COMMERCIAL MORTGAGE LOANS HELD-FOR-INVESTMENT

3 Months Ended

Mar. 31, 2022

COMMERCIAL MORTGAGE LOANS HELD-FOR-INVESTMENT

The following tables summarize certain characteristics of the Company's investments in commercial mortgage loans as of March 31, 2022 and December 31, 2021:


						Weighted Average
Loan Type	Unpaid Principal Balance		Carrying Value		Loan Count	Floating Rate Loan %		Coupon(1)		Term (Years)(2)
March 31, 2022
Loans held-for-investment
Senior secured loans(3)	$	1,077,505,797	$	1,077,516,319	71	100.0	%	3.8	%	3.9
	1,077,505,797		1,077,516,319		71	100.0	%	3.8	%	3.9


						Weighted Average
Loan Type	Unpaid Principal Balance		Carrying Value		Loan Count	Floating Rate Loan %		Coupon(1)		Term (Years)(2)
December 31, 2021
Loans held-for-investment
Senior secured loans(3)	$	1,001,869,994	$	1,001,825,294	66	100.0	%	3.9	%	3.7
	1,001,869,994		1,001,825,294		66	100.0	%	3.9	%	3.7

(1) Weighted average coupon assumes applicable one-month LIBOR of 0.29% and 0.10% and 30-day Term Secured Overnight Financing Rate ("SOFR") of 0.24% and 0.00% as of March 31, 2022 and December 31, 2021, respectively, inclusive of weighted average interest rate floors of 0.27% and 0.49%, respectively. As of March 31, 2022, 93.9% of the investments by total investment exposure earned a floating rate indexed to one-month USD LIBOR and 6.1% of the investments by total investment exposure earned a floating rate indexed to 30-day Term SOFR. As of December 31, 2021, 100% of the investments by total investment exposure earned a floating rate indexed to one-month LIBOR

(2) Weighted average remaining term assumes all extension options are exercised by the borrower, provided, however, that our loans may be repaid prior to such date.

(3) As of March 31, 2022, $998,667,789 of the outstanding senior secured loans were held in VIEs and $78,848,530 of the outstanding senior secured loans were held outside of VIEs. As of December 31, 2021, $974,025,294 of the outstanding senior secured loans were held in VIEs and $27,800,000 of the outstanding senior secured loans were held outside VIEs.

Activity: For the three months ended March 31, 2022, the loan portfolio activity was as follows:


	Commercial Mortgage Loans Held-for-Investment



Balance at December 31, 2021	$	1,001,825,294
Purchases and fundings	184,992,167
Principal payments	(109,356,365)
Accretion of purchase discount	100,572
Amortization of purchase premium	(45,349)
Balance at March 31, 2022	$	1,077,516,319

Loan Risk Ratings: As further described in Note 2, the Company evaluates the commercial mortgage loan portfolio on a quarterly basis and assigns a risk rating based on a variety of factors. The following table presents the principal balance and net book value of the loan portfolio based on the Company's internal risk ratings as of March 31, 2022 and December 31, 2021:


	March 31, 2022				December 31, 2021
Risk Rating	Number of Loans	Unpaid Principal Balance		Net Carrying Value	Number of Loans	Unpaid Principal Balance	Net Carrying Value
1	—	$	—	—	—	—	—
2	56	835,421,563		835,397,037	40	634,438,386	634,438,386
3	12	212,290,430		212,325,478	23	342,350,405	342,305,705
4	3	29,793,804		29,793,804	3	25,081,203	25,081,203
5	—	—		—	—	—	—
	71	$	1,077,505,797	1,077,516,319	66	1,001,869,994	1,001,825,294

As of March 31, 2022, the average risk rating of the commercial mortgage loan portfolio was 2.1 (Moderate Risk), weighted by investment carrying value, with 97.2% of the net carrying value of commercial loans held-for-investment rated 3 (Moderate Risk) or better by the Company's Manager.

As of December 31, 2021, the average risk rating of the commercial mortgage loan portfolio was 2.3 (Low Risk), weighted by investment carrying value, with 97.5% of the net carrying value of commercial loans held-for-invested rated 3 (Moderate Risk) or better by the Company's Manager.

The decrease in average risk rating is primarily the result of commercial mortgage loans that paid off with a risk rating of "2" of $32.3 million, a risk rating of "3" of $69.0 million and a risk rating of "4" of $8.0 million, offset by the purchase of commercial mortgage loans with a risk rating of "2" of $185.0 million during the three months ended March 31, 2022. Additionally, $47.9 million of loans with a risk rating of "2" transitioned to a risk rating of "3", $96.2 million of loans with a risk rating of "3" transitioned to a risk rating of "2" and $12.8 million of loans transitioned from a risk rating of "3" to a risk rating of "4".

Concentration of Credit Risk: The following tables present the geographic and property types of collateral underlying the Company's commercial mortgage loans as a percentage of the loans' carrying value as of March 31, 2022 and December 31, 2021:

Loans Held-for-Investment


	March 31, 2022		December 31, 2021
Geography
South	47.4	%	46.2	%
Southwest	26.5		27.5
West	9.4		13.9
Mid-Atlantic	11.9		7.9
Midwest	4.2		4.5
Northeast	0.6		—
Total	100.0	%	100.0	%


	March 31, 2022		December 31, 2021
Collateral Property Type
Multifamily	94.2	%	92.0	%
Self-Storage	3.2		5.2
Retail	1.5		1.7
Office	1.1		1.1
Total	100.0	%	100.0	%

We did not have any impaired loans, nonaccrual loans, or loans in maturity default as of March 31, 2022 or December 31, 2021.