Granite Point Mortgage Trust Inc
For the period ended Jun 30, 2024. Filed Aug 5, 2024.
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A company's report for each of its first three quarters. The financial statements are not audited. It shows how the business has moved since the last annual report, and what management says changed.
Jun 30, 2024 · Filed Aug 5, 2024
GPMT$3.34-10.5%Stored close · as of Nov 6, 2026
What changed in Management’s Discussion and Analysis?
Read the current filingPrevious report: 10-Q
Period ended 2024-03-31; filed 2024-05-07.
0001703644-24-000071
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of OperationsCurrent report: 10-Q
Period ended 2024-06-30; filed 2024-08-05.
0001703644-24-000125
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of OperationsThe baseline is this issuer’s latest earlier reporting period of the same form that was filed before the current report. A previous 10-Q is a different quarter, not a year-over-year comparison. Amendments are excluded.
Compared 204 previous paragraphs and 205 current paragraphs.
128 unchanged; 63 reworded; 13 added; 9 removed; 4 previous and 1 current paragraphs rearranged.
Tables are not compared: 26 previous and 27 current tables excluded. Dates, whitespace, punctuation and numbering changes are ignored; changes to financial figures remain significant.
A changed paragraph is not evidence that risk increased or decreased. An unchanged paragraph does not establish that risk stayed the same.
Added paragraphs (13)
Current report
Second Quarter 2024 Activity
Current report
•Recognized GAAP net (loss) attributable to common stockholders of $(66.7) million, or $(1.31) per basic share.
Current report
•Generated Distributable (Loss), excluding realized losses, to common stockholders of $(2.5) million, or $(0.05) per basic share.
Current report
•Acquired through a negotiated deed-in-lieu of foreclosure the title to an office property with a carrying value at closing of $35.7 million.
Current report
Portfolio Financing Activity:
Current report
•Extended the Morgan Stanley financing facility to June 28, 2025, and adjusted the facility’s maximum borrowing capacity to $250 million.
Current report
Corporate Financing Activity:
Current report
•Repurchased 510,244 shares of common stock at a weighted average purchase price of $3.10 for an aggregate purchase amount of $1.6 million.
Current report
During the three months ended June 30, 2024, a first mortgage loan with an outstanding principal balance of $11.6 million collateralized by a multifamily property located in Milwaukee, WI was resolved through a sale of the collateral property resulting in a discounted payoff of the loan. The loan had previously been placed on nonaccrual status and had a risk rating of “5”. We recorded a write-off of $(2.4) million in the allowance for credit losses on loans held-for-investment related to the resolution.
Current report
On June 27, 2024, we acquired the legal title to an office property located in Maynard, MA 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 2018. As of March 31, 2024, prior to acquisition, the loan had a risk rating of “4”, was on nonaccrual status, and was assessed individually as a collateral-dependent loan due to an anticipated foreclosure. At the time of acquisition, the loan had an amortized cost and carrying value of $35.7 million. We recognized the property as real estate owned with a carrying value of $35.7 million based on the estimated fair value of the property. This acquisition was accounted for as an asset acquisition under ASC 805.
Current report
During the three months ended June 30, 2024, we completed the modification of a first mortgage loan secured by a design building property located in New York, NY, with an outstanding principal balance of $37.5 million as of March 31, 2024. The terms of the modification included, among others, a restructuring of the $37.5 million loan into (i) a $33.3 million senior loan, with $3.0 million in unfunded commitments, and (ii) a $4.2 million mezzanine note; a $2.6 million capital infusion from the sponsor to further support the collateral property; a change to the restructured senior loan’s coupon to S+3.00%, which was reduced from S+4.65%; an increase in the exit fee from 0.25% to 5.70% of the loan amount, and an extension of term to a maturity date of June 9, 2027. The mezzanine note is non-interest bearing and is subject to a distribution waterfall and is subordinate to certain amounts of sponsor’s equity, as defined in the loan agreement. As of June 30, 2024, the mezzanine note was deemed uncollectible, resulting in a write-off of $(4.2) million. The restructured senior loan with an outstanding principal balance of $33.3 million was risk-rated “3” as of June 30, 2024.
