The following tables summarize certain characteristics of the Company's investments in commercial mortgage loans as of September 30, 2023 and December 31, 2022:


						Weighted Average
Loan Type	Unpaid Principal Balance		Carrying Value(1)		Loan Count	Floating Rate Loan %		Coupon(2)		Term (Years)(3)
September 30, 2023
Loans held-for-investment
Senior secured loans(4)	$	1,363,109,256	$	1,355,547,986	87	100.0	%	8.8	%	3.1
Allowance for credit losses	N/A		(4,716,230)
	1,363,109,256		1,350,831,756		87	100.0	%	8.8	%	3.1


						Weighted Average
Loan Type	Unpaid Principal Balance		Carrying Value		Loan Count	Floating Rate Loan %		Coupon(2)		Term (Years)(3)
December 31, 2022
Loans held-for-investment
Senior secured loans(4)	$	1,076,865,099	$	1,076,148,186	71	100.0	%	7.6	%	3.5
Allowance for credit losses	NA		(4,258,668)
	1,076,865,099		1,071,889,518		71	100.0	%	7.6	%	3.5

(2) Weighted average coupon assumes applicable one-month LIBOR of 4.18% as of December 31, 2022 and 30-day Term Secured Overnight Financing Rate ("SOFR") of 5.33% and 4.19% as of September 30, 2023 and December 31, 2022, respectively, inclusive of weighted average interest rate floors of 0.41% and 0.27%, respectively. As of September 30, 2023, 100.0% of the investments by total investment exposure earned a floating rate indexed to 30-day Term SOFR. As of December 31, 2022, 77.4% of the investments by total investment exposure earned a floating rate indexed to one-month LIBOR and 22.6% of the investments by total investment exposure earned a floating rate indexed to 30-day Term SOFR.

(3) 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.

(4) As of September 30, 2023, $1,338,635,160 of the outstanding senior secured loans were held in VIEs and $12,196,596 of the outstanding senior secured loans were held outside of VIEs. As of December 31, 2022, $996,511,403 of the outstanding senior secured loans were held in VIEs and $75,378,115 of the outstanding senior secured loans were held outside VIEs.

Activity: For the nine months ended September 30, 2023, the loan portfolio activity was as follows:


	Commercial Mortgage Loans Held-for-Investment



Balance at December 31, 2022	$	1,071,889,518
Purchases, advances and originations	517,608,525
Principal payments	(234,559,887)
Accretion of purchase discount	431,009


Amortization of purchase premium	(16,201)
Accretion of deferred loan fees	195,022
Cumulative-effect adjustment upon adoption of ASU 2016-13	(3,549,501)
Provision for credit losses, net	(1,166,729)
Balance at September 30, 2023	$	1,350,831,756

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 September 30, 2023 and December 31, 2022:


	September 30, 2023
				Amortized Cost by Year of Origination
Risk Rating	Number of Loans	Outstanding Principal		2023	2022	2021	2019	2017
1	—	$	—	—	—	—	—	—
2	7	113,292,630		—	111,578,471	—	—	—
3	59	914,218,238		—	391,872,631	493,653,236	—	19,631,380
4	18	266,994,932		—	102,420,800	163,078,861	—	—
5	3	68,603,457		—	—	31,814,789	36,781,588	—
	87	$	1,363,109,257	—	605,871,902	688,546,886	36,781,588	19,631,380


	December 31, 2022
				Amortized Cost by Year of Origination
Risk Rating	Number of Loans	Outstanding Principal		2022	2021	2019	2018	2017
1	—	$	—	—	—	—	—	—
2	11	153,933,750		85,198,084	67,999,500	—	—	—
3	55	852,474,681		101,654,140	672,421,907	42,077,193	16,672,623	19,668,071
4	3	47,448,000		15,000,000	32,448,000	—	—	—
5	2	23,008,668		—	12,750,000	—	6,000,000	—
	71	$	1,076,865,099	201,852,224	785,619,407	42,077,193	22,672,623	19,668,071

As of September 30, 2023, the average risk rating of the commercial mortgage loan portfolio was 3.4 (Moderate Risk), weighted by investment carrying value, with 75.3% 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, 2022, the average risk rating of the commercial mortgage loan portfolio was 3.0 (Moderate Risk), weighted by investment carrying value, with 93.8% of the net carrying value of commercial loans held-for-investment rated 3 (Moderate Risk) or better by the Company's Manager.

The average risk rating of the portfolio has increased during the nine months ended September 30, 2023. The change in underlying risk rating consisted of loans that paid off with a risk rating of "2" of $34.3 million, "3" of $160.0 million and a risk rating of "5" of $10.8 million, offset by the purchase of commercial mortgage loans with a risk rating of "2" of $63.7 million, "3" of $395.3 million and "4" of $32.0 million during the nine months ended September 30, 2023. Additionally, $70.0 million of loans with a risk rating of "2" transitioned to a risk rating of "3," $187.6 million of loans with a risk rating of "3" transitioned to a risk rating of "4" and $56.0 million of loans with a risk rating of "3" transitioned to a risk rating of "5".

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 September 30, 2023 and December 31, 2022:

Loans Held-for-Investment


	September 30, 2023		December 31, 2022
Geography
South	44.7	%	46.6	%
Southwest	27.1		26.7
Mid-Atlantic	15.1		12.4
Midwest	7.3		8.0


	September 30, 2023		December 31, 2022
Collateral Property Type
Multifamily	93.0	%	89.6	%
Seniors Housing and Healthcare	5.6		6.4
Self-Storage	1.4		1.8
Retail	—		1.6
Office	—		0.6
Total	100.0	%	100.0	%

The following table presents the changes for the three and nine months ended September 30, 2023 and September 30, 2022 in the allowance for credit losses on the outstanding balances of the Company's loans held-for-investment:


	Three months ended				Nine months ended
	September 30, 2023		September 30, 2022		September 30, 2023		September 30, 2022
Allowance for credit losses at beginning of period	$	3,897,895	$	351,914	$	4,258,668	$	—
Cumulative-effect adjustment upon adoption of ASU 2016-13	—		—		3,549,501
Provision for credit losses	818,335		1,521,023		1,179,734		1,872,937
Charge offs	—		—		(4,271,673)
Allowance for credit losses at end of period	$	4,716,230	$	1,872,937	$	4,716,230	$	1,872,937

The following table presents the changes for the three and nine months ended September 30, 2023 and September 30, 2022 in the provision for (release of) credit losses on the unfunded commitments of the Company's loans held-for-investment:


	Three months ended				Nine months ended
	September 30, 2023		September 30, 2022		September 30, 2023		September 30, 2022
Allowance for credit losses at beginning of period	$	55,941	$	—	$	—	$	—
Cumulative-effect adjustment upon adoption of ASU 2016-13	—		—		41,939		—
(Reversal of) credit losses	(26,772)		—		(12,770)		—
Charge offs	—		—		—		—
Allowance for credit losses at end of period	$	29,169	$	—	$	29,169	$	—

We did not have any impaired loans, non-accrual loans, or loans in maturity default other than the loans discussed below as of September 30, 2023 or December 31, 2022.

In February 2023, in connection with the sale of the office building collateralizing an impaired loan by the borrower to an unaffiliated third-party, the Company accepted a discounted payoff of approximately $6.0 million on the impaired loan, which had an unpaid principal balance of $10.3 million. An allowance for credit loss of $4.3 million was recorded for this impaired loan in the year ended December 31, 2022. Upon the discounted payoff, a $4.3 million charge off against the allowance for credit losses was recorded, with de minimis impact to income in the nine months ended September 30, 2023.