GRANITE POINT MORTGAGE TRUST INC. Management’s Discussion and Analysis of Financial Condition and Results of Operations (form 10-Q)

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, 2021.

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 real estate
investment trust, or REIT, as defined under the Internal Revenue Code of 1986,
as amended, or the Code. We also operate our business in a manner intended to
maintain our exclusion from registration under the Investment Company Act of
1940, as amended, or the Investment Company Act. We operate our business as one
segment.

Recent Developments

COVID-19 Pandemic

As the novel coronavirus, or COVID-19, pandemic has evolved from its emergence
in early 2020, so has its global impact, including contributing to significant
volatility in financial markets. The longer-term macroeconomic effects of the
COVID-19 pandemic on global supply chains, inflation, labor shortages and wage
increases, as well as any potential fiscal and monetary policy responses, may
continue to impact many industries, including those related to the collateral
underlying certain of our loans. Moreover, with the potential for new strains of
COVID-19 to emerge, governments and businesses may re-impose aggressive measures
to help slow its spread in the future. For this reason, among others, as the
COVID-19 pandemic continues, the potential global impacts are uncertain and
difficult to assess. In addition, the pandemic continues to disrupt global
supply chains and cause labor shortages and has added to broad inflationary
pressures, all of which could negatively impact our borrowers' ability to
execute on the business plans on their properties and potentially affect their
ability to perform under the terms of their loan agreements. In response to the
inflationary pressures, the Federal Reserve has begun raising interest rates and
has indicated it anticipates further interest rate increases. Such increases in
interest rates may 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 borrowers who seek extension of term on
their loans.

Interest Rates

Until recently, interest rates have remained at relatively low levels and the
Federal Reserve maintained the federal funds rate target range at 0.00% to 0.25%
for much of 2020 and 2021. However, in response to the inflationary pressures,
earlier in 2022 the Federal Reserve has begun raising its federal funds rate
target range and indicated that, due to the persistent high rate of inflation,
it anticipates further increases in interest rates throughout 2022 and into
2023. Additionally, driven by the shift in Federal Reserve interest rate policy,
the general level of interest rates in the market has increased. Such increases
in interest rates may 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 potential ultimate impact of higher market interest rates on
the economy, real estate fundamentals in general and our business is uncertain
and difficult to predict.

LIBOR Transition

On March 5, 2021, the Financial Conduct Authority of the U.K., 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 coincides 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. The United States Federal Reserve has also
advised banks to cease entering into new contracts that use U.S. dollar LIBOR as
a reference rate. The Federal Reserve, in conjunction with the Alternative
Reference Rate Committee, or the ARRC, a committee convened by the Federal
Reserve that includes major market participants, has identified the Secured
Overnight Financing Rate, or SOFR, a new index calculated by short-term
repurchase agreements, backed by 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
SOFR is the ARRC's recommended replacement rate, it is also possible that
lenders may instead 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 predict the effect of the decision not to
sustain LIBOR, or the potential transition to SOFR or another alternative
reference rate as LIBOR's replacement.
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As of June 30, 2022, 87.8% of our loans by carrying value earned a floating rate
of interest indexed to LIBOR, and 11.0% to SOFR. As of June 30, 2022, 57.3% of
our outstanding financing arrangements (excluding our convertible notes) bear
interest indexed to LIBOR, and 42.7% to SOFR. All of these arrangements provide
procedures for determining an alternative base rate when LIBOR is discontinued.
As of June 30, 2022, the one-month SOFR was 1.69% and one-month US LIBOR was
1.79%. 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 are monitoring
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 impact of the discontinuation of LIBOR.
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," "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 fact or guarantees of future performance and are subject to risks,
uncertainties, assumptions or changes in circumstances that are difficult to
predict or quantify, in particular those relating to the COVID-19 pandemic. 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, 2021, 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 severity and duration of the ongoing COVID-19 pandemic, including new
variants;


•the negative impacts related to COVID-19 on the global economy and on our
financial condition, business operations and our loan portfolio, including the
value of our assets, as well as the financial condition and operations of our
borrowers;

•the general political, economic and competitive conditions in the markets in
which we invest;

•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 REIT for U.S. federal income tax
purposes and our exclusion from registration under the Investment Company Act;

•availability of desirable investment opportunities;

•availability of qualified personnel;

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

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•acts of God, such as hurricanes, earthquakes and other natural disasters,
including climate change-related risks, acts of war and/or terrorism, pandemics
or outbreaks of infectious disease, such as the COVID-19 pandemic, 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;

•economic impact of escalating global trade tensions, including the conflict
between Russian and Ukraine, and the adoption or expansion of economic sanctions
or trade restrictions;

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

•deterioration in the performance of the properties securing our investments
that may cause deterioration in the performance of our investments 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.

Second Quarter 2022 Activity

Operating Results:

•GAAP net loss attributable to common stockholders of $(17.4) million, or
$(0.32) per basic share, mainly reflecting a loss on early extinguishment of
debt of $(13.0) million and an increase in CECL reserves of $(13.6) million.


•Distributable Earnings of $11.7 million, or $0.22 per basic share, which
excludes the $(13.6) million increase in CECL reserve net of the $0.5 million
recovery of amounts previously written off, $(1.9) million of non-cash equity
compensation expense, and the $(13.0) million loss on early extinguishment of
debt.

•Book value per share of common stock of $16.01 inclusive of $(0.96) per share
of total CECL reserve.


•Declared aggregate common stock dividends of $13.4 million, or $0.25 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:

•Originated five loans with total commitments of $202.1 million and total
principal balance of $168.7 million.

•Funded $43.0 million of principal balance on prior loan commitments.

•Realized loan repayments, principal paydowns and principal amortization of
$120.1 million.

•Maintained a portfolio of 104 loan investments with a weighted average
stabilized loan to value ratio, or LTV, at origination of 63.1%, and a weighted
average all-in yield at origination of L+/S+4.07%.


•Collected 100% of contractual interest payments during the three months ended
June 30, 2022, inclusive of loan modifications and two loans on nonaccrual
status. Deferred, and added to the principal, $0.5 million of interest income
related to a loan that had been modified.

Corporate Financing Activity:

•Repaid the remaining $100.0 million of borrowings under the senior secured term
loan facilities.


•Repaid the remaining $129.1 million of borrowings outstanding under the term
financing facility with Goldman Sachs Bank USA.
•Redeemed the GPMT 2018-FL1 CRE CLO, which at its redemption had $103.6 million
of investment-grade bonds outstanding.

•Entered into a modification on the Morgan Stanley Bank repurchase financing
facility to increase the maximum facility capacity amount up to $600.0 million
as well as extend the maturity date of the facility to June 28, 2023.

•Extended maturities of the Wells Fargo, JPMorgan and Citibank repurchase
financing facilities to June 28, 2023, June 28, 2024, and May 25, 2025,
respectively.

•Accretively repurchased over 1.5 million shares of common stock at an average
price of $10.18 for a total of $15.7 million.

Available Liquidity

•At June 30, 2022, we had unrestricted cash of $150.2 million, a portion of
which is subject to certain liquidity covenants.

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
U.S. generally accepted accounting principles, or GAAP, basis, dividends
declared on common stock, Distributable Earnings and book value per share of
common stock. For the three months ended June 30, 2022,
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we recorded GAAP loss per basic share of $(0.32), declared a cash dividend of
$0.25 per share of common stock and reported Distributable Earnings of $0.22 per
basic share. Our book value as of June 30, 2022, was $16.01 per share of common
stock, inclusive of $(0.96) of total Current Expected Credit Loss, or 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.

