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Granite Point Mortgage Trust Inc  (NYSE:GPMT)
Q4 2019 Earnings Conference Call
Feb. 06, 2019, 10:00 a.m. ET

Contents:

Prepared Remarks:

Operator

Good morning. My name is Phil, and I will be your conference facilitator. At this time, I would like to welcome everyone to Granite Point Mortgage's Trust -- Granite Point Mortgage Trust's Fourth Quarter 2018 Financial Results Conference Call. All participants will be in a listen-only mode. After the speakers' remarks, there will be a question-and-answer period.

I would now like to turn the conference over to Chris Petta (ph) with Investor Relations for Granite Point. Please go ahead.

Chris Petta (ph) -- Investor Relations

Thank you, and good morning, everyone. Thank you for joining our call to discuss Granite Point's fourth quarter 2018 financial results. With me on the call this morning are Jack Taylor, our President and CEO; Marcin Urbaszek, our CFO; Steve Alpart, our CIO; and Steve Plust, our COO. After my introductory comments, Jack will provide a summary of our business, activities, and a brief recap of market conditions; Steve Alpart will discuss our fourth quarter originations and pipeline; and Marcin will highlight key items from our financials.

The press release and financial tables associated with today's call were filed yesterday with the SEC. If you do not have a copy, you may find them on our website or on the SEC's website at sec.gov.

In our earnings release and slides, which are now posted in the Investor Relations section of our website, we have provided a reconciliation of GAAP to non-GAAP financial measures. We urge you to review this information in conjunction with today's call. I would also like to mention that this call is being webcast and may be accessed on our website in the same location.

Before I turn the call over to Jack, I would like to remind you that remarks made by management during this conference call and the supporting slides may include forward-looking statements. Forward-looking statements reflect our views regarding future events and are typically associated with the use of words such as anticipate, expect, estimate and believe or other such words. We caution investors not to rely unduly on forward-looking statements. They imply risks and uncertainties, and actual results may differ materially from expectations. We urge you to carefully consider the risks described in our filings with the SEC, which may be obtained on the SEC's website at sec.gov. We do not undertake any obligation to update or correct any forward-looking statements if later events prove them to be inaccurate.

I will now turn the call over to Jack.

John (Jack) A. Taylor -- Chief Executive Officer, President and Director

Thank you, Chris (ph), and good morning, everyone. We would like to welcome you all and thank you for joining our call to discuss our fourth quarter and full-year performance.

2018 was an excellent year for Granite Point. Our business experienced strong growth across the board. With our deep bench of talent and extensive expertise on both sides of the balance sheet, we successfully executed on our strategy and delivered strong results to our shareholders.

We directly originated $1.6 billion of new senior floating rate loans, up 30% from 2017. We grew our investment portfolio by 36% to over $3.2 billion of outstanding principal balance.

To support our strong asset growth, we grew and diversified the structure of our borrowings, while reducing our overall cost of funds. We executed our inaugural CLO securitization to secure efficiently priced term-matched non-recourse and non-mark-to-market financing. We established a new short-term financing facility to provide greater flexibility in managing our liquidity and loan closings. And we raised additional growth capital by accessing the capital markets.

All of our activity resulted in substantial growth in our core earnings and dividends over the course of the year driving shareholder returns. In the fourth quarter, we generated core earnings of $0.40 per share and declared a common dividend of $0.42 per share, which we believe provides an attractive current yield to shareholders.

In addition to all the portfolio and financing related activities, we have advanced our overall platform across various business functions, including originations, capital markets, and financial reporting among others. Notably we have further developed our asset management function in the central part of our business. This is led by a senior executive with some 30 years of commercial real estate credit experience, including senior roles at rating agencies and over 10 years as the Senior Credit Officer at a major investment bank. We have built one of the leading commercial real estate finance platforms and are confident that it will continue to deliver strong results.

Our robust 2018 performance was highlighted by record originations in the fourth quarter. We closed 18 new senior loans with approximately $670 million of total commitments. Our strong originations achievement combined with limited prepayments resulted in significant portfolio growth. With our record fourth quarter loan closings and our forward pipeline of over $200 million of loans, we have largely committed the capital we raised in October when we issued over $130 million of convertible notes.

We continue to see a healthy flow of attractive investment opportunities meeting our return and credit requirements. As a result, we accessed the capital markets again last week and executed our first common stock offering since our IPO by selling 6.85 million shares for total proceeds to the Company of approximately $130 million. This successful offering grew our equity base by 16% and provided us with fresh capital to support further portfolio growth as we continue to gain more scale.

