolio-wide and investment-specific risk measurement and management processes in our daily operations, including utilizing risk management tools; and

•seek to manage credit risk through our rigorous underwriting due diligence process prior to origination or acquisition of our target investments, and through the use of nonrecourse financing when and where available and appropriate.

Item 4. Controls and Procedures

A review and evaluation was performed by our management, including our Chief Executive Officer, or CEO, and Chief Financial Officer, or CFO, of the effectiveness of our disclosure controls and procedures (as such term is defined in Rule 13a-15(e) and 15d-15(e) under the Exchange Act) as of the end of the period covered by this Quarterly Report on Form 10-Q. Based on that review and evaluation, the CEO and CFO have concluded that our current disclosure controls and procedures, as designed and implemented, were effective as of the end of the period covered by this Quarterly Report on Form 10-Q. Although

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our CEO and CFO have determined our disclosure controls and procedures were effective at the end of the period covered by this Quarterly Report on Form 10-Q, a control system, no matter how well designed and operated, can provide only reasonable, not absolute, assurance that it will detect or uncover failures within the Company to disclose material information otherwise required to be set forth in the reports we submit under the Exchange Act.

There was no change in our internal control over financial reporting that occurred during the quarter ended ~~March 31,~~September 30, 2023, that has materially affected, or is reasonably likely to materially affect, our internal control over financial reporting.

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PART II. OTHER INFORMATION

Item 1. Legal Proceedings

From time to time we may be involved in various legal claims and/or administrative proceedings that arise in the ordinary course of our business. As of the date of this filing, we are not party to any litigation or other legal proceedings or, to the best of our knowledge, any threatened litigation or legal proceedings, which, in our opinion, individually or in the aggregate would have a material adverse effect on our results of operations or financial condition.

Item 1A. Risk Factors

For information regarding factors that could affect our results of operations, financial condition and liquidity, see the risk factors discussed in Part I, Item 1A. “Risk Factors” in our Annual Report on Form 10-K for the year ended December 31, 2022.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

~~Issuer Purchases of Equity Securities~~

~~The following table summarizes the repurchase of common stock for the three months ended March 31, 2023:~~

Period Total number of shares purchased Average price paid per share Total number of shares purchased as part of publicly announced plans or programs
Maximum number (or approximate dollar value) of shares that may yet be purchased under the plans or programs (1)
January 1-31, 2023
36,916 (2)
$ 6.40 — 1,159,254
February 1-28, 2023 — — — 1,159,254
March 1-31, 2023 1,001,338 5.08 1,001,338 157,916
Total 1,038,254 $ 5.13 1,001,338 157,916

~~____________________~~

~~(1)~~On December 16, 2021, the Company announced that its board of directors increased the Company’s share repurchase program to allow for the repurchase of up to an aggregate of 4,000,000 shares of the Company’s common stock.

~~(2)~~Reflects 36,916 shares of restricted stock for an aggregate cost of $0.2 million, which relates to shares repurchased from employees for tax withholding purposes for restricted stock awards that vested on January 29, 2023.None.

Item 3. Defaults Upon Senior Securities

None.

Item 4. Mine Safety Disclosures

None.

Item 5. Other Information

~~None.~~During the three months ended September 30, 2023, no director or officer of the Company adopted or terminated a “Rule 10b5-1 trading arrangement” or “non-Rule 10b5-1 trading arrangement”, as each term is defined in Item 408(a) of Regulation S-K.

Item 6. Exhibits

(a) Exhibits

A list of exhibits to this Quarterly Report on Form 10-Q is set forth below.

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Exhibit Number						Exhibit Index
3.1						Articles of Amendment and Restatement of Granite Point Mortgage Trust Inc.’s Charter (incorporated by reference to Exhibit 3.1 of Amendment No. 3 to the registrant’s Registration Statement on Form S-11 (File No. 333-218197) filed with the SEC on June 20, 2017).
3.2						Amended and Restated Bylaws of Granite Point Mortgage Trust Inc. (incorporated by reference to Exhibit 3.2 of Amendment No. 1 to the registrant’s Registration Statement on Form S-11 (File No. 333-218197) filed with the SEC on June 15, 2017).
3.3						Articles Supplementary for Cumulative Redeemable Preferred Stock of Granite Point Mortgage Trust Inc. (incorporated by reference to Exhibit 3.3 of Amendment No. 3 to the registrant’s Registration Statement on Form S-11 (File No. 333-218197) filed with the SEC on June 20, 2017).
3.4						Articles Supplementary to Articles of Amendment and Restatement of Granite Point Mortgage Trust Inc. designating the shares of 7.00% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (incorporated by reference to Exhibit 3.4 to the registrant’s Registration Statement on Form 8-A filed with the SEC on November 30, 2021).
3.5						Articles Supplementary designating 7.00% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (incorporated by reference to Exhibit 3.2 to the registrant’s Current Report on Form 8-K filed with the SEC on January 25, 2022).
4.1						Specimen Common Stock Certificate of Granite Point Mortgage Trust Inc. (incorporated by reference to Exhibit 4.1 of Amendment No. 1 to the registrant’s Registration Statement on Form S-11 (File No. 333-218197) filed with the SEC on June 15, 2017).


4.2						Indenture, dated as of October 12, 2018, between Granite Point Mortgage Trust Inc. and Wells Fargo Bank, National Association (incorporated by reference to Exhibit 4.1 to the registrant’s Current Report on Form 8-K filed with the SEC on October 12, 2018).
4.3						Supplemental Indenture, dated as of October 12, 2018, between Granite Point Mortgage Trust Inc. and Wells Fargo Bank, National Association (incorporated by reference to Exhibit 4.2 to the registrant’s Current Report on Form 8-K filed with the SEC on October 12, 2018).