Earnings Per Share and Dividends Declared Per Common Share

The following table sets forth the calculation of basic and diluted (loss)
earnings per share and dividends declared per share:


                                                           Three Months Ended                           Six Months Ended
                                                                June 30,                                    June 30,
(in thousands, except share data)                      2022                  2021                  2022                  2021
Net (loss) income attributable to common
stockholders                                     $     (13,731)         $   

14,269 $ (16,345) $ 42,210
Weighted average number of common shares
outstanding

                                         53,512,005            55,009,732            53,683,575            55,073,317
Weighted average number of diluted shares
outstanding                                         53,512,005            58,526,985            53,683,575            72,564,914

Basic (loss) earnings per basic common share $ (0.32) $

0.26 $ (0.30) $ 0.77
Diluted (loss) earnings per basic common share $ (0.32) $

0.24 $ (0.30) $ 0.71
Dividend declared per common share

               $        0.25          $       0.25          $       0.50          $       0.50



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 our common dividends, 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 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 attributable to our stockholders,
computed in accordance with GAAP, excluding: (i) non-cash equity compensation
expenses; (ii) depreciation and amortization; (iii) any unrealized gains
(losses) or other similar non-cash items that are included in net income for the
applicable reporting period (regardless of whether such items are included in
other comprehensive income or in net income 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 six months ended June 30, 2022, we recorded provision
for credit losses of $(13.6) million and $(17.3) 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. Pursuant to our existing
policy for reporting Distributable Earnings referenced above, during the three
months ended June 30, 2022, we recorded a $0.5 million recovery of amounts
previously written off in a prior period on a discounted payoff. Additionally,
during the six months ended June 30, 2022, we recorded a $(10.1) million
write-off on a loan sale, which we included in Distributable Earnings because we
did not collect all amounts due at the time the loan was sold. During the three
and six months ended June 30, 2022, we recorded a $(13.0) million and $(18.8)
million, respectively, loss on early extinguishment of debt, which has been
excluded from Distributable Earnings consistent with certain one-time expenses
pursuant to our existing policy for reporting Distributable Earnings as a
helpful indicator in assessing the overall run-rate operating performance of our
business.
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Distributable Earnings does not represent net income or cash flow from operating
activities and should not be considered as an alternative to GAAP net income, 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 (loss) income
attributable to common stockholders to Distributable Earnings (in thousands,
except share and per share data):


                                                       Three Months Ended                           Six Months Ended
                                                            June 30,                                    June 30,
(in thousands, except share data)                  2022                  2021                  2022                  2021
Reconciliation of GAAP net (loss) income to
Distributable Earnings:
GAAP net (loss) income attributable to
common stockholders                          $     (17,356)         $     

14,244 $ (16,345) $ 42,210
Adjustments for non-distributable earnings:
Provision for (benefit from) credit losses 13,627

                  (193)               17,315                (9,312)
Write-off on loan sale                                   -                     -               (10,107)                    -
Recovery of amounts previously written off             512                     -                   512                     -
Loss on extinguishment of debt                      13,032                     -                18,823                     -

Non-cash equity compensation                         1,906                 1,639                 4,077                 3,526
Distributable Earnings                       $      11,721          $    

15,690 $ 14,275 $ 36,424
Distributable Earnings per basic share of
common stock

                                 $        0.22          $       0.29          $       0.27          $       0.66
Basic weighted average common shares -
Distributable Earnings                          53,512,005            55,009,732            53,683,575            55,073,317


Book Value Per Common Share

The following table provides the calculation of our book value per share of
common stock:


(in thousands, except share data)                                     June 30, 2022           December 31, 2021
Stockholders' equity                                                $    

1,043,709 $ 1,013,058
7.00% Series A cumulative redeemable preferred stock
liquidation preference

                                                    (205,738)                   (114,913)

Common stockholders' equity                                         $      837,971          $          898,145
Shares:
Common stock                                                            52,258,404                  53,524,803
Restricted stock                                                            92,585                     264,662
Total outstanding                                                       52,350,989                  53,789,465
Book value per share of common stock                                $        16.01          $            16.70


Book value per share as of June 30, 2022, includes the impact of an estimated
allowance for credit losses of $(50.1) million, or $(0.96) 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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Portfolio Overview

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 place emphasis on diversifying our investment portfolio across
geographical regions and local markets, property types, borrowers and loan
structures. We do not limit our loan originations by geographical area or
property type, so that we may develop a well-diversified investment portfolio.

Interest-earning assets include our 100% loan investment portfolio. At June 30,
2022, our portfolio was comprised of 104 loans, of which 102 were senior first
mortgage loans totaling $4.2 billion of commitments with an unpaid principal
balance of $3.9 billion, and two were subordinated loans totaling $14.2 million
in commitments and unpaid principal balance. During the three months ended June
30, 2022, we collected 100% of the contractual interest payments that were due
under our loan agreements, after taking into consideration certain loans that
have been modified mainly due to the impact of the COVID-19 pandemic and two
loans on nonaccrual status. At June 30, 2022, the weighted average risk rating
of our loan portfolio was 2.5, weighted by total unpaid principal balance, as
compared to 2.5 at March 31, 2022, and 2.6 at December 31, 2021.

During the three months ended June 30, 2022, we originated five loans with a
total loan commitment amount of $202.1 million, of which $168.7 million was
funded at origination. Other loan fundings included $43.0 million of additional
fundings made under existing loan commitments. Proceeds from loan repayments and
principal amortization totaled $120.1 million. We generated interest income of
$49.3 million and incurred interest expense of $27.3 million, which resulted in
net interest income of $21.9 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.

The following table details our loan activity by unpaid principal balance for
the three months ended June 30, 2022, and 2021:

                                            Three Months Ended June 30,
(in thousands)                                  2022                  2021
Loan originations                     $       168,741             $  163,363
Other loan fundings (1)               $        42,979             $   30,434
Deferred interest capitalized         $           525             $    4,041

Loan repayments (2)                   $      (120,107)            $ (422,969)

Total loan activity, net              $        92,138             $ (225,131)


___________________

(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 June 30, 2022:

(dollars in thousands)

              Portfolio Summary
Number of loans                         104
Total loan commitments          $ 4,248,184
Unpaid principal balance        $ 3,889,479
Unfunded loan commitments       $   358,705
Carrying value                  $ 3,830,014
Weighted-average cash coupon        L+/S+3.51%
Weighted-average all-in yield       L+/S+4.07%

Stabilized LTV at origination          63.1  %









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The following table provides detail of our portfolio as of June 30, 2022:

(dollars in millions)