Current report
Comparison of the Six Months Ended June 30, 2024, and June 30, 2023
Current report
During the six months ended June 30, 2024, we recorded revenue from REO operations of $2.3 million as compared to $0.5 million during the six months ended June 30, 2023. The increase in revenue from REO is due to the initial acquisition of REO occurring on May 16, 2023.
Removed paragraphs (9)
Previous report
First Quarter 2024 Activity
Previous report
•Recognized GAAP net (loss) attributable to common stockholders of $(77.7) million, or $(1.53) per basic share.
Previous report
$54.1 million and incurred interest expense of $(41.5) million, which resulted in net interest income of $12.5 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 further detail.
Previous report
During the three months ended March 31, 2024, a first mortgage loan with an outstanding principal balance of $34.0 million collateralized by a multifamily property located in Chicago, IL, was downgraded from a risk rating of “3” to a risk rating of “5” and placed on nonaccrual status. 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 sale process will be completed, and the timing and ultimate outcome remain uncertain.
Previous report
During the three months ended March 31, 2024, a first mortgage loan with a principal balance of $26.1 million collateralized by an office property located in Boston, MA, was downgraded from a risk rating of “4” to a risk rating of “5” and placed on nonaccrual status. 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.
Previous report
During the three months ended March 31, 2024, a first mortgage loan with an outstanding principal balance of $51.0 million collateralized by a mixed-use multifamily, office and event space property located in Pittsburgh, PA, was downgraded from a risk rating of “3” to a risk rating of “5” and placed on nonaccrual status. 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 sale process will be completed, and the timing and ultimate outcome remain uncertain.
Previous report
During the three months ended March 31, 2024, a first mortgage loan with a principal balance of $11.6 million collateralized by a multifamily property located in Milwaukee, WI was downgraded from a risk rating of “3” to a risk rating of “5”. The loan was on nonaccrual status as of March 31, 2024. 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 sale process will be completed, and the timing and ultimate outcome remain uncertain.
Previous report
During the three months ended March 31, 2024, a first mortgage loan with a principal balance of $35.7 million collateralized by an office property located in Maynard, MA, was deemed to be collateral dependent as a deed-in-lieu of foreclosure was considered probable. As a result, the loan was placed on nonaccrual status as of March 31, 2024.
Previous report
Our GAAP net (loss) attributable to common stockholders was $(77.7) million (or $(1.53) per basic weighted average share) for the three months ended March 31, 2024, as compared to GAAP net (loss) attributable to common stockholders of $(13.5) million (or $(0.33) per basic weighted average share) for the three months ended December 31, 2023. The decrease in GAAP results was primarily due to provision for credit losses of $(75.6) million and net interest income of $12.5 million during the three months ended March 31, 2024, compared to a provision for credit losses of $(21.6) million and net interest income of $17.3 million during the three months ended December 31, 2023.
Reworded paragraphs (63)
Previous wording
The period over the last several quarters has been characterized by continued volatility in the global securities markets, driven by investor concerns over inflation, high interest rates, escalating trade tensions, slowing economic growth, political and regulatory uncertainty and geopolitical conditions. Events affecting financial institutions during the first quarter of 2024 have also contributed to volatility in global markets and diminished liquidity and credit availability.
Current wording
The period over the last several quarters has been characterized by continued volatility in the global securities markets, driven by investor concerns over inflation, high interest rates, escalating trade tensions, slowing economic growth, political and regulatory uncertainty and geopolitical conditions. Events affecting financial institutions during the first half of 2024 have also contributed to volatility in global markets and diminished liquidity and credit availability.
Previous wording
Although the Federal Reserve has indicated that no further interest rate increases are expected in 2024, how long interest rates will remain at their current elevated level and the direction and extent of any future interest rate changes remain uncertain. Although our business model is such that higher interest rates should, all else being equal, generally correlate to higher net income, interest rates having remained elevated for an extended period of time have adversely affected, and may continue to adversely affect, our existing borrowers and the cost of financing their properties and lead to nonperformance. Additionally, higher 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. Higher interest rates have adversely impacted, and may continue to adversely impact, commercial real estate property values. It remains difficult to predict the full impact on macroeconomic conditions and our business of recent events and any future changes in interest rates or inflation.
