Note 12 – Fair Value of Financial Instruments

As discussed in Note 2, GAAP requires the disclosure of fair value information about financial instruments, whether or not they are recognized at fair value in the consolidated balance sheets, for which it is practicable to estimate that value. The following table details the carrying amount and estimated fair value of the Company’s financial instruments at the dates below:

 

 

 

December 31, 2025

 

 

December 31, 2024

 

 

 

Carrying
Amount

 

 

Estimated
Fair Value

 

 

Carrying
Amount

 

 

Estimated
Fair Value

 

Financial assets

 

 

 

 

 

 

 

 

 

 

 

 

Cash, cash equivalents and restricted cash

 

$

79,106

 

 

$

79,106

 

 

$

64,549

 

 

$

64,549

 

Commercial mortgage loans, net

 

 

347,893

 

 

 

347,893

 

 

 

549,173

 

 

 

549,173

 

Total

 

$

426,999

 

 

$

426,999

 

 

$

613,722

 

 

$

613,722

 

Financial liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Repurchase agreements — commercial mortgage loans

 

$

223,397

 

 

$

223,397

 

 

$

360,677

 

 

$

360,677

 

Loan participations sold

 

 

47,009

 

 

 

47,009

 

 

 

48,524

 

 

 

48,524

 

Mortgage loan payable, net

 

 

23,891

 

 

 

24,454

 

 

 

 

 

 

 

Total

 

$

294,297

 

 

$

294,860

 

 

$

409,201

 

 

$

409,201

 

 

The following describes the Company’s methods for estimating the fair value for financial instruments:

The estimated fair values of restricted cash, cash and cash equivalents were based on the bank balance and was a Level 1 fair value measurement.
The estimated fair value of commercial mortgage loans, net is a Level 3 fair value measurement. The majority of the loans are floating rate and as such the interest rates on such loans reflect the current interest rate spreads. Additionally, since the loans have a short duration to maturity (0.4 years), are not delinquent or impaired (except for one loan impaired as of December 31, 2024, for which an asset-specific CECL reserve was recorded as of December 31, 2024) and are expected to return to par, the Advisor determined the amortized cost, less allowance for credit losses, is the best estimate of fair value for all loans. The allowance for credit losses includes the analytical portion as well as the asset-specific component of the CECL reserve.

For the impaired loan as of December 31, 2024, the CECL reserve as of December 31, 2024 was recorded based on the expected proceeds from the loan. This loan was therefore measured at fair value on a nonrecurring basis using significant unobservable inputs and was classified as a Level 3 asset in the fair value hierarchy. As of December 31, 2024, the significant unobservable input used to estimate the fair value of this loan was the expected loss based on a possible repayment amount that the Company had negotiated with the borrower. In January 2026, the Company was informed that the sponsor is turning over the property to the senior lender. As a result, the Company wrote off the entire outstanding principal balance of the loan as of December 31, 2025.

The estimated fair values of repurchase agreements – commercial mortgage loans and loan participations sold are Level 3 fair value measurements based on expected present value techniques. This method discounts future estimated cash flows using rates the Company determined best reflect current market interest rates that would be offered for repurchase agreements and loan participations sold with similar characteristics and credit quality. The carrying value of these instruments approximates fair value as the fair value of these instruments is not materially sensitive to shifts in market interest rates because of the floating interest rates on these instruments.
The estimated fair value of the mortgage loan payable, net is a Level 3 fair value measurement. The Company estimated the fair value of the mortgage loan payable by discounting the future cash flows of the mortgage loan at weighted average rate currently offered for similar debt instruments.

Historical Timeline

Fiscal YearFiled
2025Mar 13, 2026Showing above
2024Mar 14, 2025
2023Mar 15, 2024
2022Mar 30, 2023
2021Mar 11, 2022
2020Mar 19, 2021
2019Mar 11, 2020
2018Mar 12, 2019
2017Mar 14, 2018

About Fair Value Disclosures

Fair value disclosures classify all assets and liabilities measured at fair value into a three-level hierarchy: Level 1 (quoted market prices), Level 2 (observable inputs like yield curves), and Level 3 (unobservable inputs requiring management estimates). The proportion of Level 3 assets directly reflects how much of the balance sheet depends on internal models rather than market evidence.

Key signals: a growing Level 3 balance relative to total fair-value assets increases valuation uncertainty and earnings volatility risk. Watch for transfers between levels — assets moving from Level 2 to Level 3 often signal deteriorating market liquidity. Unrealized gains and losses on Level 3 positions flow through earnings or other comprehensive income, so large swings deserve scrutiny. For financial institutions, examine the sensitivity disclosures that show how Level 3 valuations change under alternative assumptions. Compare the fair value of debt against its carrying amount to gauge hidden leverage.