                             Origination/                                                                                                                            All-in Yield at            Original Term
Type (1)                   Acquisition Date        Maximum Loan Commitment          Principal Balance          Carrying Value            Cash Coupon (2)             Origination (3)             (Years) (4)            State            Property Type           Initial LTV (5)         Stabilized LTV (6)
Senior                          12/15                       $120.0                        $120.0                   $117.6                    L+4.15%                     L+4.43%                     4.0                  LA               Mixed-Use                  65.5%                    60.0%
Senior                          10/19                       120.0                          93.8                     89.3                     L+3.24%                     L+3.86%                     3.0                  CA                 Office                   63.9%                    61.1%
Senior                          07/18                       114.1                         114.1                     99.5                     L+3.34%                     L+4.27%                     2.0                  CA                 Retail                   50.7%                    55.9%
Senior                          12/19                       111.1                         102.4                     101.1                    L+2.75%                     L+3.23%                     3.0                  IL              Multifamily                 76.5%                    73.0%
Senior                          08/19                       100.3                          92.7                     91.1                     L+2.80%                     L+3.26%                     3.0                  MN                 Office                   73.1%                    71.2%
Senior                          12/18                        96.5                          84.3                     82.3                     L+3.75%                     L+5.21%                     3.0                  NY               Mixed-Use                  26.2%                    47.6%
Senior                          07/19                        94.0                          83.2                     82.9                     L+3.69%                     L+4.32%                     3.0                  IL                 Office                   70.0%                    64.4%
Senior                          10/19                        87.9                          86.5                     86.2                     L+2.55%                     L+3.05%                     3.0                  TN                 Office                   70.2%                    74.2%
Senior                          01/20                        81.9                          69.0                     68.7                     L+3.25%                     L+3.93%                     3.0                  CO               Industrial                 47.2%                    47.5%
Senior                          06/19                        81.7                          81.4                     80.6                     L+2.69%                     L+3.05%                     3.0                  TX               Mixed-Use                  71.7%                    72.2%
Senior                          10/19                        76.8                          76.8                     75.8                     L+3.36%                     L+3.73%                     3.0                  FL               Mixed-Use                  67.7%                    62.9%
Senior                          12/16                        71.8                          68.6                     68.2                     S+4.65%                     S+4.87%                     4.0                  FL                 Office                   73.3%                    63.2%
Senior                          11/17                        65.7                          65.7                     64.7                     L+4.45%                     L+5.20%                     3.0                  TX                 Hotel                    68.2%                    61.6%
Senior                          12/19                        65.2                          57.9                     57.5                     L+2.80%                     L+3.28%                     3.0                  NY                 Office                   68.8%                    59.3%
Senior                          07/21                        63.3                          60.9                     60.4                     L+3.00%                     L+3.39%                     3.0                  LA              Multifamily                 68.8%                    68.6%
Senior                          09/19                        60.2                          60.2                     60.2                     L+3.00%                     L+3.63%                     2.0                  TX                 Office                   64.7%                    59.0%
Senior                          12/18                        60.1                          58.0                     57.8                     L+2.90%                     L+3.44%                     3.0                  TX                 Office                   68.5%                    66.7%
Senior                          10/21                        55.5                          51.4                     50.3                     L+3.15%                     L+3.42%                     3.0                  CO              Multifamily                 78.2%                    74.7%
Senior                          05/22                        55.5                          38.2                     37.5                     S+3.29%                     S+3.70%                     3.0                  TX              Multifamily                 59.3%                    62.9%
Senior                          05/19                        55.4                          49.4                     49.2                     L+3.20%                     L+3.60%                     3.0                  NY               Mixed-Use                  59.7%                    55.1%
Senior                          06/19                        54.1                          51.6                     51.5                     L+3.30%                     L+3.70%                     3.0                  VA                 Office                   49.3%                    49.9%
Senior                          11/21                        52.8                          46.6                     45.9                     L+3.40%                     L+3.82%                     3.0                  PA               Mixed-Use                  62.0%                    63.5%
Senior                          06/21                        52.7                          46.7                     45.8                     L+4.32%                     L+4.75%                     3.0                  GA                 Office                   68.0%                    69.4%
Senior                          09/21                        51.7                          48.7                     47.9                     L+5.00%                     L+5.12%                     3.0                  MN                 Hotel                    68.4%                    57.8%
Senior                          02/20                        50.2                          45.8                     45.0                     L+3.30%                     L+3.75%                     3.0                  TN                 Hotel                    69.1%                    54.2%
Senior                          09/18                        50.1                          35.9                     35.7                     L+3.25%                     L+4.13%                     3.0                  IL                 Office                   47.9%                    56.1%
Senior                          03/22                        49.9                          46.9                     46.1                     S+3.25%                     S+3.64%                     3.0                  MA               Industrial                 67.3%                    60.8%
Senior                          08/19                        48.2                          44.6                     43.5                     L+3.70%                     L+3.39%                     3.0                  GA                 Office                   69.5%                    68.3%
Senior                          12/15                        47.5                          47.5                     47.4                     L+4.50%                     L+4.87%                     4.0                  PA                 Office                   74.5%                    67.5%
Senior                          07/21                        46.4                          45.4                     45.0                     L+3.69%                     L+4.19%                     3.0                  CT                 Office                   68.3%                    63.5%
Senior                          04/22                        46.2                          43.0                     42.2                     S+3.41%                     S+3.78%                     3.0                  TX              Multifamily                 74.4%                    64.0%
Senior                          06/18                        46.0                          46.0                     46.0                     L+3.60%                     L+4.06%                     3.0                  WY                 Hotel                    67.4%                    62.3%
Senior                          08/21                        45.8                          45.4                     45.0                     L+3.16%                     L+3.53%                     3.0                  TX              Multifamily                 77.8%                    75.2%
Senior                          08/18                        45.7                          45.7                     45.7                     L+3.33%                     L+3.32%                     3.0                  TX              Multifamily                 68.9%                    63.6%
Senior                          09/21                        44.3                          38.7                     38.2                     L+3.30%                     L+3.72%                     3.0                  CA                 Office                   62.4%                    66.1%
Senior                          08/17                        43.5                          43.5                     40.7                     L+4.24%                     L+4.40%                     3.0                  KY              Multifamily                 79.8%                    73.1%
Senior                          02/22                        42.4                          42.4                     41.7                     S+3.05%                     S+3.40%                     3.0                  NJ               Industrial                 75.0%                    59.5%
Senior                          12/17                        40.9                          38.5                     38.4                     L+4.38%                     L+5.26%                     3.0                  MA               Mixed-Use                  72.9%                    62.0%
Senior                          07/16                        40.5                          40.5                     40.5                     L+2.93%                     L+4.99%                     4.0                  VA                 Office                   62.8%                    61.5%
Senior                          04/22                        40.2                          36.3                     35.9                     S+4.65%                     S+4.87%                     3.0                  NY                 Other                    66.7%                    61.8%
Senior                          05/21                        38.9                          26.6                     25.3                     L+3.28%                     L+3.83%                     3.0                  AL              Multifamily                 72.2%                    64.8%
Senior                          05/18                        38.8                          34.8                     34.7                     L+3.18%                     L+3.95%                     3.0                  MA                 Office                   47.0%                    41.1%
Senior                          11/18                        37.1                          36.9                     36.8                     L+3.60%                     L+5.50%                     3.0                  CA               Mixed-Use                  69.9%                    67.9%
Senior                          11/19                        36.5                          33.7                     33.4                     L+3.28%                     L+3.14%                     3.0                  NC              Multifamily                 80.0%                    72.8%
Senior                          07/19                        36.2                          36.2                     36.1                     L+3.70%                     L+4.43%                     3.0                  NJ                 Hotel                    47.8%                    54.6%
Senior                          03/20                        34.9                          19.0                     18.3                     L+3.42%                     L+4.66%                     3.0                  GA                 Office                   63.2%                    64.6%
Senior                          05/17                        34.8                          31.4                     31.1                     L+5.35%                     L+5.97%                     3.0                  TX                 Office                   68.7%                    65.1%
Senior                          10/19                        34.4                          25.3                     25.3                     L+2.75%                     L+3.28%                     3.0                  CA                 Office                   70.6%                    67.8%
Senior                          12/18                        34.2                          32.9                     32.2                     L+2.92%                     L+3.27%                     4.0                  IL              Multifamily                 70.8%                    62.1%
Senior                          05/17                        33.8                          29.8                     29.7                     S+4.51%                     S+5.36%                     3.0                  AZ                 Office                   69.5%                    59.0%
Senior                          10/19                        33.7                          26.1                     26.1                     L+3.15%                     L+3.75%                     3.0                  CA                 Office                   70.6%                    64.2%
Senior                          08/19                        33.5                          29.3                     29.2                     L+2.90%                     L+3.38%                     3.0                  TX              Multifamily                 79.3%                    72.5%
Senior                          11/21                        33.4                          28.6                     27.8                     L+3.18%                     L+3.52%                     3.0                  AL              Multifamily                 77.9%                    68.1%
Senior                          03/16                        33.2                          33.2                     33.1                      5.11%                       5.26%                     10.0                  NJ                 Office                   74.9%                    74.9%
Senior                          10/21                        32.2                          32.2                     32.0                     L+3.15%                     L+3.43%                     3.0                  AR              Multifamily                 63.1%                    63.1%
Senior                          03/19                        32.1                          28.6                     28.5                     L+2.97%                     L+3.42%                     3.0                  NY                 Office                   53.8%                    48.5%
Senior                          08/19                        32.0                          29.9                     29.9                     L+3.32%                     L+5.27%                     3.0                  MA                 Office                   76.5%                    54.1%
Senior                          06/18                        32.0                          27.3                     27.2                     L+4.07%                     L+4.75%                     3.0                  OH                 Hotel                    70.6%                    57.4%