We maintain access to ample sources of capital to fund and grow our business through both capital markets activities and a diversified set of lending counterparties. In managing our funding mix, we have a wide range of options available to us, such as CLO securitizations and additional types of fundings.

Overall, the real estate lending markets continue to be attractive. The credit quality of the loans we originate remain strong and market lending standards are generally rational. Property valuations overall continue to improve and are supported by sound fundamentals and strong macroeconomic trends. We believe that the volatility that impacted the broader markets in the fourth quarter may once again enhance the view of commercial real estate as a safe haven asset.

Since the beginning of the year, we have seen an improvement in overall market sentiment and tone suggesting cautious optimism. Competition for loan assets remains active, though we have seen a moderation in the compression of the loan spreads and even a widening in some instances. This is especially true with regard to the assets that are more suitable for CLO securitizations and is likely a result of the market volatility in the fourth quarter.

As the markets have been stabilizing recently, we have been able to continue to source ample attractive investment opportunities for our portfolio, in part we believe due to our differentiated origination strategy and our reputation as a reliable counterparty built through the relationships our team has developed over decades of lending.

Our business continues to grow and mature and we are confident that our strategy supported by our high-quality platform will deliver attractive risk-adjusted returns to our shareholders over time. We are off to a great start in 2019, and we look forward to another strong year for Granite Point.

Now I will turn the call over to Steve Alpart to discuss our investment activity in more detail.

Stephen Alpart -- Chief Investment Officer, Co-Head of Originations

Thank you, Jack, and thank you all for joining. We appreciate your time this morning.

I'll spend a few minutes reviewing our fourth quarter originations, our forward pipeline, and our portfolio. Following solid portfolio growth in the third quarter, we were able to build a large investment pipeline for the fourth quarter generated by our highly capable direct origination platform. By taking advantage of the many attractive investment opportunities available to us, we accelerated our pace of capital deployment in the fourth quarter and largely committed the new funds we raised in the October convertible bond offering.

In the fourth quarter, we closed 18 new loans with total commitments of approximately $670 million, representing the highest volume of loan closings we've had in a quarter since the inception of our business. Our total fundings in the fourth quarter were approximately $487 million, comprised of about $444 million of initial fundings for the new loans, about $41 million from our pre-existing loan commitments, and $1 million from upsizing two existing loans.

The loans we closed in the fourth quarter are secured by existing, high-quality, income-producing properties across our target markets and are well diversified across property types. They have a weighted average LTV of 65% and a weighted average yield of LIBOR plus 3.83%, reflective of property type mix and general market trends.

We were very pleased to add high-quality loans in the industrial sector, increasing our portfolio allocation from 8% to 11% and providing us with additional diversification. Overall, our ability to actively participate in the lending markets and produce attractive investment opportunities which meet our credit, underwriting standards, and target returns highlights the strength of our platform and the longevity of our relationships with high-quality borrowers.

As we disclosed in December, we had anticipated a low level of prepayments and amortization, and we realized only about $28 million which contributed to very strong portfolio growth in the fourth quarter. The low level of prepayments over the last two quarters, less than $60 million combined, can be partially attributed to our overall active portfolio management. In addition to continuously monitoring our assets from a credit perspective, we're also focused on preserving attractive investments in our portfolio by actively reviewing opportunities to amend loans on properties that are in the later stages of their business plans.

We anticipate prepayments in the current quarter to be higher than the very low levels we realized over the last two quarters, though it is difficult to predict their exact amount and timing. As our portfolio seasons, we continue to believe that it will likely pay off at an annual rate of approximately 25%.

At quarter end, our outstanding portfolio of principal balance was $3.2 billion and $3.9 billion including our future funding commitments. Our investments continue to exhibit strong credit quality with a weighted average stabilized LTV of 63% and a weighted average asset yield at origination of LIBOR plus 4.83%.

Senior loans comprise over 97% of our investments and our portfolio was 98% floating rate, which positions us well for rising short-term rates. Consistent with our investment strategy, our portfolio remains diversified across geographic markets, both major and non-major markets, as well as by property type and sponsorship. The portfolio remains weighted toward the office and multifamily sectors, and we don't foresee our overall property type allocation changing significantly in the near term.