Current wording
Interest rates remain at an elevated level and the timing, direction and extent of any future interest rate changes remain uncertain. Although our business model is such that higher interest rates should, all else being equal, generally correlate to higher net income, interest rates having remained elevated for an extended period of time have adversely affected, and may continue to adversely affect, our existing borrowers and the cost of financing their properties and lead to nonperformance. Additionally, higher 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. Higher interest rates have adversely impacted, and may continue to adversely impact, commercial real estate property values. It remains difficult to predict the full impact on macroeconomic conditions and our business of recent events and any future changes in interest rates or inflation.
Previous wording
•Generated Distributable Earnings to common stockholders of $1.3 million, or $0.03 per basic share, which excludes the $(75.6) million in non-cash provision for credit losses, $(2.2) million of non-cash equity compensation expense and $(1.3) million of non-cash depreciation and amortization on REO.
Current wording
•Generated Distributable (Loss) to common stockholders of $(9.1) million, or $(0.18) per basic share, which includes $(6.6) million in write-offs and excludes the $(60.8) million in non-cash provision for credit losses, $(1.5) million of non-cash equity compensation expense, $(1.2) million of non-cash depreciation and amortization on REO and $(0.8) million loss on the extinguishment of debt.
Previous wording
•Recorded an increase to the allowance for credit losses of $75.6 million, for a total allowance of credit losses of $212.7 million, or approximately 7.5% of total loan commitments of $2.8 billion at March 31, 2024.
Current wording
•Recorded an increase to the allowance for credit losses of $54.2 million, for a total allowance of credit losses of $266.9 million, or approximately 9.7% of total loan commitments of $2.7 billion at June 30, 2024.
Previous wording
•Book value per share of common stock at March 31, 2024, was $11.14, inclusive of $(4.17) per share of total CECL reserve.
Current wording
•Book value per share of common stock at June 30, 2024, was $9.84, inclusive of $(5.27) per share of total CECL reserve.
Previous wording
•Declared common stock dividends of $8.0 million, or $0.15 per share of common stock, and preferred dividends of $3.6 million, or $0.43750 per share of Series A Preferred Stock.
Current wording
•Declared common stock dividends of $2.7 million, or $0.05 per share of common stock, and preferred dividends of $3.6 million, or $0.43750 per share of Series A Preferred Stock.
Previous wording
•Funded $17.5 million of prior loan commitments and loan upsizing.
Current wording
•Funded $17.5 million of prior loan commitments and loan upsizings.
Previous wording
•Realized $35.5 million of total unpaid principal balance in loan repayments, principal paydowns and amortization.
Current wording
•Realized $68.0 million of total unpaid principal balance in loan repayments, principal paydowns, principal amortization and write-offs.
Previous wording
•Maintained a portfolio of 71 loan investments with an aggregate unpaid principal balance of $2.7 billion and total commitments of $2.8 billion, a weighted average stabilized LTV at origination of 63.5%, and a weighted average all-in yield at origination of Standard Overnight Financing Rate, or SOFR or S, +4.03%.
Current wording
•Maintained a portfolio of 68 loan investments with an aggregate unpaid principal balance of $2.6 billion and total commitments of $2.7 billion, a weighted average stabilized LTV at origination of 63.7%, and a weighted average all-in yield at origination of Standard Overnight Financing Rate, or SOFR, of S+4.04%.
Previous wording
•At March 31, 2024, carried unrestricted cash of $155.2 million, a portion of which is subject to certain liquidity covenants, and $0.5 million restricted cash related to balances in CRE CLOs.
Current wording
•At June 30, 2024, carried unrestricted cash of $85.9 million, a portion of which is subject to certain liquidity covenants.
Previous wording
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, 2024, we recorded a GAAP net (Loss) per basic share of $(1.53), declared a cash dividend of $0.15 per share of common stock and reported Distributable Earnings of $0.03 per basic share. Our book value as of March 31, 2024, was $11.14 per share of common stock, inclusive of $(4.17) per share of total CECL reserves.
Current wording
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 June 30, 2024, we recorded a GAAP net (loss) per basic share of $(1.31), declared a cash dividend of $0.05 per share of common stock and reported Distributable (Loss) of $(0.18) per basic share. Our book value as of June 30, 2024 was $9.84 per share of common stock, inclusive of $(5.27) per share of total CECL reserves.