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Senior                     04/22              31.7              26.5              26.1               S+3.35%              S+3.73%              3.0              GA              Multifamily           75.1%            67.1%
Senior                     11/19              31.1              31.1              31.1               L+2.75%              L+3.27%              2.0              IL              Multifamily           72.7%            72.7%
Senior                     05/18              29.4              29.4              28.6               S+5.00%              S+4.63%              3.0              NY               Mixed-Use            57.0%            51.1%
Senior                     05/17              29.0              27.8              27.7               L+4.50%              L+5.19%              4.0              FL                Office              69.3%            68.5%
Senior                     04/22              28.5              25.7              25.3               S+3.22%              S+3.55%              3.0              TX              Multifamily           73.3%            63.9%
Senior                     03/20              28.0              23.0              22.9               L+2.80%              L+3.27%              3.0              CA                Office              63.6%            66.7%
Senior                     11/19              27.7              20.3              20.3               L+3.18%              L+3.64%              3.0              CA                Office              61.7%            62.8%
Senior                     01/19              27.6              26.9              26.8               L+2.97%              L+3.38%              3.0              TX              Multifamily           64.9%            64.9%
Senior                     12/18              27.5              27.5              27.2               L+3.90%              L+4.42%              3.0              MN                 Hotel              64.7%            57.7%
Senior                     07/17              27.3              27.3              27.2               L+4.10%              L+4.58%              3.0              NY              Multifamily           76.5%            76.5%
Senior                     03/22              27.2              22.9              22.3               S+4.14%              S+4.89%              3.0              NC                Office              47.4%            53.5%
Senior                     06/17              27.0              24.0              24.0               L+3.83%              L+5.24%              3.0              CA                 Hotel              54.7%            48.6%
Senior                     01/19              27.0              24.6              24.5               L+3.15%              L+3.44%              3.0              MA                Office              71.2%            70.1%
Senior                     08/19              26.8              26.3              26.1               L+3.15%              L+3.67%              3.0              SC              Multifamily           67.0%            58.7%
Senior                     01/18              26.0              26.0              25.9               L+5.13%              L+5.58%              3.0              AZ                 Hotel              65.8%            61.3%
Senior                     12/18              25.9              24.6              24.1               L+4.00%              L+5.56%              3.0              PA              Multifamily           70.1%            67.0%
Senior                     10/21              25.7              25.7              25.3               L+3.15%              L+3.43%              4.0              GA              Industrial            67.5%            64.5%
Senior                     09/18              25.1              22.0              21.9               L+3.87%              L+4.42%              3.0              NY               Mixed-Use            60.2%            59.3%
Senior                     08/19              25.0              23.9              23.8               L+2.66%              L+3.07%              2.0              OK              Multifamily           79.9%            74.2%
Senior                     12/21              24.7              16.7              16.5               L+3.30%              L+3.59%              3.0              CA                Office              72.9%            68.3%
Senior                     09/21              24.4              22.5              22.3               L+3.18%              L+3.61%              3.0              CA              Multifamily           71.9%            57.8%
Senior                     09/17              24.4              21.4              21.3               L+4.90%              L+5.52%              3.0              MA                 Hotel              67.3%            63.9%
Senior                     12/21              24.4              20.4              20.3               L+3.86%              L+4.16%              3.0            Various              Other              55.1%            64.3%
Senior                     07/19              24.0              20.9              20.8               L+3.00%              L+3.60%              3.0              OH                Office              63.1%            66.1%
Senior                     10/15              23.8              23.8              23.2               L+4.07%              L+5.76%              3.0              MO                 Hotel              73.2%            57.8%
Senior                     05/21              23.3              16.9              16.7               L+3.50%              L+4.09%              3.0              LA              Multifamily           68.0%            69.6%
Senior                     02/22              22.9              19.4              19.2               S+3.90%              S+4.29%              3.0              CO                Office              64.4%            60.2%
Senior                     06/18              22.8              18.4              18.3               L+4.21%              L+4.73%              3.0              FL                Retail              74.0%            69.4%
Senior                     04/18              22.2              22.2              22.1               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              21.1               L+3.25%              L+3.63%              3.0              GA              Multifamily           77.0%            68.7%
Senior                     10/18              21.4              21.2              20.9               L+4.21%              L+5.16%              3.0              CT                 Hotel              75.4%            66.9%
Senior                     03/19              21.1              20.8              20.7               L+2.93%              L+3.40%              3.0              KY              Multifamily           69.8%            69.9%
Senior                     06/19              21.0              19.9              19.9               L+2.90%              L+4.24%              3.0              GA               Mixed-Use            60.6%            67.4%
Senior                     05/21              20.6              18.5              18.3               L+3.99%              L+4.41%              3.0              FL              Multifamily           69.8%            62.8%
Senior                     01/18              19.3              17.6              17.6               L+4.77%              L+5.50%              3.0              PA               Mixed-Use            66.8%            67.3%
Senior                     10/18              19.2              17.0              17.0               L+3.24%              L+3.69%              3.0              TX                Office              73.0%            69.9%
Senior                     11/18              19.0              16.7              16.6               L+3.20%              L+3.83%              3.0              CA                Office              73.1%            64.5%
Senior                     08/17              17.5              14.5              14.4               L+4.77%              L+5.49%              3.0              PA                Office              66.7%            67.3%
Senior                     06/21              16.7              13.5              13.3               L+3.35%              L+3.82%              4.0              IN              Multifamily           67.0%            66.4%
Senior                     07/18              15.4              11.1              11.0               L+3.75%              L+4.35%              3.0              CA                Office              77.1%            63.5%
Senior                     06/19              15.2              11.6              11.6               L+3.96%              L+4.69%              3.0              NY                Office              40.7%            60.0%
Senior                     08/21              14.4              14.0              13.9               L+3.65%              L+3.88%              3.0              CO                Office              72.0%            63.7%
Mezzanine                  01/17              13.9              13.9              13.1                8.00%                8.11%              10.0              HI                 Hotel              41.4%            36.2%
Senior                     09/19              12.0              11.8              11.7               L+2.99%              L+3.50%              3.0              WI              Multifamily           51.4%            75.0%
Mezzanine                  11/15              0.4                0.4                -                13.00%                12.50%             10.0              NY                 Hotel              68.3%            58.0%

Total/Weighted Average                      $4,248.2          $3,889.5          $3,830.0           L+/S+3.51%            L+/S+4.07%            3.1                                                    66.1%            63.1%


____________________
(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.
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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 portfolio as of June 30, 2022:



                    [[Image Removed: gpmt-20220630_g1.jpg]]

[[Image Removed: gpmt-20220630_g2.jpg]][[Image Removed: gpmt-20220630_g3.jpg]]

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 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
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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.

We maintain strong relationships and an active asset management dialogue with
our borrowers. We have leveraged those strong relationships to minimize the
negative impacts of the COVID-19 pandemic on our portfolio, particularly in
respect of the properties securing loans in our portfolio experiencing
COVID-19-related business interruptions and pressure on operating cash flows.
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:

(dollars in thousands)                                           June 30,                                                                December 31,
                                                                   2022                                                                      2021
                                                              Unpaid Principal                                                          Unpaid Principal
         Risk Rating                  Number of Loans             Balance              Carrying Value           Number of Loans             Balance              Carrying Value
1                                              8              $     292,285          $       291,458                     9              $     245,939          $       245,042
2                                             59                  2,083,389                2,060,713                    58                  2,002,008                1,983,615
3                                             27                    869,253                  861,050                    25                    747,631                  739,343
4                                              8                    436,641                  427,954                    11                    633,153                  627,938
5                                              2                    207,911                  188,839                     2                    168,094                  145,370
Total                                        104              $   3,889,479          $     3,830,014                   105              $   3,796,825          $     3,741,308

Other Portfolio Developments


During the three months ended June 30, 2022, a first mortgage loan with a
principal balance of $93.8 million collateralized by an office property located
in San Diego, CA, was downgraded to a risk rating of "5" as a result of the
collateral property's operating performance being adversely affected by the
ongoing office leasing market challenges related to the COVID-19 pandemic. We
have determined that the recovery of the loan principal is collateral-dependent.
Accordingly, this loan was assessed individually, and we have elected to apply a
practical expedient in accordance with "Financial Instruments - Credit Losses -
Measurement of Credit Losses on Financial Instruments (Topic 326)," or ASU
2016-13. At June 30, 2022, we recorded an allowance for credit loss of $4.5
million on the unpaid principal balance of this loan based on our estimate of
fair value using the estimated proceeds available from the borrower's sale of
the collateral property less the estimated cost to sell the property.
Additionally, as of June 30, 2022, we placed this loan on nonaccrual status.

