COMMERCIAL MORTGAGE LOANS HELD-FOR-INVESTMENT

3 Months Ended

Mar. 31, 2026

COMMERCIAL MORTGAGE LOANS HELD-FOR-INVESTMENT

The following tables summarize certain characteristics of the Company's investments in commercial mortgage loans as of March 31, 2026 and December 31, 2025:


						Weighted Average
Loan Type	Unpaid Principal Balance		Carrying Value(1)		Loan Count	Floating Rate Loan %		Coupon(2)		Term (Years)(3)
March 31, 2026
Loans held-for-investment
Senior secured loans(4)	$	1,130,899,067	$	1,127,604,965	57	100.0	%	7.1	%	1.6
Allowance for credit losses	N/A		(19,543,903)
	1,130,899,067		1,108,061,062		57	100.0	%	7.1	%	1.6


						Weighted Average
Loan Type	Unpaid Principal Balance		Carrying Value(1)		Loan Count	Floating Rate Loan %		Coupon(2)		Term (Years)(3)
December 31, 2025
Loans held-for-investment
Senior secured loans(4)	$	1,140,268,217	$	1,136,706,113	61	100.0	%	7.2	%	1.7
Allowance for credit losses	N/A		(22,658,121)
	1,140,268,217		1,114,047,992		61	100.0	%	7.2	%	1.7

(1) Carrying Value includes $1,255,406 and $1,657,584 in unamortized purchase discounts as of March 31, 2026 and December 31, 2025, respectively.

(2) Weighted average coupon assumes applicable 30-day term Secured Overnight Financing Rate ("SOFR") of 3.67% and 3.85% as of March 31, 2026 and December 31, 2025, respectively, inclusive of weighted average interest rate floor of 2.25% and 2.18%, respectively. As of March 31, 2026 and December 31, 2025, 100.0% 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 March 31, 2026, $655,905,141 of the outstanding senior secured loans were held in VIEs and $452,155,924 of the outstanding senior secured loans were held outside of VIEs. As of December 31, 2025, $856,064,487 of the outstanding senior secured loans were held in VIEs and $257,983,507 of the outstanding senior secured loans were held outside of VIEs.

Activity: For the three months ended March 31, 2026, the loan portfolio activity was as follows:


	Commercial Mortgage Loans Held-for-Investment
Balance at December 31, 2025	$	1,114,047,992
Purchases and advances	47,925,609
Principal payments	(46,762,914)
Transfer to real estate owned	(10,531,845)


Charge-offs	2,381,845
Purchase discount	(80,461)
Origination and other loan fees	(931,808)
Accretion of purchase discount	482,639
Accretion of deferred loan fees	797,632
Release of allowance for credit losses	732,373
Balance at March 31, 2026	$	1,108,061,062

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, 2026 and December 31, 2025:


	March 31, 2026
				Amortized Cost by Year of Origination
Risk Rating	Number of Loans	Outstanding Principal		2025		2024		2023		2022		2021
1	—	$	—	$	—	$	—	$	—	$	—	$	—
2	13	255,595,193		87,627,492		78,808,172		—		88,760,135		—
3	29	598,294,755		185,913,526		84,531,808		—		114,219,412		210,489,628
4	8	169,076,610		—		—		—		73,374,274		93,628,560
5	7	107,932,509		—		—		—		77,041,334		13,666,721
	57	$	1,130,899,067	$	273,541,018	$	163,339,980	$	—	$	353,395,155	$	317,784,909


	December 31, 2025
				Amortized Cost by Year of Origination
Risk Rating	Number of Loans	Outstanding Principal		2025		2024		2023		2022		2021
1	—	$	—	$	—	$	—	$	—	$	—	$	—
2	9	161,089,912		43,904,254		48,438,856		—		68,375,256		—
3	38	752,514,730		182,723,449		133,591,415		—		134,038,225		297,723,546
4	6	109,281,497		—		—		—		73,034,316		34,009,099
5	8	117,382,078		—		—		—		84,542,855		13,666,721
	61	$	1,140,268,217	$	226,627,703	$	182,030,271	$	—	$	359,990,652	$	345,399,366

As of March 31, 2026, the Company did not own any loans originated in 2026.