Previous wording
The following table sets forth the calculation of basic and diluted earnings (loss) per share and dividends declared per share for the three months ended March 31, 2024, and 2023:
Current wording
The following table sets forth the calculation of basic and diluted earnings (loss) per share and dividends declared per share for the three and six months ended June 30, 2024, and 2023:
Previous wording
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 months ended March 31, 2024, we recorded provision for credit losses of $(75.6) million, 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 months ended March 31, 2024, we recorded $(1.3) million in depreciation and amortization on REO 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.
Current wording
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 six months ended June 30, 2024, we recorded provision for credit losses of $(60.8) million and $(136.3) 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. During the three and six months ended June 30, 2024, we recorded $(1.2) million and $(2.5) million, respectively, in depreciation and amortization on REO 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.
Previous wording
The following table provides a reconciliation of GAAP net (loss) attributable to common stockholders to Distributable Earnings for the three months ended March 31, 2024, and 2023:
Current wording
The following table provides a reconciliation of GAAP net (loss) attributable to common stockholders to Distributable Earnings for the three and six months ended June 30, 2024, and 2023:
Previous wording
Book value per share as of March 31, 2024, includes the impact of an estimated allowance for credit losses of $(212.7) million, or $(4.17) 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.
Current wording
Book value per share as of June 30, 2024, includes the impact of an estimated allowance for credit losses of $266.9 million, or $(5.27) 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.
Previous wording
Interest-earning assets include our 100% loan investment portfolio. At March 31, 2024, our loan portfolio was comprised of 71 investments, of which 70 were senior first mortgage loans totaling $2.8 billion of commitments with an unpaid principal balance of $2.7 billion, and one subordinated loan totaling $13.4 million in commitments and unpaid principal balance. At March 31, 2024, the weighted average risk rating of our loan portfolio was 3.0 as compared to 2.8 at December 31, 2023, weighted by total unpaid principal balance.
Current wording
Interest-earning assets include our 100% loan investment portfolio. At June 30, 2024, our loan portfolio was comprised of 68 investments, of which 67 were senior first mortgage loans totaling $2.7 billion of commitments with an unpaid principal balance of $2.6 billion, and one subordinated loan totaling $13.4 million in commitments and unpaid principal balance. At
Previous wording
We may hold REO as a result of taking title to a loan’s collateral. As of March 31, 2024, we owned one office property with a carrying value of $19.2 million.
Current wording
We may hold REO as a result of taking title to a loan’s collateral. As of June 30, 2024, we owned two office properties with an aggregate carrying value of $53.6 million, inclusive of $10.8 million of intangible assets included in other assets and other liabilities in our Condensed Consolidated Balance Sheets.
Previous wording
During the three months ended March 31, 2024, we funded $15.0 million under existing loan commitments and $2.5 million on loan upsizings. We realized $35.5 million in aggregate reductions in portfolio unpaid principal balance from loan repayments, paydowns and amortization. During the three months ended March 31, 2024, we generated interest income of
Current wording
During the three months ended June 30, 2024, we funded $17.5 million under existing loan commitments and loan upsizings. We realized $68.0 million in aggregate reductions in portfolio unpaid principal balance from loan repayments, principal paydowns, principal amortization and loan write-offs. We acquired through a negotiated deed-in-lieu of foreclosure the title to an office property previously held as a loan held-for-investment with a carrying value at closing of $35.7 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 further detail.
Previous wording
The following table details our loan activity by unpaid principal balance for the three months ended March 31, 2024, and 2023:
Current wording
The following table details our loan activity by unpaid principal balance for the three and six months ended June 30, 2024, and 2023:
Previous wording
(1)Cash coupon does not include origination or exit fees. Weighted average cash coupon excludes fixed rate loans.
Current wording
(1)Cash coupon does not include origination or exit fees. Weighted average cash coupon excludes fixed rate loans and impact of loans placed on nonaccrual status.
Previous wording
(2)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.
Current wording
(2)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 and impact of loans on nonaccrual status.
Previous wording
(2)Cash coupon does not include origination or exit fees. Weighted average cash coupon excludes fixed rate loans.
Current wording
(2)Cash coupon does not include origination or exit fees. Weighted average cash coupon excludes fixed rate loans and impact of loans placed on nonaccrual status.