During 2021, we entered into a loan modification related to a retail asset
located in Pasadena, CA, which was classified as troubled debt restructuring
under GAAP. This modification included, among other changes, a partial deferral
of the loan's contractual interest payments due to the collateral property's
cash flows and operating performance being adversely affected by the ongoing
effects of the COVID-19 pandemic. This loan had also been previously modified.
At June 30, 2022, this first mortgage loan had an outstanding principal balance
of $114.1 million, and during the three and six months ended June 30, 2022, was
maintained at a risk rating of "5". We have determined that the recovery of the
loan's principal is collateral-dependent. Accordingly, this loan was assessed
individually, and we elected to apply a practical expedient in accordance with
ASU 2016-13. At June 30, 2022, we recorded an allowance for credit loss of $14.1
million on this loan based on our estimate of fair value of the loan's
underlying collateral using the discounted cash flow method of valuation less
the estimated cost to foreclose and sell the property. The estimation of the
fair value of the collateral property also involved using various Level 3
inputs, which were in part developed based on discussions with various market
participants and management's best estimates as of the valuation date and
required significant judgment. Additionally, during 2021, we placed this loan on
nonaccrual status and reversed $0.3 million of interest income. This loan's
maturity date has passed without the loan being paid off. We are evaluating, and
at any given time may be pursuing, a variety of potential options with respect
to the resolution of this loan, which, among others, may include a foreclosure,
negotiated deed-in-lieu of foreclosure, a sale of the underlying collateral
property or a sale of the loan.


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Portfolio Financing

As of June 30, 2022, our portfolio financing consisted of repurchase facilities
collateralized by loans held-for-investment, securitized debt obligations
collateralized by pools of loans held-for-investment issued in CRE CLOs and an
asset-specific financing facility collateralized by loans held-for-investment.
Our non-mark-to-market financing sources accounted for approximately 53.6% of
portfolio loan-level financing as of June 30, 2022.

The following table details our portfolio loan-level financing as of June 30,
2022, and December 31, 2021:

                                       June 30,        December 31,
(in thousands)                           2022              2021
CRE CLOs                             $ 1,425,556      $  1,677,619
Term financing facility                        -           127,145
Asset-specific financing facility         43,622            43,622

Total non-mark-to-market financing 1,469,178 1,848,386
Secured repurchase agreements 1,271,659

           677,285
Total portfolio financing            $ 2,740,837      $  2,525,671




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 and the CRE CLOs
as of June 30, 2022, and December 31, 2021:

                                               June 30,        December 31,
               (in thousands)                    2022              2021
               Loans held-for-investment     $ 3,644,240      $  3,681,089

               Restricted cash                    69,492            12,362

               Total                         $ 3,713,732      $  3,693,451


Secured Repurchase Agreements


As of June 30, 2022, we had repurchase facilities in place with five
counterparties (lenders) with aggregate outstanding borrowings of $1.3 billion,
which financed a portion of our loans held-for-investment. As of June 30, 2022,
the weighted average borrowing rate on our repurchase facilities was 3.7%, the
weighted average advance rate was 70.4%, and the term to maturity ranged from
363 days to approximately 2.9 years, with a weighted average remaining maturity
of 1.6 years.
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The table below details our secured repurchase facilities as of June 30, 2022:
                                                                                         June 30, 2022
                                                                                                Amount               Unused
(in thousands)                             Maturity Date (1)             Committed            Outstanding           Capacity            Total Capacity
Repurchase facilities:
Morgan Stanley Bank (2)                 June 28, 2023                  No                   $    581,440          $   18,560          $       600,000
Goldman Sachs Bank USA (3)              July 13, 2023                  No                   $    127,725          $  122,275          $       250,000
JPMorgan Chase Bank (4)                 June 28, 2024                  No                   $    177,228          $  172,772          $       350,000
Citibank (5)                            May 25, 2025                   No                   $    285,266          $  214,734          $       500,000
Wells Fargo Bank (6)                    June 28, 2023                  No                   $    100,000          $        -          $       100,000



(1)The facilities are set to mature on the stated maturity date, unless extended
pursuant to their terms.
(2)During the three months ended June 30, 2022, the Company extended the
maturity date to June 28, 2023, and increased the total capacity to $600
million.
(3)As of June 30, 2022, the Company retained options to increase the maximum
facility capacity amount up to $350 million, subject to customary terms and
conditions.
(4)During the three months ended June 30, 2022, the Company extended the
maturity date to June 28, 2024, and decreased the total capacity to $350
million.
(5)During the three months ended June 30, 2022, the Company extended the
maturity date to May 25, 2025.
(6)During the three months ended June 30, 2022, the Company extended the
maturity date to June 28, 2023.


Under our repurchase facilities, our counterparties may make margin calls
because 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 to such counterparty. At maturity, any cash on
deposit as collateral is generally applied against the repurchase facility
balance, thereby reducing the amount borrowed. Should the value of our assets
suddenly decrease, significant margin calls on our repurchase facilities could
result, causing an adverse change in our liquidity position.

Commercial Real Estate Collateralized Loan Obligations


We have financed certain pools of our loans through CRE CLOs. At June 30, 2022,
we had three CRE CLOs outstanding: GPMT 2021-FL4, GPMT 2021-FL3 and GPMT
2019-FL2, totaling $1.4 billion of outstanding borrowings, financing 55 of our
existing first mortgage loan investments with an aggregate principal balance of
$1.9 billion. On April 22, 2022, the Company redeemed the GPMT 2018-FL1 CRE CLO,
which at its redemption had $103.6 million of outstanding borrowings. The CRE
CLOs provide us with an attractive cost of funds and, as of June 30, 2022,
financed 46.0% of our total loan portfolio principal balance on a term-matched,
non-recourse and non-mark-to-market basis.


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The following table details our CRE CLO securitized debt obligations:

                                                                                              June 30,
(dollars in thousands)                                                                          2022
                                                                    Principal
               Securitized Debt Obligations                          Balance             Carrying Value          Wtd. Avg. Yield/Cost (1)
GPMT 2021-FL4 CRE CLO
Collateral assets (2)                                            $    621,440          $       613,325                             L+ 3.7%
Financing provided                                                    502,564                  498,677                             L+ 1.7%
GPMT 2021-FL3 CRE CLO
Collateral assets (3)                                                 763,654                  757,609                              L+3.9%
Financing provided                                                    625,772                  625,698                              L+1.7%
GPMT 2019-FL2 CRE CLO
Collateral assets                                                     472,508                  470,557                              L+4.0%
Financing provided                                                    301,310                  301,181                              L+2.0%

Total
Collateral assets                                                $  1,857,602          $     1,841,491                              L+3.9%
Financing provided                                               $  1,429,646          $     1,425,556                              L+1.7%


____________________
(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.
(2)Includes $29.6 million of restricted cash as of June 30, 2022. No restricted
cash is included as of December 31, 2021. Yield on collateral assets is
exclusive of restricted cash.
(3)No restricted cash is included as of June 30, 2022. Includes $10.4 million of
restricted cash as of December 31, 2021. 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
with CIBC Bank USA 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 June 30, 2022:

                                                                                         June 30,
(dollars in thousands)                                                                     2022
                                                                  Principal           Carrying
            Asset-Specific Financing Facility                      Balance             Value            Wtd. Avg. Yield/Cost (1)
CIBC Asset-Specific Financing Facility
Collateral assets                                               $   57,954          $  57,794                              L+3.4%
Borrowings outstanding                                              43,622             43,622                              L+1.7%


____________________
(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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Corporate Financing

Convertible Senior Notes

As of June 30, 2022, the total outstanding amount due on convertible senior
notes was $275.4 million. The notes are unsecured and pay interest semiannually
at a rate of 5.625% per annum on the notes maturing in December 2022, and a rate
of 6.375% per annum on the notes maturing in October 2023. As of June 30, 2022,
these notes had a conversion rate of 51.9943 and 50.0894 shares of common stock
per $1,000 principal amount of the notes, respectively.

