
						Weighted Average
Loan Type	Unpaid Principal Balance		Carrying Value(1)		Loan Count	Floating Rate Loan %		Coupon(2)		Term (Years)(3)
March 31, 2025
Loans held-for-investment
Senior secured loans(4)	$	1,010,888,938	$	1,005,841,618	61	100.0	%	7.9	%	2.0


						Weighted Average
Loan Type	Unpaid Principal Balance		Carrying Value(1)		Loan Count	Floating Rate Loan %		Coupon(2)		Term (Years)(3)
December 31, 2024
Loans held-for-investment
Senior secured loans(4)	$	1,065,563,646	$	1,060,123,298	65	100.0	%	8.1	%	2.1
Allowance for credit losses	N/A		(11,320,220)
	1,065,563,646		1,048,803,078		65	100.0	%	8.1	%	2.1

(2) Weighted average coupon assumes applicable 30-day term Secured Overnight Financing Rate ("SOFR") of 4.31% and 4.51% as of March 31, 2025 and December 31, 2024, respectively, inclusive of weighted average interest rate floor of 0.94% and 0.63%, respectively. As of March 31, 2025 and December 31, 2024, 100.0% of the investments by total investment exposure earned a floating rate indexed to 30-day term SOFR.

(4) As of March 31, 2025, $989,668,838 of the outstanding senior secured loans were held in VIEs and $(887,414) of the outstanding senior secured loans were held outside of VIEs. As of December 31, 2024, $1,049,886,009 of the outstanding senior secured loans were held in VIEs and $(1,082,931) of the outstanding senior secured loans were held outside of VIEs.


	Commercial Mortgage Loans Held-for-Investment



Balance at December 31, 2024	$	1,048,803,078

Principal payments	(54,977,677)
Origination and other loan fees	(315,943)
Accretion of purchase discount	487,996
Accretion of deferred loan fees	523,944
Provision for credit losses	(5,739,974)
Balance at March 31, 2025	$	988,781,424

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, 2025 and December 31, 2024:


	March 31, 2025
				Amortized Cost by Year of Origination
Risk Rating	Number of Loans	Outstanding Principal		2024		2023		2022		2021
1	—	$	—	$	—	$	—	$	—	$	—
2	4	76,760,000		27,070,437		—		49,407,848		—
3	30	520,736,897		31,085,962		—		154,791,261		329,876,961
4	20	304,972,794		—		17,916,725		208,599,221		74,141,021
5	7	108,419,247		—		—		55,576,115		40,315,873
	61	$	1,010,888,938	$	58,156,399	$	17,916,725	$	468,374,445	$	444,333,855


	December 31, 2024
				Amortized Cost by Year of Origination
Risk Rating	Number of Loans	Outstanding Principal		2024		2023		2022		2021
1	—	$	—	$	—	$	—	$	—	$	—
2	3	57,840,000		27,048,495		—		30,416,761		—
3	40	616,637,103		31,019,735		17,973,555		266,895,843		294,277,177
4	16	292,826,616		—		—		140,183,307		147,641,857
5	6	98,259,927		—		—		74,158,849		19,187,499
	65	$	1,065,563,646	$	58,068,230	$	17,973,555	$	511,654,760	$	461,106,533

As of March 31, 2025, the average risk rating of the commercial mortgage loan portfolio was 3.5 (Moderate Risk), weighted by investment carrying value, with 59.9% of commercial loans held-for-investment rated 3 (Moderate Risk) or better by the Company's Manager.

As of December 31, 2024, the average risk rating of the commercial mortgage loan portfolio was 3.5 (Moderate Risk), weighted by investment carrying value, with 63.7% 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, 2025. The change in underlying risk rating consisted of loans that paid off with a risk rating of "3" of $51.7 million, a risk rating of "4" of $1.0 million and a risk rating of "5" of $2.0 million during the three months ended March 31, 2025. Additionally, $18.9 million of loans with a risk rating of "3" transitioned to a risk rating of "2," $155.2 million of loans with a risk rating of "3" transitioned to a risk rating of "4", $100.3 million of loans with a risk rating of "4" transitioned to a risk rating of "3", $47.9 million of loans with a risk rating of "4" transitioned to a risk rating of "5", $29.6 million of loans with a risk rating of "5" transitioned to a risk rating of "3" and $6.1 million of loans with a risk rating of "5" transitioned to a risk rating of "4".

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 March 31, 2025 and December 31, 2024:


	Three months ended
	March 31, 2025		March 31, 2024
Allowance for credit losses at beginning of period	$	11,320,220	$	6,059,006

Provision for credit losses	5,739,974		1,757,456

Allowance for credit losses at end of period	$	17,060,194	$	7,816,462


	Three months ended
	March 31, 2025		March 31, 2024
Allowance for credit losses at beginning of period	$	57,554	$	43,647

(Release of) provision for credit losses	(42,313)		19,417

Allowance for credit losses at end of period	$	15,241	$	63,064


	March 31, 2025
	General Reserve		Specific Reserve		Total Reserve
Allowance for credit losses:
Loans held for investment	$	5,937,953	$	11,122,241	$	17,060,194
Unfunded loan commitments	15,241		—		15,241
Total allowance for credit losses	$	5,953,194	$	11,122,241	$	17,075,435
Total unpaid principal balance	$	902,469,692	$	108,419,247	$	1,010,888,939


	December 31, 2024
	General Reserve		Specific Reserve		Total Reserve
Allowance for credit losses:
Loans held for investment	$	7,544,969	$	3,775,251	$	11,320,220
Unfunded loan commitments	57,554		—		57,554
Total allowance for credit losses	$	7,602,523	$	3,775,251	$	11,377,774
Total unpaid principal balance	$	967,303,719	$	98,259,927	$	1,065,563,646

During the three months ended March 31, 2025, the Company recorded an increase of $5.7 million in the allowance for credit losses, bringing the total allowance for credit losses to $17.1 million as of March 31, 2025. For the three months ended March 31, 2025, the Company's estimate of expected credit losses increased primarily due to specific reserves taken on risk-rated "5" multifamily loans and changes in macroeconomic assumptions employed in determining the Company's model-based general reserve, partially offset by a reduction in total unpaid principal balance.