The number of attractive investment opportunities our platform can source remains robust and the market offers a healthy flow of transactions that meet our required underwriting and return criteria. Our record originations and low prepayments in the fourth quarter combined with our forward pipeline resulted in significant capital deployment, which drove our decision to again successfully access the capital markets in the current quarter.

We prudently raised approximately $130 million of common equity, which will allow us to further grow our business and realize benefits of larger scale. In the first quarter, we have made total commitments of over $200 million on new senior floating-rate loans with initial fundings of over $190 million. We have already funded over $140 million of loans and expect the remainder to close later in the first quarter, subject to the typical closing conditions.

With the new capital we will further grow our investment pipeline and expect the new funds to be deployed over the next two to three quarters, depending on the level of prepayments we may realize going forward. In summary, we had a great 2018 highlighted by the strong fourth quarter performance and look forward to continued success executing on our business strategy and delivering attractive returns to our shareholders in the coming year and beyond.

I will now turn the call over to Marcin for a more detailed review of our quarterly financial results.

Marcin Urbaszek -- Chief Financial Officer

Thank you, Steve, and good morning, everyone. Thank you for joining our call. Over the next few minutes, I will review our financial metrics as well as our capitalization and leverage. Our GAAP net income for the fourth quarter was $16.7 million or $0.38 per share and $63.1 million or $1.45 per share for the full year 2018.

Our core earnings was $17.2 million or $0.40 per share for the fourth quarter and $66.3 million or $1.53 per share for the full year. Taxable income for the fourth quarter was $0.41 per share and $0.76 per share for the full year. As a reminder, the difference between our GAAP and taxable income has been mainly related to the GAAP to tax differences resulting from our formation transaction at the time of our IPO. We declared a fourth quarter dividend of $0.42 per common share which brought our full-year dividend to $1.62 per share.

We believe that our dividend offers an attractive current yield to our investors. Our book value at December 31st was $18.97 per common share and was affected by the dividend exceeding our earnings. Our earnings and dividends improved significantly over the course of the year, largely as a result of the successful deployment of our available capital, higher LIBOR, and lower financing costs.

As mentioned earlier, our record originations in the fourth quarter combined with our current pipeline have largely deployed our available capital. Since we continue to generate healthy flow of attractive investment opportunities, to support further growth, last week we decided to access the capital markets and raised $130 million of equity in our first common stock offering since our IPO. The offering was executed at $19 per share to the Company, which is above the December 31 book value per share. As we deploy the new funds over the next two to three quarters, we would expect to see a temporary earnings drag associated with this common equity offering.

At December 31st, our portfolio was 100% performing with no impaired non-accrual or maturity defaulted loans, although two loans with a combined total balance of approximately $37 million were moved to a risk rating of four during the fourth quarter. We don't currently expect to create any loan loss reserves for either of these loans.

At quarter end, we had approximately $1.5 billion outstanding on our repurchase agreements and a total borrowing capacity of $2.3 billion across five financing facilities with large institutions. The cost of financing on our newly originated loans continues to improve and contributed to a decline of 8 basis points in the overall interest rate on the total outstanding balances of our facilities quarter-over-quarter.

In addition to issuing the convertible bonds in October, we also temporarily upsized our short-term financing facility to $105 million at December 31st and subsequently to $150 million in January to help us manage the large volume of loan closings. We are very pleased with our current mix of funding alternatives. We are actively evaluating various options available to us to further diversify our balance sheet and optimize our cost of funds whether through additional securitizations or other forms of secured and unsecured financing instruments.

We ended the fourth quarter with a debt-to-equity leverage ratio of three times, including the non-recourse CLO debt. We anticipate maintaining our leverage around this level, but it may vary quarter-over-quarter depending on our overall balance sheet activity. We believe that this is a prudent level of leverage given our investment strategy and current market conditions, but we may adjust it accordingly if those conditions should change.

Thank you again for joining us today. And now, I will ask the operator to open the call to questions.

Questions and Answers:

Operator

Thank you. We will now begin the question-and-answer session. (Operator Instructions) The first question comes from Jade Rahmani with KBW. Please go ahead.

Jade Rahmani -- Keefe, Bruyette & Woods, Inc. -- Analyst

Thanks very much for taking the questions. Just wondering given the volatile backdrop that played out in the fourth quarter, if you could give any color perhaps on December and January volumes? Was there any pause or a disruption in the market from the volatility and also did you see any forced sellers, perhaps debt funds that had originated loans with anticipation of securitization and that market not being available being forced to sell those loans?