4.4						Specimen 7.00% Series A Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock Certificate (incorporated by reference to Exhibit 4.1 to the registrant’s Current Report on Form 8-K filed with the SEC on January 25, 2022).










10.1*						Amendment No. 910 to Master Repurchase Agreement and Amendment No. 46 to Fee and Pricing Letter, dated as of ~~March 16,~~July 28, 2023, by and between GP Commercial JPM LLC and JPMorgan Chase Bank, National Association, and acknowledged and agreed by Granite Point Mortgage Trust Inc. (incorporated by reference to Exhibit 10.1 ~~to the registrant~~’s ~~Current Report on Form 8-K filed with the SEC on March 20, 2023).~~
10.2*						Eighth Amendment to Master Repurchase and Securities Contract Agreement and Other Transaction Documents, dated as of March 17, 2023, by and between GP Commercial GS LLC and Goldman Sachs Bank USA, and acknowledged and agreed to by Granite Point Mortgage Trust Inc.~~(incorporated by reference to Exhibit 10.~~2 to the registrant’s Current Report on Form 8-K filed with the SEC on ~~March 20,~~August 2, 2023).
10.2						Fourth Amendment to Guaranty, dated as of August 3, 2023, by and between Morgan Stanley Bank, N.A. and Granite Point Mortgage Trust Inc. and acknowledged and agreed to by GP Commercial MS LLC.(incorporated by reference to Exhibit 10.1 to the registrant’s Current Report on Form 8-K filed with the SEC on August 4, 2023).
10.3						Fourth Amendment to Amended and Restated Guaranty, dated as of August 3, 2023, by and between JPMorgan Chase Bank, National Association and Granite Point Mortgage Trust Inc. and acknowledged and agreed to by GP Commercial JPM LLC.(incorporated by reference to Exhibit 10.2 to the registrant’s Current Report on Form 8-K filed with the SEC on August 4, 2023)
10.4						Fourth Amendment to Guarantee Agreement, dated as of August 3, 2023, by and between Goldman Sachs Bank USA and Granite Point Mortgage Trust Inc. and acknowledged and agreed to by GP Commercial GS LLC. (incorporated by reference to Exhibit 10.3 to the registrant’s Current Report on Form 8-K filed with the SEC on August 4, 2023)
10.5

						First Amendment to Amended and Restated Guaranty, dated as of August 3, 2023, by and between Citibank, N.A. and Granite Point Mortgage Trust Inc. and acknowledged and agreed to by GP Commercial CB LLC and GP Commercial CB SL Sub LLC. (incorporated by reference to Exhibit 10.4 to the registrant’s Current Report on Form 8-K filed with the SEC on August 4, 2023)
31.1						Certification of the Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. (filed herewith)
31.2						Certification of the Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. (filed herewith)
32.1						Certification of the Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. (furnished herewith)

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Exhibit Number						Exhibit Index
32.2						Certification of the Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. (furnished herewith)
101						Financial statements from the Quarterly Report on Form 10-Q of Granite Point Mortgage Trust Inc. for the three months ended ~~March 31,~~September 30, 2023, filed with the SEC on ~~May 9,~~November 7, 2023, formatted in Inline XBRL: (i) the Condensed Consolidated Balance Sheets, (ii) the Condensed Consolidated Statements of Comprehensive Income, (iii) the Condensed Consolidated Statements of Stockholders’ Equity, (iv) the Condensed Consolidated Statements of Cash Flows, and (v) the Notes to the Condensed Consolidated Financial Statements. (filed herewith)
104						Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101). (filed herewith)

*Certain schedules and similar attachments have been omitted in reliance on Item 601(a)(5) of Regulation S-K.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.


			GRANITE POINT MORTGAGE TRUST INC.
Dated:	~~May 9,~~November 7, 2023	By:	/s/ John A. Taylor
			John A. Taylor President, Chief Executive Officer and Director (Principal Executive Officer)
Dated:	~~May 9,~~November 7, 2023	By:	/s/ Marcin Urbaszek
			Marcin Urbaszek Chief Financial Officer (Principal Accounting and Financial Officer)

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	March 31, 2023	December 31, 2022
Recourse leverage ratio (1)	1.3	1.2
Total leverage ratio (2)	2.5	2.3


	Three Months Ended March 31, 2023
(dollars in thousands)		Average Balance		Interest Income/Expense (1)		Net Yield/Cost of Funds
Interest-earning assets (2)
Loans held-for-investment
Senior loans (3)		$	3,339,047	$	65,017	7.8	%
Subordinated loans		13,722		274		8.0	%


Other		—		1,428
Total interest income/net asset yield		$	3,352,769	$	66,719	8.0	%
Interest-bearing liabilities
Borrowings collateralized by:
Loans held-for-investment
Senior loans (3)		$	2,291,233	$	41,337	7.2	%
Subordinated loans		8,241		158		7.7	%


Other:
Convertible senior notes		131,060		2,311		7.1	%

Total interest expense/cost of funds		$	2,430,534	43,806		7.2	%
Net interest income/spread				$	22,913	0.8	%


Period	Total number of shares purchased	Average price paid per share		Total number of shares purchased as part of publicly announced plans or programs	Maximum number (or approximate dollar value) of shares that may yet be purchased under the plans or programs (1)
January 1-31, 2023	36,916 (2)	$	6.40	—	1,159,254
February 1-28, 2023	—	—		—	1,159,254
March 1-31, 2023	1,001,338	5.08		1,001,338	157,916
Total	1,038,254	$	5.13	1,001,338	157,916