As of June 30, 2022, the following convertible senior notes were outstanding:


                                                                                                   June 30,
(dollars in thousands)                                                                               2022
                                                                                                                         All-in Cost
       Convertible Senior Notes              Principal Balance        Carrying Value            Interest Rate                (1)                Maturity Date
Convertible Senior Notes Maturing 2022              143,750             143,337                            5.6  %              6.4  %             December 1, 2022
Convertible Senior Notes Maturing 2023              131,600             130,485                            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, term financing facility, CRE CLOs, senior secured term loan facilities
and convertible senior notes for the three months ended June 30, 2022, and the
four immediately preceding quarters:

                                                      Quarterly           End of Period        Maximum Balance
(in thousands)                                         Average               Balance           of Any Month-End
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
For the Three Months Ended December 31, 2021       $  2,985,109          $  2,938,493          $   3,031,364
For the Three Months Ended September 30, 2021      $  2,974,497          $  2,927,103          $   3,014,681
For the Three Months Ended June 30, 2021           $  2,989,774          $  2,868,936          $   3,129,181


Financial Covenants

Our financial covenants and guarantees for outstanding borrowings related to our
repurchase and asset-specific financing facilities generally require the Company
to maintain compliance with the following most restrictive covenants across the
agreements:
Financial Covenant           Description                                 Value as of June 30, 2022
Cash Liquidity               Unrestricted cash liquidity of no less than

Unrestricted cash of $150.2 million

                             the greater of $30.0 million and 5.0% of
                             recourse indebtedness, which was $32.2
                             million.
Tangible Net Worth           Tangible net worth greater than the sum of  

Tangible net worth of $1.1 billion

                             (i) 75.0% of tangible net worth as of June
                             28, 2017, and (ii) 75.0% of net cash
                             proceeds of equity issuances after June 28,
                             2017, which calculates to $931.7 million.
Leverage Ratios              Target asset leverage ratio cannot exceed  

Target asset leverage ratio of 68.9%;

                             77.5% and total leverage ratio cannot       

Total leverage ratio of 73.6%

                             exceed 80.0%.
Interest Coverage            Interest coverage ratio of no less than     

Interest coverage of 1.8:1.0

                             1.5:1.0


We were in compliance with all financial covenants as of June 30, 2022.

Leverage Ratios

As of June 30, 2022, the total debt-to-equity ratio with respect to our loans
held-for-investment was 2.7:1.0, and our recourse leverage ratio was 1.4:1.0.

The following table represents the Company’s recourse leverage ratio and total
leverage ratio as of June 30, 2022, and December 31, 2021:

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                                June 30, 2022    December 31, 2021
Recourse leverage ratio (1)                 1.4                  0.9
Total leverage ratio (2)                    2.7                  2.5

(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 June 30,
2022, 98.2% of our loan investments by carrying value earned a floating rate of
interest and were financed with liabilities that pay interest on a floating rate
basis, and 0.8% of our loan investments by carrying value earned a floating rate
of interest and were unencumbered, which resulted in an amount of net equity
that is positively correlated to rising interest rates, subject to the impact of
interest rate floors on certain of our floating rate loan investments. As of
June 30, 2022, 1.2% of our loan investments by carrying value 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.

The following table details our loan portfolio's net floating rate exposure as
of June 30, 2022:
(in thousands)                       Net Exposure
Floating rate assets (1)            $  3,783,751
Floating rate liabilities (1)(2)       2,740,837
Net floating rate exposure          $  1,042,914


(1) Floating rate assets and liabilities are indexed to the London Interbank
Offered Rate (LIBOR) or the Secured Overnight Financing Rate (SOFR).

(2) Floating rate liabilities include our outstanding repurchase facilities,
asset-specific financing 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 six months ended June 30, 2022, and 2021:

                                                                 Three Months Ended June 30, 2022                                             Six 

Months Ended June 30, 2022

                                                                            Interest             Net Yield/Cost of                                        Interest              Net Yield/Cost of
(dollars in thousands)                          Average Balance        Income/Expense (1)              Funds               Average Balance           Income/Expense (1)               Funds
Interest-earning assets (2)
Loans held-for-investment
Senior loans (3)                                $  3,868,746          $          48,700                     5.0  %       $       3,828,245          $          95,639                       5.0  %
Subordinated loans                                    14,394                        356                     9.9  %                  14,601                        715                       9.8  %

Other                                                      -                        223                       -                          -                        246
Total interest income/net asset yield           $  3,883,140          $          49,279                     5.1  %       $       3,842,846          $          96,600                       5.0  %
Interest-bearing liabilities
Borrowings collateralized by:
Loans held-for-investment
Senior loans (3)                                $  2,644,499          $          21,805                     3.3  %       $       2,580,059          $          38,133                       3.0  %
Subordinated loans                                     8,350                         80                     3.8  %                   8,369                        147                       3.5  %

Other:
Convertible senior notes                             273,669                      4,572                     6.7  %                 273,448                      9,118                       6.7  %
Senior secured term loan facilities                   34,460                        886                    10.3  %                  72,006                      3,754                      10.4  %
Total interest expense/cost of funds            $  2,960,978                     27,343                     3.7  %       $       2,933,882                     51,152                       3.5  %
Net interest income/spread                                            $          21,936                     1.4  %                                  $          45,448                       1.5  %


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                                                                Three Months Ended June 30, 2021                                              Six Months Ended June 30, 2021
                                                                          Interest              Net Yield/Cost of                                        Interest              Net Yield/Cost of
(dollars in thousands)                        Average Balance        Income/Expense (1)               Funds                Average Balance          Income/Expense (1)               Funds
Interest-earning assets (2)
Loans held-for-investment
Senior loans (3)                              $  3,689,170          $          48,970                       5.3  %       $       3,773,222          $        102,627                       5.4  %
Subordinated loans                                  15,977                        380                       9.5  %                  16,173                       762                       9.4  %

Other                                                    -                        103                         -                          -                       203

Total interest income/net asset yield $ 3,705,147 $

   49,453                       5.3  %       $       3,789,395          $        103,592                       5.5  %
Interest-bearing liabilities
Borrowings collateralized by:
Loans held-for-investment
Senior loans (3)                              $  2,479,380          $          16,410                       2.6  %       $       2,570,979          $         32,910                       2.6  %
Subordinated loans                                   8,489                         67                       3.2  %                   8,510                       134                       3.1  %

Other:
Senior secured term loan facilities                207,621                      5,653                      10.9  %                 207,253                    10,933                      10.6  %
Convertible senior notes                           271,930                      4,544                       6.7  %                 271,723                     9,062                       6.7  %

Total interest expense/cost of funds          $  2,967,420                     26,674                       3.6  %       $       3,058,465                    53,039                       3.5  %
Net interest income/spread                                          $          22,779                       1.7  %                                  $         50,553                       2.0  %


____________________
(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.
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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 net 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 COVID-19 pandemic
and rising interest rates, and how they will affect the results of our
operations.

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. The COVID-19 pandemic and rising market interest
rates have resulted in significant disruptions 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. The dislocation in capital markets and decline in real
estate sale transaction and refinancing activities caused by the pandemic and
higher interest rates 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 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. The COVID-19 pandemic and rising interest rates have resulted
in significant disruptions in financial markets and uncertainty about the
overall macroeconomic outlook. Declines in economic conditions could 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 collateralized loan
obligations, or 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. We
try to mitigate this risk 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 originated or acquired investments. Nevertheless,
unanticipated credit losses, including as a result of the COVID-19 pandemic,
rising interest rates and capital markets volatility, could occur that could
adversely impact our operating results.