Previous wording
(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.
Current wording
(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 and impact of loans placed on nonaccrual status.
Previous wording
As of March 31, 2024, the weighted average risk rating of the Company’s loan portfolio was 3.0, versus 2.8 as of December 31, 2023, weighted by unpaid principal balance. The quarter-over-quarter change in the weighted average portfolio risk rating is mainly a result of select loan rating downgrades, including five loans downgraded to a risk rating of “5” partially offset by certain loan rating upgrades.
Current wording
As of June 30, 2024, and March 31, 2024, the weighted average risk rating of our loan portfolio was 3.0, versus 2.8 as of December 31, 2023, weighted by unpaid principal balance. The change in the weighted average portfolio risk rating versus December, 31, 2023, is mainly a result of select loan risk rating downgrades, including six loans downgraded to a risk rating of “5” partially offset by certain loan risk rating upgrades and loan resolutions.
Previous wording
As of March 31, 2024, we had ten loans that had a risk rating of “5” with an aggregate principal balance of $539.7 million, for which we recorded an allowance for credit losses of $155.3 million. These ten loans were on nonaccrual status as of March 31, 2024. The performance of these assets has been adversely affected to varying degrees by many different factors, such as slower leasing velocity, including leasing challenges of office properties in certain markets related to work from home trends and other submarket dynamics, combined with a significant rise in interest rates resulting in a meaningful reduction in real estate transaction activity, capital markets volatility and limited market liquidity affecting property values and these borrowers’ ability to either sell or refinance their loans, and other property specific factors.
Current wording
As of June 30, 2024, we had ten loans that had a risk rating of “5” with an aggregate principal balance of $545.2 million, for which we recorded an allowance for credit losses of $195.0 million. These ten loans were on nonaccrual status as of June 30, 2024. The performance of these assets, which include four office buildings, four mixed-use properties with an office component, one hotel and one multifamily asset, has been adversely affected to varying degrees by many different factors, such as slower leasing velocity, including leasing challenges of office properties in certain markets related to work from home trends and other submarket dynamics, combined with a significant rise in interest rates contributing to a meaningful reduction in real estate transaction activity, capital markets volatility and limited market liquidity affecting property values and these borrowers’ ability to either sell or refinance their loans, and other property specific factors.
Previous wording
During the three months ended March 31, 2024, a first mortgage loan with an outstanding principal balance of $94.4 million collateralized by a mixed-use retail and office property located in New York, NY, was downgraded from a risk rating of “4” to a risk rating of “5” and placed on nonaccrual status. 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 sale process will be completed, and the timing and ultimate outcome remain uncertain.
Current wording
During the three months ended June 30, 2024, a first mortgage loan with a principal balance of $20.1 million collateralized by an office property located in Denver, CO was downgraded from a risk rating of “4” to a risk rating of “5” and placed on nonaccrual status with all past due interest written off, as the loan missed an interest payment and the collateral property’s operating performance has been adversely affected by the ongoing softness in the local office leasing environment and other local submarket dynamics. 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.
Previous wording
During the year ended December 31, 2023,we completed the modification of a first mortgage loan secured by a multifamily student housing property in Louisville, KY. As of March 31, 2024 and December 31, 2023, the loan had a principal balance of $49.5 million and $48.5 million, respectively. The terms of the modification included, among other things, a 12-month extension of the fully-extended maturity date to November 9, 2024, the full deferral of debt service payments with interest capitalized and compounding, the deferral of the extension fee and our agreement to pay for approved expenses, in its sole discretion. Due to the uncertainty with respect to the collection of future interest accruals, the loan was placed on nonaccrual status.
Current wording
During the twelve months ended June 30, 2024, we completed the modification of a first mortgage loan secured by a multifamily student housing property in Louisville, KY. As of June 30, 2024, and December 31, 2023, the loan had a principal balance of $49.6 million and $48.5 million and an amortized cost of $49.4 million and $48.3 million, respectively. The terms of the modification included, among other things, a 12-month extension of the fully-extended maturity date to November 9, 2024, the full deferral of debt service payments with interest capitalized and compounding, the deferral of the extension fee and the our agreement to pay for approved expenses, in its sole discretion. Due to the uncertainty with respect to the collection of future interest accruals, the loan was placed on nonaccrual status as of November 9, 2023.