As of March 31, 2026, the average risk rating of the commercial mortgage loan portfolio was 3.1 (Moderate Risk), weighted by investment carrying value, with 76.7% of commercial loans held-for-investment rated 3 (Moderate Risk) or better by the Company's Manager.

As of December 31, 2025, the average risk rating of the commercial mortgage loan portfolio was 3.2 (Moderate Risk), weighted by investment carrying value, with 81.6% of commercial loans held-for-investment rated 3 (Moderate Risk) or better by the Company's Manager.

The average risk rating of the portfolio declined during the three months ended March 31, 2026. The change in underlying risk rating consisted of loans that paid off with a risk rating of "3" of $46.8 million during the three months ended March 31, 2026. Additionally, $94.5 million of loans with a risk rating of "3" transitioned to a risk rating of "2," $69.6 million of loans with a risk rating of "3" transitioned to a risk rating of "4" and $9.8 million of loans with a risk rating of "4" transitioned to a risk rating of "3". Further, $10.5 million of loans with a risk rating of "5" were foreclosed and moved to REO.

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, 2026 and December 31, 2025:

Loans Held-for-Investment


	March 31, 2026		December 31, 2025
Geography
South	32.6	%	32.4	%
Southwest	22.8		26.2
Mid-Atlantic	20.0		16.9
Midwest	15.2		13.9


West	9.4		10.6
Total	100.0	%	100.0	%


	March 31, 2026		December 31, 2025
Collateral Property Type
Multifamily	92.6	%	92.6	%
Seniors Housing and Healthcare	7.4		7.4



Total	100.0	%	100.0	%

Allowance for Credit Losses:

The following table presents the changes for the three months ended March 31, 2026 and March 31, 2025 in the provision for credit losses on loans held-for-investment:


	Three months ended
	March 31, 2026		March 31, 2025
Allowance for credit losses at beginning of period	$	22,658,121	$	11,320,220

(Release of) provision for credit losses	(732,373)		5,739,974
Charge offs	(2,381,845)		—
Allowance for credit losses at end of period	$	19,543,903	$	17,060,194

The following table presents the changes for the three months ended March 31, 2026 and March 31, 2025 in the provision for credit losses on the unfunded commitments of the Company's loans held-for-investment:


	Three months ended
	March 31, 2026		March 31, 2025
Allowance for credit losses at beginning of period	$	—	$	57,554

(Release of) provision for credit losses	—		(42,313)

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

The following tables present the allowance for credit losses for loans held-for-investment as of March 31, 2026 and December 31, 2025:


	March 31, 2026
	General Reserve		Specific Reserve		Total Reserve
Allowance for credit losses:
Loans held for investment	$	3,728,254	$	15,815,649	$	19,543,903

Total allowance for credit losses	$	3,728,254	$	15,815,649	$	19,543,903
Total unpaid principal balance	$	1,022,966,558	$	107,932,509	$	1,130,899,067


	December 31, 2025
	General Reserve		Specific Reserve		Total Reserve
Allowance for credit losses:
Loans held for investment	$	5,029,531	$	17,628,590	$	22,658,121

Total allowance for credit losses	$	5,029,531	$	17,628,590	$	22,658,121
Total unpaid principal balance	$	1,022,886,139	$	117,382,078	$	1,140,268,217

During the three months ended March 31, 2026, the Company recorded a decrease of $3.1 million in the allowance for credit losses, bringing the total allowance for credit losses to $19.5 million as of March 31, 2026. For the three months ended March 31, 2026, the Company's estimate of expected credit losses decreased primarily due to changes in macroeconomic assumptions employed in determining the Company's model-based general reserve, shortened duration of the portfolio and the charge-off of credit loss related to the foreclosure on one "5" risk rated property which was partially offset by an increase to specific reserves of risk rated "5" loans.