John (Jack) A. Taylor -- Chief Executive Officer, President and Director

Jade, this is Jack Taylor. Good to speak with you and thanks for the question. It was a very interesting period. I'll try to be succinct in describing what happened. The CLO market did freeze up. CMBS spreads widened out. Many people, including ourselves, became cautious during that period. That's one of the reasons our early fourth quarter pipelines were a little lower as we waited through that period, though things picked up pretty quickly by mid-January I would say.

And as a result, there was, I believe, a small reduction in volume across the board. Certainly it was true for us because of the market volatility and the uncertainty as to what was going on with the government shutdown and other factors. I do not believe that there was any significant or any at all forced selling for people that were teeing up for securitizations.

And I would say that the CLO spreads -- the CLO market freezing up, widening out, and anticipated resurgence of the CLO market caused that CLO-oriented asset to be bid wider during that period of time and that's come back in a little bit, but it did reset it out a little bit wider.

Jade Rahmani -- Keefe, Bruyette & Woods, Inc. -- Analyst

Okay. Regarding the two loans that were moved to risk four rating. Can you give any geographic and product type -- property type color on those two loans, the anticipated resolution timeframe, and how do you think it will play out?

Stephen Alpart -- Chief Investment Officer, Co-Head of Originations

Good morning, Jade. It's Steve. Thank you for your question. Let me first start by with a reminder that we have a very active and proactive asset management process. There's always going to be some movement in our transitional loan portfolio. As properties progress through their business plans with a large number of loans, it's natural that some of them will be ahead of schedule, some behind schedule, and that's just a normal part of the business.

With respect to your question on these two assets, one of the loans is secured by an apartment building with ground floor retail in New York. That property is currently undergoing a renovation plan. The second loan is secured by a hotel in California.

I think Marcin mentioned earlier, the two loans have a combined balance of about $37 million. That's about 1% of our portfolio. And just as a reminder for you and for everyone else, risk ranking of four for us indicates a loan with higher risk. Does not mean that the loan is impaired or that a loss is likely. And as Marcin said, we don't expect to create any loan loss reserves for either of these loans.

And then just the other thing I want to mention is that in January last month, January 2019, we got two independent third-party appraisals for each of these loans which confirmed our view that the loans appear to be well collateralized.

Jade Rahmani -- Keefe, Bruyette & Woods, Inc. -- Analyst

What's the average LTV of the loans?

Stephen Alpart -- Chief Investment Officer, Co-Head of Originations

What I would say is that they're well secured based on the recent appraisals, and probably don't want to go into specifics on specific LTVs.

Jade Rahmani -- Keefe, Bruyette & Woods, Inc. -- Analyst

And what's the timeframe for resolution?

Stephen Alpart -- Chief Investment Officer, Co-Head of Originations

Timeframe for resolution, we probably don't want to get into specifics other than saying that (inaudible) current on debt service, they're well secured. As one of our ongoing active asset management process, we probably don't want to go into specifics on timeline at this time.

Jade Rahmani -- Keefe, Bruyette & Woods, Inc. -- Analyst

Okay. The one loan that is funding debt service out of interest reserves and other cash reserves, I guess how much capacity is there? When will those reserves be exhausted?

Stephen Alpart -- Chief Investment Officer, Co-Head of Originations

Right. So that one, as you alluded to, we have -- with all of our loans, we build in a lot of structure, there's a lot of reserves built into these loans. For that specific loan, we have reserves that have built up from property cash flow -- from a property cash flow sweep. And that's the source of the payment for the debt service. As far as the timeline, it's really a function of property performance and other factors, so it's just very difficult to predict how long that would last.

Jade Rahmani -- Keefe, Bruyette & Woods, Inc. -- Analyst

Okay. Any other credit migration post year-end that would be notable?

Stephen Alpart -- Chief Investment Officer, Co-Head of Originations

Not really. I mean, overall I would say that the credit of the portfolio is stable, and in the broader context, we've already talked about that. We would expect to see some migration, but overall the credit of the portfolio at this time is stable.

Jade Rahmani -- Keefe, Bruyette & Woods, Inc. -- Analyst

Okay. Thanks for taking the questions.

Stephen Alpart -- Chief Investment Officer, Co-Head of Originations

Sure.

Operator

Okay. The next question comes from Ben Zucker with BTIG. Please go ahead.