Previous wording
As of March 31, 2024, our portfolio financing consisted of repurchase and secured credit facilities collateralized by loans held-for-investment and our one REO asset, 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 56.5% of portfolio loan-level financing as of March 31, 2024.
Current wording
As of June 30, 2024, our portfolio financing consisted of repurchase and secured credit facilities collateralized by loans held-for-investment and our one REO asset, 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 56.4% of portfolio loan-level financing as of June 30, 2024.
Previous wording
(1)Subsequent to March 31, 2024, the Company repaid all outstanding borrowings under the facility and terminated the facility.
Current wording
(1)During the three months ended June 30, 2024, we repaid all outstanding borrowings under the facility and terminated the facility.
Previous wording
(1)As of March 31, 2024 and December 31, 2023, real estate owned, net included $2.8 million and $3.6 million in other assets and liabilities related to acquired leases, respectively.
Current wording
(1)As of December 31, 2023, real estate owned, net included $3.6 million in other assets and liabilities related to acquired leases.
Previous wording
As of March 31, 2024, we had repurchase facilities in place with five counterparties with aggregate outstanding borrowings of $0.8 billion, which financed a portion of our loans held-for-investment and real estate owned. As of March 31, 2024, the weighted average borrowing rate on our repurchase facilities was 8.7%, the weighted average advance rate was 65.6%, and the term to maturity ranged from 89 days to approximately 1.3 years, with a weighted average remaining maturity of 1.1 years.
Current wording
As of June 30, 2024, we had repurchase facilities in place with four counterparties with aggregate outstanding borrowings of $0.8 billion, which financed a portion of our loans held-for-investment and real estate owned. As of June 30, 2024, the weighted average borrowing rate on our repurchase facilities was 8.7%, the weighted average advance rate was 66.9%, and the term to maturity ranged from 13 days to approximately 1.1 years, with a weighted average remaining maturity of 1.0 year.
Previous wording
(3)As of March 31, 2024, and December 31, 2023, the Company retained an option to increase the maximum facility capacity amount up to $350 million, subject to customary terms and conditions. The Company had no outstanding borrowings under the facility as of March 31, 2024.
Current wording
(3)As of June 30, 2024, and December 31, 2023, we retained an option to increase the maximum facility capacity amount up to $350 million, subject to customary terms and conditions. Subsequent to June 30, 2024, we elected to not renew the facility on its scheduled maturity of July 13, 2024, as the facility had no outstanding borrowings.
Previous wording
We have financed certain pools of our loans through the issuance of CRE CLOs. At March 31, 2024, we had two CRE CLOs outstanding: GPMT 2021-FL4 and GPMT 2021-FL3, totaling $1.0 billion of outstanding borrowings, financing 39 of our existing first mortgage loan investments with an aggregate principal balance, inclusive of restricted cash, of $1.2 billion. As of March 31, 2024, our CRE CLOs financed 46.1% of our total loan portfolio principal balance on a term-matched, non-recourse and non-mark-to-market basis with attractive cost of funds.
Current wording
We have financed certain pools of our loans through the issuance of CRE CLOs. At June 30, 2024, we had two CRE CLOs outstanding: GPMT 2021-FL4 and GPMT 2021-FL3, totaling $0.9 billion of outstanding borrowings, financing 37 of our existing first mortgage loan investments with an aggregate principal balance, inclusive of restricted cash, of $1.2 billion. As of June 30, 2024, our CRE CLOs financed 45.4% of our total loan portfolio principal balance on a term-matched, non-recourse and non-mark-to-market basis with attractive cost of funds.
Previous wording
(3)$0.5 million in restricted cash is included as of March 31, 2024. Yield on collateral assets is exclusive of restricted cash.
Current wording
(3)No restricted cash is included as of June 30, 2024. Yield on collateral assets is exclusive of restricted cash.
Previous wording
In December 2022, we entered into a secured credit facility with a maximum borrowing capacity of $100.0 million. The facility had aggregate outstanding borrowings of $84.0 million as of March 31, 2024, which financed a portion of our loans held for investment on a non-mark-to-market basis. The facility matures on December 21, 2025.