The Environmental, Social and Governance, or ESG, risks associated with our
potential collateral and borrowers also pose credit risks to us. We try to
mitigate these risks by incorporating diligence practices into our investment
process to identify material ESG matters 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
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standards and bribery and corruption. In addition, our Anti-Money Laundering
Policy is designed to help prevent money laundering and terrorist financing.

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.


The COVID-19 pandemic significantly impacted the commercial real estate markets,
causing reduced occupancy, requests from tenants for rent deferral or abatement
and delays in construction and development projects currently planned or
underway. While the economy has improved significantly, macroeconomic trends
associated with the COVID-19 pandemic have persisted and could continue to
persist and impair our borrowers' ability to pay principal and interest due to
us under our loan agreements.

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

Our operating results are also impacted by the allowance for credit loss we
record for loans held-for-investment using the Current Expected Credit Loss, or
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 debt securities 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. 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. Until recently, interest rates
remained at relatively low levels and the Federal Reserve maintained the federal
funds rate target range at 0.00% to 0.25% for much of 2020 and 2021. However, in
response to the inflationary pressures, earlier in 2022 the Federal Reserve
began raising its federal funds rate target range and indicated that, due to the
persistent high rate of inflation, it anticipates further increases in interest
rates throughout 2022 and into 2023. Any such 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 any additional interest income we earn on our floating rate investments
may be subject to caps and/or in-the-money floors that may limit the growth of
our interest income until interest rates rise above such floors, or loans with
such floors are repaid or refinanced, and may not compensate for such increase
in interest expense. 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
fixed-rate investments, which 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.

Summary of Results of Operations and Financial Condition


Our GAAP net loss attributable to common stockholders was $(17.4) million (or
$(0.32) per basic weighted average share) for the three months ended June 30,
2022, as compared to GAAP net income attributable to common stockholders of $1.0
million (or $0.02 per basic weighted average share) for the three months ended
March 31, 2022. The decrease in GAAP results was primarily due to provision for
credit losses of $(13.6) million and charge on early extinguishment of debt of
$(13.0) million incurred during the three months ended June 30, 2022.

Comparison of the Three Months Ended June 30, 2022, and March 31, 2022

Net Interest Income

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



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(in thousands)
Income Statement Data:                        June 30, 2022       March 31, 2022       Q2'22 vs Q1'22
Interest income:
Loans held-for-investment                    $       49,056      $        47,298      $        1,758

Cash and cash equivalents                               223                   23                 200
Total interest income                                49,279               47,321      $        1,958
Interest expense:
Repurchase facilities                                10,380                5,008               5,372
Securitized debt obligations                         10,844                9,732               1,112
Convertible senior notes                              4,572                4,546                  26
Term financing facility                                 340                1,373              (1,033)
Asset-specific financings                               322                  282                  40

Senior secured term loan facilities                     886                2,868              (1,982)

Total interest expense                               27,344               23,809               3,535
Net interest income                                  21,935               23,512              (1,577)


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 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 June 30, 2022, increased to $49.3
million
from $47.3 million mainly due to a higher average balance of our
interest-earning assets and an increase in interest rates.

Interest Expense


Interest expense for the three months ended June 30, 2022, increased to $27.3
million from $23.8 million mainly due to higher average borrowings on repurchase
facilities and higher short-term interest rates, partially offset by a lower
average balance on higher-cost senior secured term loan facilities and the term
financing facility.

Provision for Credit Losses

Consistent with the methodology used during the adoption of ASU 2016-13 on
January 1, 2020, we continue to use a probability-weighted analytical model to
estimate and recognize an allowance for credit losses on loans
held-for-investment and their related unfunded commitments. Additionally, in
determining the allowance for credit losses estimate through June 30, 2022, we
employed third party licensed macroeconomic forecasts, over the reasonable
projection period. Significant inputs to our estimate of the allowance for
credit losses include loan specific factors such as DSCR, LTV, remaining loan
term, property type and others. As part of our quarterly review of our loan
portfolio, we assess the repayment date of each loan, which is used to determine
the contractual term for purposes of computing our CECL reserve. In certain
instances, for loans with unique risk characteristics, we may instead elect to
employ different methods to estimate loan losses that also conform to ASU
2016-13 and related guidance.

Allowance for credit losses related to off-balance sheet future funding
commitments is recorded as a component of other liabilities. Changes in the
provision for credit losses for both the assets and their related unfunded
commitments are recognized through net (loss) income on the condensed
consolidated statements of comprehensive (loss) income. The following table
presents the components of (provision for) benefit from credit losses for the
three months ended June 30, 2022, and March 31, 2022:

                                                               Three Months Ended               Three Months Ended
                                                                    June 30,                        March 31,
(in thousands)                                                        2022                             2022
(Provision for) benefit from credit losses on:
Loans held-for-investment                                      $        (13,126)               $          (3,364)

Other liabilities                                                        (1,013)                            (324)
Recoveries of amounts previously written off                                512                                -
Total (provision for) benefit from credit losses               $        (13,627)               $          (3,688)


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During the three months ended June 30, 2022, we recorded a provision for credit
losses of $(13.6) million, which included a recovery of amounts previously
written off of $0.5 million. The increase in our estimate of allowance for
credit losses was primarily driven by implementing in our analysis a more
conservative macroeconomic forecast due to an elevated uncertainty for
macroeconomic outlook due to inflationary pressures, continuing supply chain
disruptions, interest rate volatility and other factors and an increase of
$(4.0) million in the provision on a collateral-dependent loan.

Loss on Extinguishment of Debt


Loss on extinguishment of debt for the three months ended June 30, 2022,
increased to $(13.0) million from $(5.8) million mainly due to the payoff of the
remaining $100.0 million of senior secured term loan facilities and full
repayment of the term financing facility, compared to a partial repayment of
$50.0 million of the senior secured term loan facilities during the three months
ended March 31, 2022.

Expenses

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

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

Compensation and benefits                                               $          5,770             $       5,816
Servicing expenses                                                      $          1,500             $       1,461

Other operating expenses                                                $          2,185             $       2,614
Annualized total operating expense ratio                                             3.5  %                    3.7  %

Annualized core operating expense ratio (excluding
non-cash equity compensation)

                                                        2.8  %                    2.9  %


We incur compensation and benefits expenses, servicing expenses related to the
servicing of commercial real estate loans and other operating expenses.
Compensation and benefits and servicing expenses for the three months ended
June 30, 2022, as compared to the three months ended March 31, 2022, were
relatively stable quarter over quarter. The decrease in other operating expenses
for the three months ended June 30, 2022, as compared to the three months ended
March 31, 2022, was primarily due to decrease in certain professional service
fees. Our operating expense ratio, during the three months ended June 30, 2022,
as compared to the three months ended March 31, 2022, decreased modestly
primarily due to lower other operating expenses.
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Comparison of the Six Months Ended June 30, 2022, and June 30, 2021

Net Interest Income

The following table presents the components of interest income and interest
expense for the six months ended June 30, 2022, and the six months ended
June 30, 2021:



(in thousands)
Income Statement Data:                                              June 30, 2022           June 30, 2021          YTD'22 vs YTD'21
Interest income:
Loans held-for-investment                                         $       

96,354 $ 103,389 $ (7,035)


Cash and cash equivalents                                                    246                     203                        43
Total interest income                                                     96,600                 103,592          $         (6,992)
Interest expense:
Repurchase facilities                                                     15,388                  14,998                       390
Securitized debt obligations                                              20,576                  11,746                     8,830
Convertible senior notes                                                   9,118                   9,062                        56
Term financing facility                                                    1,713                   4,755                    (3,042)
Asset-specific financings                                                    604                   1,545                      (941)

Senior secured term loan facilities                                        3,754                  10,933                    (7,179)

Total interest expense                                                    51,153                  53,039                    (1,886)
Net interest income                                                       45,447                  50,553                    (5,106)


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 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, amendments of existing investments, additional fundings, upsizings
and repayments.

Interest Income

Interest income for the six months ended June 30, 2022, decreased to $96.6
million
from $103.6 million mainly due to a lower average balance of our
interest-earning assets, excluding nonaccrual loans, partially offset by an
increase in interest rates net of the impact of interest rate floors on our
assets.