Benjamin Zucker -- BTIG LLC -- Analyst

Good morning, everyone. Thanks for taking my questions and congratulations on a strong close to 2018.

Stephen Alpart -- Chief Investment Officer, Co-Head of Originations

Thanks.

Benjamin Zucker -- BTIG LLC -- Analyst

Just thinking about your liquidity. How long do you think it will take you to work through your available capital? I know you've already gone through the convert proceeds which was nice and quick, and looking at the year-end balance sheet, you had about $90 million of cash on hand and then you raised another $130 million or so. So I'm thinking you have capacity for like $700 million or so backing out then whatever you just said you funded year-to-date $140 million. So do those numbers sound right? Maybe like $550 million of fresh proceeds and then some kind of timeline for deployment there?

Marcin Urbaszek -- Chief Financial Officer

Hey, Ben. It's Marcin. Thanks for joining us.

Benjamin Zucker -- BTIG LLC -- Analyst

Hey, Marcin.

Marcin Urbaszek -- Chief Financial Officer

And thanks for your question. I would say, yeah, you're probably right. We'll probably have something around $700 million, plus or minus. It all depends obviously on the type of assets we originate and also whatever prepayments we may receive. I would say two to three quarters, again depending on prepays, it will probably be two to three quarters before the capital is invested and the results reflect in our earnings.

Benjamin Zucker -- BTIG LLC -- Analyst

That's helpful, Marcin. Thanks. Just turning to the financing side of the balance sheet, what are your thoughts on the CLO market as we sit today? And I ask because spreads have pushed a little bit wider from when you guys completed your last deal in May of 2018, and it feels like the repo and warehouse rates have really only come in. So I'm just wondering on the margin how you view those two financing sources right now.

John (Jack) A. Taylor -- Chief Executive Officer, President and Director

Well, hi, thank you. This is Jack. As we've said in the past, we think the CLO carries many benefits as one of our financing tools, and we have positioned Granite Point as a repeat issuer in the CLO market as we grow, because we believe that many of our assets and I'd say our origination platform generally fit very well within the CLO context. So we're constantly evaluating that market, especially in light of our successful first execution. And as part of that evaluation, we do compare it to (inaudible) sales, warehouse lines, and the cost of funds within the CLO market.

So I would say that our experience has been that the CLO market provided lower and lower cost of funds throughout the year. The warehouse lenders matched maybe sometimes on a trailing (ph) basis but matched that. They held firm through the December turmoil in general on their cost of funds. They're aggressive to us cost of funds, meaning low cost for us. And the CLO market is reopening and while it's wider than it might have been in May of last year than June, July, we were -- we think it still is a competitive market.

Benjamin Zucker -- BTIG LLC -- Analyst

And obviously you picked up some nice benefits there like non-recourse and non-mark-to-market. So (inaudible) benefits in the CLO market.

John (Jack) A. Taylor -- Chief Executive Officer, President and Director

Right. It is -- it can be a lower cost of funds and it is certainly non-mark-to-market, non-recourse leverage.

Benjamin Zucker -- BTIG LLC -- Analyst

From an underwriting perspective, and I'm not even thinking about the spreads on the loans, but has there been any notable change in the underwriting criteria that you've witnessed over the last year or two in the market, and I'm thinking with respect to like in-place debt yields, debt service coverage, those kinds of metrics.

Stephen Alpart -- Chief Investment Officer, Co-Head of Originations

Hey, Ben, it's Steve. Not really. Obviously the underwriting on every loan is going to be tailored to that loan, but the overall metrics, the things you mentioned, LTVs, debt service coverage ratios, debt yields, no significant changes.

Benjamin Zucker -- BTIG LLC -- Analyst

Very helpful. And then last one, and this is just real quickly. I know you guys put in that stock repurchase program for 2 million shares like you were anticipating the December volatility. Did you use any of that authorization because I know you also had a full pipeline? So just wondering how capital allocation went.

John (Jack) A. Taylor -- Chief Executive Officer, President and Director

No, we did not use any of it.

Benjamin Zucker -- BTIG LLC -- Analyst

Got you. Okay, that's it from me guys. Again, great quarter and thanks for taking my questions.

Stephen Alpart -- Chief Investment Officer, Co-Head of Originations

Thank you.

John (Jack) A. Taylor -- Chief Executive Officer, President and Director

Thank you, Ben.

Operator

The next question comes from Arren Cyganovich with Citi. Please go ahead.

