FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)

6 Months Ended

Jun. 30, 2022

Fair Value Disclosures [Abstract]

Schedule of carrying value and estimated fair value of assets and liabilities

The following table summarizes the carrying values and estimated fair values of the Company’s financial instruments at June 30, 2022: 

	June 30, 2022					December 31, 2021
	Carrying Value		Estimated Fair Value		Fair Value Method (A)	Carrying Value		Estimated Fair Value
Assets
Real estate securities, available-for-sale	$	2,846	$	2,846	Pricing models - Level 3	$	3,486	$	3,486
Cash and cash equivalents	22,685		22,685			58,286		58,286
Restricted cash, current and noncurrent	4,359		4,359			4,278		4,278
Liabilities
Junior subordinated notes payable	$	51,169	$	27,388	Pricing models - Level 3	$	51,174	$	27,625

Pricing models are used for (i) real estate securities that are not traded in an active market, and, therefore, have little or no price transparency, and for which significant unobservable inputs must be used in estimating fair value, or (ii) debt obligations which are private and not traded.

Schedule of quantitative information regarding significant unobservable inputs

The following table provides quantitative information regarding the significant unobservable inputs used by the Company for assets and liabilities measured at fair value on a recurring basis as of June 30, 2022:

					Weighted Average Significant Input
Asset Type	Amortized Cost Basis		Fair Value		Discount Rate		Prepayment Speed		Cumulative Default Rate		Loss Severity
ABS - Non-Agency RMBS	$	2,676	$	2,846	13.0	%	7.5	%	3.0	%	65.0	%

Schedule of change in fair value of level 3 investments

Real estate securities measured at fair value on a recurring basis using Level 3 inputs changed during the six months ended June 30, 2022 as follows:

	ABS - Non-Agency RMBS
Balance at December 31, 2021	$	3,486
Total gains (losses) (A)
Included in other comprehensive income (loss)	(993)
Amortization included in interest income	362
Proceeds	(9)
Balance at June 30, 2022	$	2,846

(A)None of the gains (losses) recorded in earnings during the period is attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date. There were no purchases or sales during the six months ended June 30, 2022. There were no transfers into or out of Level 3 during the six months ended June 30, 2022.

Summary of liabilities for which fair value is only disclosed

The following table summarizes the level of the fair value hierarchy, valuation techniques and inputs used for estimating each class of liabilities not measured at fair value in the statement of financial position but for which fair value is disclosed:

Type of Liabilities Not Measured At Fair Value for Which Fair Value Is Disclosed	Fair Value Hierarchy		Valuation Techniques and Significant Inputs
Junior subordinated notes payable	Level 3	Valuation technique is based on discounted cash flows. Significant inputs include:
		l	Amount and timing of expected future cash flows
		l	Interest rates
		l	Market yields and the credit spread of the Company