COMMERCIAL MORTGAGE LOANS HELD-FOR-INVESTMENT (Tables)

6 Months Ended

Jun. 30, 2022

Receivables [Abstract]

Summary of Commercial Mortgage Loans

The following tables summarize certain characteristics of the Company's investments in commercial mortgage loans as of June 30, 2022 and December 31, 2021:

						Weighted Average
Loan Type	Unpaid Principal Balance		Carrying Value		Loan Count	Floating Rate Loan %		Coupon(1)		Term  (Years)(2)
June 30, 2022
Loans held-for-investment
Senior secured loans(3)	$	1,033,971,397	$	1,034,001,272	69	100.0	%	4.5	%	3.7
Allowance for loan losses	N/A		(351,914)
Loans held-for-investment, net of allowance for loan losses	1,033,971,397		1,033,649,358		69	100.0	%	4.5	%	3.7

						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 1.12% and 0.10% and 30-day Term Secured Overnight Financing Rate ("SOFR") of 1.13% and 0.00% as of June 30, 2022 and December 31, 2021, respectively, inclusive of weighted average interest rate floors of 0.24% and 0.49%, respectively. As of June 30, 2022, 91.5% of the investments by total investment exposure earned a floating rate indexed to one-month

USD LIBOR and 8.5% 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 June 30, 2022, $982,932,117 of the outstanding senior secured loans were held in VIEs and $51,039,280 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 six months ended June 30, 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	222,142,167
Principal payments	(190,040,765)
Accretion of purchase discount	125,098
Amortization of purchase premium	(50,522)
Provision for loan losses	(351,914)
Balance at June 30, 2022	$	1,033,649,358

Summary of Loan Risk Ratings

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 June 30, 2022 and December 31, 2021:

	June 30, 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	45	667,068,717		667,068,717	40	634,438,386	634,438,386
3	23	355,154,481		355,184,356	23	342,350,405	342,305,705
4	—	—		—	3	25,081,203	25,081,203
5	1	11,748,199		11,396,285	—	—	—
	69	$	1,033,971,397	1,033,649,358	66	1,001,869,994	1,001,825,294

Schedule of Geographic Concentrations

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 June 30, 2022 and December 31, 2021:Loans Held-for-Investment

	June 30, 2022		December 31, 2021
Geography
South	48.0	%	46.2	%
Southwest	22.9		27.5
Mid-Atlantic	13.5		7.9
West	8.8		13.9
Midwest	6.1		4.5

Northeast	0.7		—
Total	100.0	%	100.0	%

	June 30, 2022		December 31, 2021
Collateral Property Type
Multifamily	95.4	%	92.0	%
Self-Storage	1.9		5.2
Retail	1.6		1.7
Office	1.1		1.1
Total	100.0	%	100.0	%

Schedule of Allowance for Loan Losses

The following table presents the changes for the three and six months ended June 30, 2022 and June 30, 2021 in the provision for credit losses on loans held-for-investment:

	Three months ended		Six months ended
	June 30, 2022	June 30, 2021	June 30, 2022	June 30, 2021
Allowance for loan losses at beginning of period	—	—	—	—
Provision for loan losses	351,914	—	351,914	—
Allowance for loan losses at end of period	351,914	—	351,914	—