Arren Cyganovich -- Citigroup Inc. -- Analyst

Thanks. With respect to the prepayment comments, you indicated they're (ph) likely going to be higher and then the second half obviously they're very low. But what's your outlook for the full year? I know you said around 25% kind of once everything is kind of fully invested. Are we getting to that point where you would expect to be around that level for 2019?

Steven Plust -- Chief Operating Officer

Hey, Arren. This is Steve Plust. Let's just address Q1 for a moment. We've had something like $100 million of prepay so far, and we wouldn't be surprised to see somewhere around $50 million to $100 million more for the quarter. Forward projections of prepayments for full year are harder to do, but as our portfolio is maturing, we would expect something like 25% plus or minus of the portfolio to prepay per year. As we've done in the past, to the extent we can opportunistically work with borrowers whose business plans haven't quite matured to adjust loans to meet their needs will do so as well prospectively.

Arren Cyganovich -- Citigroup Inc. -- Analyst

Okay. And then in terms of the amendments that you may do in the portfolio, I guess how do you balance that? How do you balance the potential yield hit with losing the loan? And also do you book amendment fees associated with that whenever you do amendments?

Stephen Alpart -- Chief Investment Officer, Co-Head of Originations

This is Steve again. I'll let Marcin talk about booking fees. But with respect to an asset we've got in hand that we like the credit and we understand, we feel that we've got a competitive advantage against the market because we've got pre-existing documents and we've got exit fees to work with. So any recut terms we think ought to be as good or better than market terms for that loan had the borrower gone out to the free market and tried to refinance.

Marcin Urbaszek -- Chief Financial Officer

Hey, Arren. It's Marcin. In terms of fees, every situation is obviously different and it depends on particular circumstances. But we do get fees. I would say they are some between 0 and 25 basis points. Again, it depends on a specific situation.

Arren Cyganovich -- Citigroup Inc. -- Analyst

Okay. I guess -- and also just in terms of the market itself, are there any types of property types that you're favoring? I know you tend to focus more on office, multifamily, and industrial currently in the portfolio. Are there any areas that you're more or less attracted to right now?

Stephen Alpart -- Chief Investment Officer, Co-Head of Originations

Hey, good morning. It's Steve. What we'll see in the last two quarters and going forward, I think we'll look very much like what we've been doing in the past. You can see from the presentation that about two-thirds of our portfolio at 12/31 is office and multifamily. We continue to like those two sectors as we've mentioned in the past. We're continuing to be selective on our retail and hotels. But as you've seen from time-to-time, we will make investments in those categories. We're always looking for more industrial. We did do a couple of industrial loans in the fourth quarter that modestly increased our exposure, as we mentioned, from 8% to 11%.

So I mean that's kind of what we're seeing and just some quick commentary. And then some of the property types that we've stayed away from like healthcare, construction loans, land loans, we're now steady state. No change in how we're looking at those. No, not doing those things.

Arren Cyganovich -- Citigroup Inc. -- Analyst

Okay, thank you.

Operator

The next question comes from Rick Shane with J.P. Morgan. Please go ahead.

Richard Shane -- J.P. Morgan & Co. -- Analyst

Hey, guys. Thanks for taking my questions this morning. I just want to talk a little about a couple things that are impacting net interest income. I am curious if there was a timing differential. Obviously the convert was done early in the quarter and I'm wondering if the originations were more back-loaded as we moved through the quarter in the fourth quarter.

Marcin Urbaszek -- Chief Financial Officer

Hey, Rick. Good morning. It's Marcin. Thank you for joining us. Yes, there was definitely some timing difference. I would say more -- majority of our loans closed later in the quarter. Obviously, we raised the capital on the first half of October. So there's definitely some drag on the net interest margin from recognizing interest expense sooner than the interest income from the loans that closed later in the year.

Richard Shane -- J.P. Morgan & Co. -- Analyst

Got it. Okay. Second question and again related to NIM. When you think about how your assets and liabilities repriced related to movements in one month LIBOR, is there any timing differential that we should be aware of due some reset faster or slower than others?

Marcin Urbaszek -- Chief Financial Officer

No, not really. They generally reprice around the same time. There's no real mismatch there.