We did not have any impaired loans, non-accrual loans, or loans in maturity default other than the loans discussed below as of March 31, 2026 or December 31, 2025.

As of March 31, 2026, we had aggregate specific allowance of credit losses of $15.8 million due to management's: (1) continued identification of one loan collateralized by two multifamily properties in Philadelphia, PA ($1.3 million specific allowance) with an aggregate unpaid balance of $15.5 million as risk

rated "5" due to maturity default; (2) identification of two loans collateralized by two multifamily properties in Arlington, TX ($3.6 million specific allowance; non-accrual cash basis) and Cedar Park, TX (no specific allowance; non-accrual cash basis) with an aggregate unpaid balance of $35.5 million as risk rated "5" due to maturity default and (4) identification of four loans collateralized by four multifamily properties in Des Moines, IA ($0.5 million specific allowance; non-accrual cash basis), Tampa, FL ($1.4 million specific allowance; non-accrual cash basis), Tallahassee, FL ($3.0 million specific allowance; non-accrual cash basis) and Ypsilanti, MI ($5.9 million specific allowance; non-accrual cash basis) with an aggregate principal balance of $56.9 million as risk rated "5" due to monetary default.

We recorded $0.5 million in cash basis income received on non-accrual loans during the period ended March 31, 2026.

As of December 31, 2025, we had aggregate specific allowance of credit losses of $17.6 million due to management's: (1) continued identification of one loan collateralized by two multifamily properties in Philadelphia, PA ($1.3 million specific allowance) with an aggregate unpaid balance of $15.5 million as risk rated "5" due to maturity default; (2) continued identification of one loan collateralized by a multifamily property in Colorado Springs, CO ($2.4 million specific allowance; non-accrual cash basis) with an aggregate unpaid balance of $10.5 million as risk rated "5" due to monetary default; (3) identification of two loans collateralized by two multifamily properties in Arlington, TX ($3.6 million specific allowance; non-accrual cash basis) and Cedar Park, TX (no specific allowance; non-accrual cash basis) with an aggregate unpaid balance of $35.5 million as risk rated "5" due to maturity default and (4) identification of four loans collateralized by four multifamily properties in Des Moines, IA ($0.5 million specific allowance; non-accrual cash basis), Tampa, FL ($0.9 million specific allowance; non-accrual cash basis), Tallahassee, FL ($3.0 million specific allowance; non-accrual cash basis) and Ypsilanti, MI ($5.9 million specific allowance; non-accrual cash basis) with an aggregate principal balance of $55.8 million as risk rated "5" due to monetary default.

We recorded $0.8 million in cash basis income received on non-accrual loans during the year ended December 31, 2025, subsequent to their determination to be risk rated "5" loans and we received $0.3 million of cash proceeds from such loans that were applied as a reduction to the amortized cost basis of the respective loan.

In the first quarter of 2026, the $10.5 million Colorado Springs, CO ($2.4 million specific allowance) loan was foreclosed on, with ownership and deed to the property being taken by a newly formed subsidiary of the Company. The reversal of the $2.4 million specific allowance is reflected as a charge-off to the "Allowance for credit losses" in the consolidated balance sheets.

Our Manager's asset management team proactively manages the Company's investment portfolio. The asset management team, together with our Manager's underwriting and servicing teams, monitors the credit performance of the investment portfolio, working closely with borrowers to manage all of our positions and monitor financial performance of our collateral assets, including execution of business plans and daily activities within our investment portfolio.

Specific Allowance for Credit Losses

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 5.50%-8.50%. The significant unobservable input used for the market approach is the price per unit from a broker opinion of value. As of March 31, 2026, the unpaid principal balance of default risk loans was $107.9 million, amortized cost of $90.7 million and fair value of $91.0 million.

Loan Modifications Pursuant to ASC 326

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.

Other than loan modification discussed below, we have not entered into any loan modifications during the twelve months ended March 31, 2026, that require disclosure pursuant to ASC 326.

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.