
						Weighted Average
Loan Type	Unpaid Principal Balance		Carrying Value(1)		Loan Count	Floating Rate Loan %		Coupon(2)		Term (Years)(3)
March 31, 2024
Loans held-for-investment
Senior secured loans(4)	$	1,299,971,777	$	1,293,295,378	81	100.0	%	8.9	%	2.7
Allowance for credit losses	N/A		(7,816,462)
	1,299,971,777		1,285,478,916		81	100.0	%	8.9	%	2.7


						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	NA		(6,059,006)
	1,397,385,160		1,383,881,197		88	100.0	%	8.9	%	2.9

(2) Weighted average coupon assumes applicable 30-day Term Secured Overnight Financing Rate ("SOFR") of 5.32% and 5.33% as of March 31, 2024 and December 31, 2023, respectively, inclusive of weighted average interest rate floors of 0.40% and 0.38%, respectively. As of March 31, 2024 and December 31, 2023, 100.0% of the investments by total investment exposure earned a floating rate indexed to 30-day Term SOFR.

(4) As of March 31, 2024, all of the outstanding senior secured loans were held in VIEs. 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 VIEs.


	Commercial Mortgage Loans Held-for-Investment



Balance at December 31, 2023	$	1,383,881,197
Purchases, advances and originations	—
Principal payments	(97,413,384)
Accretion of purchase discount	711,236
Amortization of purchase premium	—
Accretion of deferred loan fees	57,323
Provision for credit losses	(1,757,456)
Balance at March 31, 2024	$	1,285,478,916

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, 2024 and December 31, 2023:


	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

As of March 31, 2024, the average risk rating of the commercial mortgage loan portfolio was 3.5 (Moderate Risk), weighted by investment carrying value, with 76.9% 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, 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 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 remained consistent during the three months ended March 31, 2024. The change to underlying risk rating consisted of loans that paid off with a risk rating of "3" of $85.0 million and a risk rating of "5" of $12.4 million during the three months ended March 31, 2024. Additionally, $9.4 million of loans with a risk rating of "3" transitioned to a risk rating of "2," $71.0 million of loans with a risk rating of "3" transitioned to a risk rating of "4", $17.3 million of loans with a risk rating of "3" transitioned to a risk rating of "5", $80.7 million of loans with a risk rating of "4" transitioned to a risk rating of "3", $20.3 million of loans with a risk rating of "4" transitioned to a risk rating of "5" and $33.2 million of loans with a risk rating of "5" transitioned to a risk rating of "4".


	Three months ended
	March 31, 2024		March 31, 2023
Allowance for credit losses at beginning of period	$	6,059,006	$	4,258,668
Cumulative-effect adjustment upon adoption of ASU 2016-13	—		3,549,501
Provision for (reversal of) credit losses	1,757,456		(178,970)
Charge offs	—		(4,271,672)
Allowance for credit losses at end of period	$	7,816,462	$	3,357,527


	Three months ended
	March 31, 2024		March 31, 2023
Allowance for credit losses at beginning of period	$	43,647	$	—
Cumulative-effect adjustment upon adoption of ASU 2016-13	—		41,939
Provision for (reversal of) credit losses	19,417		(714)
Charge offs	—		—
Allowance for credit losses at end of period	$	63,064	$	41,225


	March 31, 2024
	General Reserve		Specific Reserve		Total Reserve
Allowance for credit losses:
Loans held for investment	$	7,816,462	$	—	$	7,816,462
Unfunded loan commitments	63,064		—		63,064
Total allowance for credit losses	$	7,879,526	$	—	$	7,879,526
Total unpaid principal balance	$	1,299,971,777	$	—	$	1,299,971,777


	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

During the three months ended March 31, 2024, the Company recorded an increase of $1.8 million in the allowance for credit losses, bringing the total allowance for credit loss to $7.8 million as of March 31, 2024. For the three months ended March 31, 2024, the Company's estimate of expected credit losses increased primarily due to changes in macroeconomic assumptions employed in determining the Company's model-based general reserve which reflects softening in CRE prices compared to the prior quarter.

During the period ended March 31, 2024, management identified one loan, collateralized by a multifamily property in Brooklyn, NY, with an unpaid principal value of $17.3 million as requiring individual evaluation for a specific allowance for credit losses due to expected imminent maturity default, and a resulting risk rating of "5"; however no specific allowance for credit losses were required after analysis of the underlying collateral value. This loan is on non-accrual status as a result of the expected imminent maturity default, with interest recorded as income on a cash basis.

During the period ended March 31, 2024, management identified one loan, collateralized by two multifamily properties near Augusta, GA, with an unpaid aggregate principal value of $20.3 million as requiring individual evaluation for a specific allowance for credit losses due to monetary default, and a resulting risk rating of "5"; however no specific allowance for credit losses were required after analysis of the underlying collateral value. This loan is on non-accrual status as a result of monetary default, with interest recognized as income on a cash basis.

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 three months ended March 31, 2023.

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 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 reflected 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. In the first quarter of 2024, we received additional insurance proceeds in the amount of $13.5 million which reduced the carrying value of this loan to $0, and after taking into consideration repayment of an interest rate cap and certain legal and other costs and amounts deemed recoverable, resulting in the recognition of approximately $2.5 million of income in the quarter ended March 31, 2024.

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 was on non-accrual status as a result of monetary default and impaired loan classification. In the first quarter of 2024, the Company and the borrower entered into a loan modification and the loan was loan returned to accrual status. In connection with the modification, the borrower, among other things, made a principal payment of approximately $3.6 million and brought current any past due interest, escrows and reserves, which resulted in interest of approximately $0.5 million that was unpaid as of December 31, 2023 recognized as income in the quarter ended March 31, 2024. The note rate on the loan was amended to SOFR + 400 basis points from SOFR + 327 basis points and the stated maturity date of the loan has been amended to April 5, 2024, with the ability for borrower to extend, under certain conditions, to May 3, 2024. On May 3, 2024, the loan repaid in full according to the terms of loan modification.