Richard Shane -- J.P. Morgan & Co. -- Analyst

Got it. And then last question. Is the trade-off with the slower repayments -- the slower repayments help in terms of building the balance sheet. Is the trade-off that the gap between your stated cash coupon and your all-in origination yields narrows if repayments are slow because there's less accretion of fees associated with that? So if we were, for example, to see repayments pickup, would we also see a little bit of a pickup in that all-in yield?

Marcin Urbaszek -- Chief Financial Officer

I think yes. Look, when we -- when the loan repays and its before let's say the maturity, we obviously recognize, we bring in the remaining yield accretion forward. So there is some of that effect.

Richard Shane -- J.P. Morgan & Co. -- Analyst

Got it. And I'm going to drill in a little bit more on that. So when I look at the portfolio, you show a cash coupon of 4.06%, you show an all-in yield of 4.83%. That assumes -- that makes an assumption in terms of repayments. Presumably over the last two quarters, your repayment schedule -- your repayments have been appreciably slower than what you were scheduled when you provide that data. What sort of drag do you think it's creating in terms of basis points between cash coupon -- between the expected all-in yield and the actual all-in yield?

Marcin Urbaszek -- Chief Financial Officer

Just to clarify something. When we -- when we report our yields, these are yields at origination. And we do not project prepayments. When we publish these numbers, we don't project future funding. So this is a -- if we have a loan that's three plus one plus one, this is a three-year maturity loan that amortizes all the fees over three years. And even if the loan has future fundings in it, we do not assume that those future fundings get funded. So it's a relatively straightforward yield calculation as it is at origination. We did not adjust those numbers for any changes to the loan itself. So hopefully that helps.

Richard Shane -- J.P. Morgan & Co. -- Analyst

That actually helps immensely. Thank you. I was looking at it actually in reverse. So thanks, that helps.

Marcin Urbaszek -- Chief Financial Officer

You're welcome.

Operator

Okay. (Operator Instructions) The next question comes from Stephen Laws with Raymond James. Please go ahead.

Stephen Laws -- Raymond James Financial Services Inc. -- Analyst

Hi, good morning. Thanks for taking my questions. Jack, I guess a couple questions. A lot of this has been touched on in previous questions, but you guys have talked a lot about repayments early this year as well as kind of thoughts on the full year. Are there any lumpiness or seasonality to that, specifically assets three, four, and 10 on your breakout look like they were originated in late '15 or early '16? Are those all three with three-year investments with two one-year extensions, or I guess how should I think about the lumpiness or seasonality around the repayments this year?

John (Jack) A. Taylor -- Chief Executive Officer, President and Director

Okay. So as I'm trying to find the assets three, five and 10 ...

Stephen Laws -- Raymond James Financial Services Inc. -- Analyst

It's three, four, and six I think.

John (Jack) A. Taylor -- Chief Executive Officer, President and Director

Three, four, and six you said, OK. Somebody could hand that to me. With respect to the word seasonality, there is no seasonality but there is vintage. So the further along an asset is in its life of this initial term, the more and more likely it's progressed on its business plans. And the fact is that when that is coming closer, a 2016, I would say, all other things being equal, will increase in likelihood over say a 2017 or 2016 prepayment. Is that what you're getting to when you say seasonality?

Stephen Laws -- Raymond James Financial Services Inc. -- Analyst

Yeah, just lumpiness to the year, are there any of these larger loans that you break out on this table that you do expect to pay off? And if so, were those (multiple speakers).

John (Jack) A. Taylor -- Chief Executive Officer, President and Director

So let me just be very specific to say I would not say -- we're not going to predict on any specific asset when it could come. We try to give you within the best of our knowledge, when we say, like Steve Plust did, that there is a 100 that happened and there is another 50 to 100 that we anticipate will happen that could encompass a large loan or not, those numbers will be on that. I would say that the -- now that I have this list, we do have one asset number six that I think it's fair for us to say has prepaid so that you know. And the two others, I don't want to comment about when they might or might not prepay. Another thing I'll say is that when we're looking at an asset that is coming up, just to remind you, last year we did this a significant number of times where because it was to the benefit of the Company's yield, we did negotiate to extend term on a loan that might have otherwise refinanced away from us.

I know that complicates your modeling to say, OK, if it's at the 2.5-year mark and is large, maybe I should anticipate a prepayment soon, even if it's coming up to its initial term, doesn't mean it necessarily is done with its business plan. But I'll just caution you, on some of these assets we will rework the loan with the borrower.

