
						Weighted Average
Loan Type	Unpaid Principal Balance		Carrying Value(1)		Loan Count	Floating Rate Loan %		Coupon(2)		Term (Years)(3)
June 30, 2024
Loans held-for-investment
Senior secured loans(4)	$	1,201,753,001	$	1,195,846,513	78	100.0	%	8.9	%	2.6
Allowance for credit losses	N/A		(9,193,174)
	1,201,753,001		1,186,653,339		78	100.0	%	8.9	%	2.6


						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 5.33% as of June 30, 2024 and December 31, 2023, respectively, inclusive of weighted average interest rate floors of 0.42% and 0.38%, respectively. As of June 30, 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 June 30, 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

Principal payments	(195,632,158)
Accretion of purchase discount	1,423,823

Accretion of deferred loan fees	114,645
Provision for credit losses	(3,134,168)
Balance at June 30, 2024	$	1,186,653,339

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 June 30, 2024 and December 31, 2023:


	June 30, 2024
				Amortized Cost by Year of Origination
Risk Rating	Number of Loans	Outstanding Principal		2023		2022		2021
1	—	$	—	$	—	$	—	$	—
2	2	30,720,000		—		30,289,080		—
3	53	722,569,123		17,848,300		370,714,017		324,704,570
4	19	364,347,698		—		135,743,248		224,813,467


	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 June 30, 2024, the average risk rating of the commercial mortgage loan portfolio was 3.6 (Moderate Risk), weighted by investment carrying value, with 62.7% 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 has increased during the six months ended June 30, 2024. The change to underlying risk rating consisted of loans that paid off with a risk rating of "3" of $119.7 million, a risk rating of "4" of $30.2 million and a risk rating of "5" of $45.7 million during the six months ended June 30, 2024. Additionally, $7.0 million of loans with a risk rating of "2" transitioned to a risk rating of "3," $206.5 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", $39.2 million of loans with a risk rating of "4" transitioned to a risk rating of "3" and $66.9 million of loans with a risk rating of "4" transitioned to a risk rating of "5".


	Three months ended				Six months ended
	June 30, 2024		June 30, 2023		June 30, 2024		June 30, 2023
Allowance for credit losses at beginning of period	$	7,816,462	$	3,357,527	$	6,059,006	$	4,258,668
Cumulative-effect adjustment upon adoption of ASU 2016-13	—		—		—		3,549,501
Provision for credit losses	1,376,712		540,368		3,134,168		361,399
Charge offs	—		—		—		(4,271,673)
Allowance for credit losses at end of period	$	9,193,174	$	3,897,895	$	9,193,174	$	3,897,895


	Three months ended				Six months ended
	June 30, 2024		June 30, 2023		June 30, 2024		June 30, 2023
Allowance for credit losses at beginning of period	$	63,064	$	41,225	$	43,647	$	—
Cumulative-effect adjustment upon adoption of ASU 2016-13	—		—		—		41,939
Provision for credit losses	22,991		14,716		42,408		14,002

Allowance for credit losses at end of period	$	86,055	$	55,941	$	86,055	$	55,941


	June 30, 2024
	General Reserve		Specific Reserve		Total Reserve
Allowance for credit losses:
Loans held for investment	$	8,311,929	$	881,245	$	9,193,174
Unfunded loan commitments	86,055		—		86,055
Total allowance for credit losses	$	8,397,984	$	881,245	$	9,279,229
Total unpaid principal balance	$	1,117,636,821	$	84,116,180	$	1,201,753,001


	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 June 30, 2024, the Company recorded an increase of $1.4 million in the allowance for credit losses, bringing the total allowance for credit losses to $9.2 million as of June 30, 2024. For the three months ended June 30, 2024, the Company's estimate of expected credit losses increased primarily due to specific reserves taken on a risk-rated "5" multifamily loan and changes in macroeconomic assumptions employed in determining the Company's model-based general reserve which reflects continued softening in CRE prices compared to the prior quarter.

During the period ended June 30, 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 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 maturity default, with interest recorded as income on a cash basis.

During the period ended June 30, 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.

During the period ended June 30, 2024, management identified one loan, collateralized by two multifamily properties in Philadelphia, PA, with an unpaid aggregate principal value of $15.0 million as requiring individual evaluation for a specific allowance for credit losses due to monetary default, and a resulting

risk rating of "5"; a specific allowance of $0.9 million for credit losses was required after analysis of the underlying collateral value. This loan is on non-accrual status as a result of monetary default, with interest collections accounted for under the cost recovery method.

During the period ended June 30, 2024, management identified one loan, collateralized by a multifamily property in Dallas, TX, with an unpaid aggregate principal value of $31.6 million as requiring individual evaluation for a specific allowance for credit losses due to technical default, and a resulting risk rating of "5"; however no specific allowance for credit losses were required after analysis of the underlying collateral value.

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 June 30, 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 was 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.