Interest Expense

Interest expense for the six months ended June 30, 2022, decreased to $51.2
million
from $53.0 million mainly due to a lower average balance on senior
secured term loan facilities, partially offset by an increase in interest rates.

Provision for Credit Losses

Allowance for credit losses related to off-balance sheet future funding
commitments is recorded as a component of other liabilities. Changes in the
provision for credit losses for both the assets and their related unfunded
commitments are recognized through net (loss) income on the condensed
consolidated statements of comprehensive (loss) income. The following table
presents the components of (provision for) benefit from credit losses for the
six months ended June 30, 2022, and June 30, 2021:

                                                                Six Months Ended                 Six Months Ended
                                                                    June 30,                         June 30,
(in thousands)                                                        2022                             2021
(Provision for) benefit from credit losses on:
Loans held-for-investment                                      $        (16,490)               $           8,996

Other liabilities                                                        (1,337)                             316
Recoveries of amounts previously written off                                512                                -
Total (provision for) benefit from credit losses               $        (17,315)               $           9,312


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During the six months ended June 30, 2022, we recorded a provision for credit
losses of $(17.3) million. The increase in our estimate of allowance for credit
losses was primarily driven by a write-off of $(10.1) million on the sale of a
loan and an increase of $(4.0) million in the provision on a
collateral-dependent loan. The remaining increase in our provision for credit
losses was related to changes in the portfolio mix and implementing in our
analysis a more conservative macroeconomic forecast due to an elevated
uncertainty for macroeconomic outlook due to inflationary pressures, continuing
supply chain disruptions, interest rate volatility and other factors, partially
offset by a recovery of amounts previously written off of $0.5 million.

Loss on Extinguishment of Debt


During the six months ended June 30, 2022, we recorded a loss on extinguishment
of debt of $(18.8) million, compared to no repayments during the six months
ended June 30, 2021. The increase is due to the payoff of the remaining $150.0
million of senior secured term financing facilities and the full repayment of
the term financing facility during the six months ended June 30, 2022.

Expenses

The following table presents the components of expenses for the six months ended
June 30, 2022, and June 30, 2021:

                                                              Six
                                                             Months
                                                             Ended        Six Months Ended
                                                            June 30,          June 30,
(dollars in thousands)                                                          2022                     2021

Compensation and benefits                                               $        11,586            $      10,477
Servicing expenses                                                      $         2,961            $       2,440

Other operating expenses                                                $         4,799            $       4,691
Annualized total operating expense ratio                                            3.6  %                   3.7  %

Annualized core operating expense ratio (excluding
non-cash equity compensation)

                                                       2.8  %                   2.8  %


We incur compensation and benefits expenses, servicing expenses related to the
servicing of commercial real estate loans and other operating expenses.
Compensation and benefits expenses for the six months ended June 30, 2022, as
compared to the six months ended June 30, 2021, increased primarily due to an
increase in compensation agreements in early 2022. Servicing expenses for the
six months ended June 30, 2022, as compared to the six months ended June 30,
2021, increased primarily due to an increase in billings under our servicing
agreements. The increase in other operating expenses for the six months ended
June 30, 2022, as compared to the six months ended June 30, 2021, was primarily
due to increased professional service fees. Our operating expense ratio during
the six months ended June 30, 2022, as compared to the six months ended June 30,
2021, remained relatively stable year over year.

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 secured
financing facilities, issuance of CRE CLOs, borrowings under our senior secured
term loan facilities and the issuance and sale of convertible notes. As of
June 30, 2022, our capitalization included $0.3 billion of corporate debt and
$2.7 billion of loan-level financing. No portion of our corporate debt as of
June 30, 2022, matures before December 2022, and our loan-level financing as of
June 30, 2022, is generally term-matched or matures in 2022 or later. Our
$2.7 billion of loan-level financing as of June 30, 2022, includes $1.3 billion
of secured repurchase agreements, $1.4 billion of CRE CLO securitizations, which
are term-matched to the underlying assets, non-recourse and non-mark-to-market
and $43.6 million of asset-specific financing facility.

See Note 4 - Variable Interest Entities and Securitized Debt Obligations, Note 5
- Secured Financing Agreements, Note 6 - Convertible Senior Notes and Note 7 -
Senior Secured Term Loan Facilities to our Condensed Consolidated Financial
Statements included in this Quarterly Report on Form 10-Q for additional details
regarding our securitized debt obligations; our secured financing facilities;
our secured convertible senior notes; and our senior secured term loan
facilities, respectively.

Leverage


From March 31, 2022, to June 30, 2022, our debt-to-equity ratio, defined as
total debt, net of cash, divided by total equity, increased from 2.5:1.0 to
2.7:1.0, mainly driven by a modest increase in loan-level financing and common
share repurchases. 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
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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


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 sources of liquidity as of June 30, 2022:
                                                                        Six Months Ended
(in thousands)                                                            June 30, 2022
Cash and cash equivalents                                         $                  150,192
Approved but unused borrowing capacity on financing
facilities                                                                                 -

Total                                                             $                  150,192


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 June 30, 2022. See Note 12 - Stockholders'
Equity to our Condensed Consolidated Financial Statements included in this
Quarterly Report on Form 10-Q for additional details.

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.

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 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
$3.0 billion of outstanding borrowings under our repurchase facilities,
collateralized loan obligations, asset-specific financing facility and
convertible senior notes; $358.7 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
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types of funding facilities in order to further diversify our financing sources.
The COVID-19 pandemic and sharp increases in interest rates have resulted in
significant disruptions in financial markets and uncertainty about the overall
macroeconomic outlook. Declines in economic conditions could negatively impact
real estate and real estate capital markets, which could make it more difficult
for us to obtain or maintain financing.

The following table provides the maturities of our repurchase facilities,
asset-specific financing facility, term financing facility, securitized debt
obligations, long-term senior secured term loan facilities and convertible
senior notes, net of deferred debt issuance costs, as of June 30, 2022, and
December 31, 2021:

                                           June 30,        December 31,
                   (in thousands)            2022              2021
                   Within one year       $ 1,888,990      $  1,530,671
                   One to three years      1,104,070         1,096,112
                   Three to five years        21,599           311,710
                   Five years and over             -                 -
                   Total                 $ 3,014,659      $  2,938,493



Cash Flows

For the three months ended June 30, 2022, our restricted and unrestricted cash
and cash equivalents balance decreased approximately $34.4 million, to $219.7
million. The cash movements can be summarized by the following:

•Cash flows from operating activities. For the three months ended June 30, 2022,
operating activities increased our cash balances by approximately $9.6 million,
primarily driven by our financial results.

•Cash flows from investing activities. For the three months ended June 30, 2022,
investing activities decreased our cash balances by approximately $91.0 million,
primarily driven by originations of loans held-for-investment, offset by
repayments of loans held-for-investment and proceeds from loan sales.

•Cash flows from financing activities. For the three months ended June 30, 2022,
financing activities increased our cash balances by approximately $47.0 million,
primarily driven by proceeds from repurchase facilities and issuance of
preferred stock, offset by principal payments on repurchase facilities,
principal payments on securitized debt obligations, repayment of senior secured
term loan facilities, the term financing facility and share repurchases.

Corporate Activities

Senior Secured Term Loan Facilities Payoff


During the three months ended June 30, 2022, we prepaid the remaining
$100.0 million of the $225.0 million we borrowed under our senior secured term
loan facilities, resulting in a total payment of approximately $105.7 million,
inclusive of the principal amount, prepayment penalty and accrued interest. As a
result of this repayment, we realized a charge on early extinguishment of debt
of approximately $(11.3) million, or $(0.21) per basic share, comprised of the
prepayment penalty and a charge-off of unamortized discount including
transaction costs.

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 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. Recently, the
Federal Reserve approved increases to its federal funds rate target range and
has indicated that, in light of the high rate of inflation, it foresees further
increases in interest rates throughout the year and into 2023 and 2024. 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.
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