Current wording
In December 2022, we entered into a secured credit facility with a maximum borrowing capacity of $100.0 million. The facility had aggregate outstanding borrowings of $85.2 million as of June 30, 2024, which financed a portion of our loans held for investment on a non-mark-to-market basis. The facility matures on December 21, 2025.
Previous wording
As of March 31, 2024, the total debt-to-equity ratio with respect to our loans held-for-investment was 2.3:1.0, and our recourse leverage ratio was 1.0:1.0. The period-over-period increase in our leverage ratios was mainly related to a decrease in total equity balance due to higher CECL reserves recorded during the period.
Current wording
As of June 30, 2024, the total debt-to-equity ratio with respect to our loans held-for-investment was 2.5:1.0, and our recourse leverage ratio was 1.1:1.0. The period-over-period increase in our leverage ratios was mainly related to a decrease in total equity balance due to higher CECL reserves recorded during the period.
Previous wording
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, 2024, 98.3% of our loan investments by 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 $0.7 billion. As of March 31, 2024, 1.7% of our loan investments by 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.
Current wording
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 June 30, 2024, 98.3% of our loan investments by 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 June 30, 2024, 1.7% of our loan investments by 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.
Previous wording
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 months ended March 31, 2024, and 2023. The net asset yield reflects the impact of loans held on nonaccrual status.
Current wording
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 six months ended June 30, 2024, and 2023. The net asset yield reflects the impact of loans held on nonaccrual status.
Previous wording
(4)Included in collateralized borrowings is the Centennial repurchase facility with an outstanding balance of $9.2 million as shown in Note 6 -Secured Financing Agreements, which became collateralized by real estate owned on May 16, 2023. During the three months ended March 31, 2024, the facility had an average balance collateralized by real estate owned of $5.8 million. During the three months ended March 31, 2024, the facility accrued interest expense of $0.2 million related to the balance collateralized by real estate owned.
Current wording
(4)Included in collateralized borrowings is the Centennial repurchase facility with an outstanding balance of $6.8 million as of June 30, 2023. The facility was terminated during the three months ended June 30, 2024 as shown in Note 6 -Secured Financing Agreements, which became collateralized by real estate owned on May 16, 2023. During the three and six months ended June 30, 2024, the facility had an average balance collateralized by real estate owned of $1.2 million and $3.5 million, respectively. During the three and six months ended June 30, 2024, the facility accrued interest expense of $32.0 thousand and $187.0 thousand, respectively, related to the balance collateralized by real estate owned. During the three and six months ended June 30, 2023, the facility had an average balance collateralized by real estate owned of $3.4 million and $1.7 million, respectively. During the three and six months ended June 30, 2023, the facility accrued interest expense of $87.7 thousand while collateralized by real estate owned.
Previous wording
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 and geopolitical uncertainty, and how they will affect our operating results.
Current wording
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 a 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 continued volatility in global markets, driven by investor concerns over inflation, rising interest rates, slowing economic growth and geopolitical uncertainty, and how they will affect our operating results.
Showing the first 40 of 63 pairs. Open the source sections for the rest.
Rearranged current paragraphs (1)
Current report — wording carried from elsewhere
June 30, 2024, and March 31, 2024, the weighted average risk rating of our loan portfolio was 3.0 as compared to 2.8 at December 31, 2023, weighted by total unpaid principal balance.
Rearranged previous paragraphs (4)
Previous report — wording carried elsewhere
(4)Subsequent to March 31, 2024, we repaid all outstanding borrowings under the facility and terminated the facility.
Previous report — wording carried elsewhere
Expenses from real estate owned operations remained relatively stable for the three months ended March 31, 2024 compared to the prior quarter. Other operating expenses increased as compared to the prior quarter mainly due to higher legal fees. Our operating expense ratio, excluding REO, increased during the three months ended March 31, 2024, as compared to the three months ended December 31, 2023 mainly due to higher non-cash equity compensation and lower average equity mainly driven by the increase in the allowance for credit losses.
Previous report — wording carried elsewhere
Comparison of the Three Months Ended March 31, 2024, and March 31, 2023
Previous report — wording carried elsewhere
During the three months ended March 31, 2024, we recorded revenue from REO operations of $1.1 million. No revenue from REO operations was generated during the three months ended March 31, 2023.