Stephen Laws -- Raymond James Financial Services Inc. -- Analyst

Great. Appreciate the comments. I guess Jack, what's your outlook on the Fed? Where do you see them going, whether it's tightening or easing later this year? And kind of given a year ago, even a couple quarters ago, it looked like continued tightening. Now I think that their view on the outlook of short-term rates has changed. Has that impacted your underwriting at all? Are you guys utilizing LIBOR floors? If so, where are those in your new originations? Can you maybe talk about your outlook on short-term rates?

John (Jack) A. Taylor -- Chief Executive Officer, President and Director

The first comment is I've learned over the years to not have a firm prediction about what the Fed's ever going to do.

Stephen Laws -- Raymond James Financial Services Inc. -- Analyst

And I understand that.

John (Jack) A. Taylor -- Chief Executive Officer, President and Director

Right. And so what I'll talk is how do we react and how do we position ourselves. So even though the pace of any Fed rate increases is rather uncertain and in fact some of the market is believing that LIBOR will come down, our view is that it's still best to be positioned for rising rates and we're not really hurt by lowering rates.

That's from a yield perspective. So we are, as you know, well positioned for rates to rise. And one of the things I will say is that the Fed increasing the short-term rates and putting upward pressure on LIBOR resulted in some of that was just direct impact on our yields. It also had an indirect impact in that it cushioned against some of the spread compression that was happening.

So it wasn't a one for one. If the LIBOR was up 25 basis points, our yields would be up 25 basis points. Similarly, we think if LIBOR were to go down 25 basis points, there may be a little bit of a lessening of the spread pressures. So it's not always a one-for-one correlation.

My personal view is that the Fed has supported the market here in December by signaling that they're not going to go on (inaudible) increase, but that they need to do so over time and that they will. But whether or not it's happening in 2020 or 2021 or 2022 in any significant fashion is yet to be known. And I do think what they've said has made it pretty clear that it's going to be gradualist and incrementalist because of market reactions to it.

We do have LIBOR floors. We've been raising them with LIBOR. And now I would say the range is 190 basis points to 225 basis points on the floor. Steve, were you about to say something looks like?

Stephen Alpart -- Chief Investment Officer, Co-Head of Originations

Yeah, I would say typically now they might be around 200 basis points, plus or minus, 10 basis points to 15 basis points, 20 basis points, around that.

John (Jack) A. Taylor -- Chief Executive Officer, President and Director

Yeah. So yeah, our loans have floors.

Stephen Laws -- Raymond James Financial Services Inc. -- Analyst

Great, appreciate the color there. Then Marcin, one question. The tax core difference due to the assets at the formation transaction, can you talk about how much remaining taxable income is left to accrete into earnings and over what timeframe you expect those formation assets to run off and we'll see the realization of that?

Marcin Urbaszek -- Chief Financial Officer

Sure. Look, I would say, like we said before, it's largely -- we're largely done with that. I don't think there's a few million dollars left, but I don't think this would affect our financial results significantly going forward. So it will probably just be noise. It shouldn't be a very significant impact to us.

Stephen Laws -- Raymond James Financial Services Inc. -- Analyst

Great, thank you. Appreciate you guys taking my questions and look forward to talking to you later today. Take care.

Marcin Urbaszek -- Chief Financial Officer

Thank you.

John (Jack) A. Taylor -- Chief Executive Officer, President and Director

Thank you.

Operator

Seeing no further questions, this concludes our question-and-answer session. I would like to turn the conference back over to Jack Taylor for any closing remarks.

John (Jack) A. Taylor -- Chief Executive Officer, President and Director

And we'd like to thank everyone for joining us today, and we really appreciate your support of our business, and we look forward to speaking with you all again soon. Thank you.

Operator

The conference has now concluded. Thank you for attending today's presentation. You may now disconnect.

Duration: 44 minutes

Call participants:

Chris Petta (ph) -- Investor Relations

John (Jack) A. Taylor -- Chief Executive Officer, President and Director

Stephen Alpart -- Chief Investment Officer, Co-Head of Originations

Marcin Urbaszek -- Chief Financial Officer

Jade Rahmani -- Keefe, Bruyette & Woods, Inc. -- Analyst

Benjamin Zucker -- BTIG LLC -- Analyst

Arren Cyganovich -- Citigroup Inc. -- Analyst

Steven Plust -- Chief Operating Officer

Richard Shane -- J.P. Morgan & Co. -- Analyst

Stephen Laws -- Raymond James Financial Services Inc. -- Analyst

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