During the period ended March 31, 2025, management identified a 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"; however, no specific allowance for credit losses were required after analysis of the underlying collateral value. This loan has been on non-accrual status since June 30, 2024 as a result of monetary default, with interest collections accounted for under the cost recovery method. During the three months ended March 31, 2025, the Company applied $0.3 million in interest received from the borrower as a reduction in the carrying basis of this loan.

During the period ended March 31, 2025, management identified a loan, collateralized by a multifamily property in Orlando, FL, with an unpaid principal value of $19.6 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. This loan has been on non-accrual status since December 31, 2024 as a result of the monetary default, with interest recorded as income on a cash basis. During the three months ended March 31, 2025, the Company recognized $0.4 million of interest on this loan.

During the period ended March 31, 2025, management identified a loan, collateralized by a multifamily property in San Antonio, TX, with an unpaid principal value of $15.4 million as requiring individual evaluation for a specific allowance for credit losses due to technical default, and a resulting risk rating of "5"; a specific allowance of $2.4 million for credit losses was required after analysis of the underlying collateral value. This loan has been on non-accrual status since December 31, 2024 as a result of the technical default, with interest recognized as income on a cash basis. During the three months ended March 31, 2025, the Company recognized $0.1 million of interest on this loan.

During the period ended March 31, 2025, management identified a loan, collateralized by a multifamily property in Colorado Springs, CO, with an unpaid principal value of $10.5 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 $1.5 million for credit losses was required after analysis of the underlying collateral value. This loan has been on non-accrual status since December 31, 2024 as a result of the monetary default, with interest recorded as income on a cash basis. During the three months ended March 31, 2025, the Company recognized $0.1 million of interest on this loan.

During the period ended March 31, 2025, management identified a loan, collateralized by a multifamily property in Houston, TX, with an unpaid principal value of $11.5 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 $0.5 million for credit losses was required after analysis of the underlying collateral value.

During the period ended March 31, 2025, management identified a loan, collateralized by a multifamily property in Clarkston, GA, with an unpaid principal value of $24.5 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 $3.8 million for credit losses was required after analysis of the underlying collateral value.

During the period ended March 31, 2025, management identified a loan, collateralized by a multifamily property in Ypsilanti, MI, with an unpaid principal value of $11.9 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 $2.9 million for credit losses was required after analysis of the underlying collateral value. This loan has been on non-accrual status since March 31, 2025 as a result of the monetary default, with interest recorded as income on a cash basis.

During the period ended December 31, 2024, management identified a loan, collateralized by a multifamily property in Dallas, TX, with an unpaid 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 was required after analysis of the underlying collateral value. In the first quarter of 2025, this loan was modified as discussed below and transitioned to a risk rating of "3".

During the period ended December 31, 2024, management identified a loan, collateralized by two healthcare properties in Polk County, FL, with an unpaid aggregate principal value of $6.1 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 $0.6 million for credit losses was required after analysis of the underlying collateral value. This loan was placed on non-accrual as of December 31, 2024 as a result of the monetary default, with interest recorded as income on a cash basis. In the first quarter of 2025, this loan transitioned to a risk rating of "4", is performing on its interest payments and was returned to accrual status.

The Company has elected to apply a practical expedient for collateral dependent assets in which the allowance for credit losses is calculated as the difference between the estimated fair value of the underlying collateral, less estimated costs to sell, and the amortized cost basis of the loan. As such, these loans receivable are measured at fair value on a nonrecurring basis using significant unobservable inputs and are classified as Level 3 assets in the fair value hierarchy. The fair value of the underlying collateral is determined using the income approach, market approach, or a combination thereof. The significant unobservable input for the income capitalization approach is the overall capitalization rate assumption, used in the direct capitalization method, which ranged from 5.30%-6.50%. The significant unobservable input used for the market approach is the price per unit from a broker opinion of value. As of March 31, 2025, the unpaid principal balance of default risk loans was $108.4 million, amortized cost of $95.9 million and fair value of $97.6 million.

The Company may amend or modify a loan depending on the loan's specific facts and circumstances. These loan modifications typically include additional time for a borrower to refinance or sell their property, adjustment or waiver of performance tests that are prerequisite to the extension of a loan maturity, modification of terms of interest rate cap agreements, and/or deferral of scheduled principal payments. In exchange for a modification, we often receive a partial repayment of principal, a cash infusion to replenish interest or capital improvement reserves, termination of all or a portion of the remaining unfunded loan commitment, additional call protection and/or an increase in the loan coupon or additional fees.

In March 2025, in connection with a loan assumption, the Company modified a risk-rated 5 multifamily loan located in Dallas, TX, with an outstanding principal balance of $31.9 million. The terms of the modification included, among other things, a $2.0 million principal repayment, a term extension of two years, a reduction in credit spread from 3.9% to 3.4% and a purchase of a replacement interest rate cap.