
								Weighted Average
Loan Type	Unpaid Principal Balance		Carrying Value(1)		Loan Count	Floating Rate Loan %		Coupon(2)		Term (Years)(3)
December 31, 2023
Loans held-for-investment
Senior secured loans(4)	$	1,397,385,160	$	1,389,940,203	88	100.0	%	8.9	%	2.9
Allowance for credit losses	N/A		$	(6,059,006)
	$	1,397,385,160	$	1,383,881,197	88	100.0	%	8.9	%	2.9


								Weighted Average
Loan Type	Unpaid Principal Balance		Carrying Value		Loan Count	Floating Rate Loan %		Coupon(1)		Term (Years)(2)
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
	N/A		$	(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 December 31, 2023 and December 31, 2022, respectively, inclusive of weighted average interest rate floors of 0.38% and 0.27%, respectively. As of December 31, 2023, 100.0% of the investments by total 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..

(4) As of December 31, 2023, $1,375,277,312 of the outstanding senior secured loans were held in VIEs and $8,603,886 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 of VIEs.


	Commercial Mortgage Loans Held-for-Investment
Balance at December 31, 2021	$	1,001,825,294
Purchases and advances	345,158,577
Principal payments	(270,926,723)
Accretion of purchase discount	125,098
Amortization of purchase premium	(61,144)
Accretion of deferred loan fees	27,084
Provision for credit losses	(4,258,668)
Balance at December 31, 2022	$	1,071,889,518
Purchases and advances	594,201,680
Principal repayments	(277,481,511)
Accretion of purchase discount	1,070,701
Amortization of purchase premium	(19,253)
Accretion of deferred loan fees	292,073
Cumulative-effect adjustment upon adoption of ASU 2013-16	(3,549,501)
Provision for credit losses	(2,522,510)
Balance at December 31, 2023	$	1,383,881,197

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 December 31, 2023 and December 31, 2022:


December 31, 2023
				Amortized Cost by Year of Origination
Risk Rating	Number of Loans	Outstanding Principal		2023		2022		2021		2019
1	—	$	—	$	—	$	—	$	—	$	—
2	3	37,720,000		—		37,276,159		—		—
3	67	1,019,844,272		17,887,019		449,921,414		542,010,684		—
4	16	294,150,124		—		134,664,646		156,450,510		—
5	2	45,670,764		—		—		8,889,177		36,781,588
	88	$	1,397,385,160	$	17,887,019	$	621,862,219	$	707,350,371	$	36,781,588


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 December 31, 2023, the average risk rating of the commercial mortgage loan portfolio was 3.5 (Moderate Risk), weighted by investment carrying value, with 75.7% 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 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 year ended December 31, 2023. The change in underlying risk rating consisted of loans that paid off with a risk rating of "2" of $41.2 million, a risk rating of "3" of $192.6 million and a risk rating of "5" of $14.1 million, offset by purchases of commercial mortgage loans with a risk rating of "2" of $7.0 million, a risk rating of "3" of $475.5 million and a risk rating of "4" of $85.9 million during the year ended December 31, 2023. Additionally, $82.1 million of loans with a risk rating of "2" transitioned to a risk rating of "3", $169.9 million of loans with a risk rating of "3" transitioned to a risk rating of "4", $36.8 million of loans transitioned from a risk rating of "3" to a risk rating of "5", and $9.1 million of loans transitioned from a risk rating of "4" to a risk rating of "3".

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 December 31, 2023 and December 31, 2022:


	Year ended
	December 31, 2023		December 31, 2022
Allowance for credit losses at beginning of period	$	4,258,668	$	—
Cumulative-effect adjustment upon adoption of ASU 2016-13	3,549,501		—
Provision for credit losses	2,522,510		4,258,668
Charge offs	(4,271,673)		—
Allowance for credit losses at end of period	$	6,059,006	$	4,258,668


	Year ended
	December 31, 2023		December 31, 2022
Allowance for credit losses at beginning of period	$	—	$	—
Cumulative-effect adjustment upon adoption of ASU 2016-13	41,939		—
Provision for credit losses	1,708		—
Allowance for credit losses at end of period	$	43,647	$	—


	December 31, 2023
	General Reserve		Specific Reserve		Total Reserve
Allowance for credit losses:
Loans held for investment	$	6,059,006	$	—	$	6,059,006
Unfunded loan commitments	43,647		—		43,647
Total allowance for credit losses	$	6,102,653	$	—	$	6,102,653
Total unpaid principal balance	$	1,397,385,160	$	—	$	1,397,385,160


	December 31, 2022
	General Reserve		Specific Reserve		Total Reserve
Allowance for credit losses:
Loans held for investment	$	—	$	4,258,668	$	4,258,668
Unfunded loan commitments	—		—		—
Total allowance for credit losses	$	—	$	4,258,668	$	4,258,668
Total unpaid principal balance	$	—	$	10,258,668	$	10,258,668

The Company's $3.6 million change to the allowance for credit losses, due to the adoption of CECL methodology in the first quarter of 2023 (as described in Note 2) over performing loans on which the Company had not carried an allowance for credit losses is reflected as a direct charge to retained earnings on our Consolidated Statements of Changes in Equity. During the year ended December 31, 2023, the Company recorded an increase of $2.5 million in the allowance for credit losses, bringing the total allowance for credit loss to $6.1 million as of December 31, 2023. For the year ended December 31, 2023, the Company's estimate of expected credit losses increased primarily due to changes in inflationary macroeconomic assumptions employed in determining the Company's model-based general reserve, softening in CRE prices and an increase in loans held for investment, primarily due to the closing of LMF 2023-1 Financing.

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. A specific 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 year ended December 31, 2023.

During the period ended December 31, 2022 and throughout 2023, management identified one loan, collateralized by a multifamily property in Columbus, Ohio, with an initial unpaid principal value of $12.8 million as impaired due to monetary default resulting in a risk rating of "5." In the first quarter of 2023, this loan, which is currently in receivership, was placed on non-accrual status with interest collections accounted for under the cost recovery method. As of December 31, 2023, the carrying value of this loan was $8.9 million, which reflects a $5.0 million payment received on November 25, 2023 under an insurance claim, of which $3.1 million was applied to carrying value reduction and a $1.9 million payable established primarily related to a tenant settlement. As of December 31, 2023, no specific reserves were required after analysis of the underlying collateral value. Subsequent to December 31, 2023, we received additional insurance proceeds in the amount of $13.5 million which reduced the carrying value of this loan on our consolidated balance sheets to $0. See Note 16 for further discussion.

During the period ended December 31, 2023, management identified one loan, collateralized by a multifamily property in Virginia Beach, VA, with an unpaid principal balance of $36.8 million as impaired due to monetary default resulting in a risk rating of "5"; however no specific asset reserves were required after analysis of underlying collateral value. This loan is on non-accrual status as a result as a result of monetary default and impaired loan classification. Subsequent to December 31, 2023, the Company and the borrower entered into a loan modification and the loan was loan returned to accrual status. See Note 16 for further discussion.

During the period ended December 31, 2023, a previously risk rated "5" loan collateralized by a multifamily property in Orlando, FL with an unpaid principal balance of $19.6 million, was brought current with respect to interest payments and restored to accrual status.