FAIR VALUE

9 Months Ended

Sep. 30, 2019

Fair Value Disclosures [Abstract]

FAIR VALUE

The following tables summarize the valuation of the Company’s assets and liabilities carried at fair value within the fair value hierarchy levels as of September 30, 2019 and December 31, 2018:

	September 30, 2019
	Quoted prices in active markets for identical assets Level 1		Significant other observable inputs Level 2		Unobservable inputs Level 3		Balance as of September 30, 2019
Assets:
Mortgage servicing rights	—		—		2,713,809		2,713,809
Total	$	—	$	—	$	2,713,809	$	2,713,809

	December 31, 2018
	Quoted prices in active markets for identical assets Level 1		Significant other observable inputs Level 2		Unobservable inputs Level 3		Balance as of December 31, 2018
Assets:
Mortgage servicing rights	—		—		3,997,786		3,997,786
Total	$	—	$	—	$	3,997,786	$	3,997,786
Liabilities:
Multi-family securitized debt obligations	$	—	$	(19,231,331)	$	—	$	(19,231,331)
Total	$	—	$	(19,231,331)	$	—	$	(19,231,331)

As of September 30, 2019 and December 31, 2018, the Company had $2,713,809 and $3,997,786, respectively, in Level 3 assets. The Company’s Level 3 assets are comprised of MSRs. Accordingly, for more detail about Level 3 assets, also see Notes 2 and 11.

The following table provides quantitative information about the significant unobservable inputs used in the fair value measurement of the Company’s MSRs classified as Level 3 fair value assets at September 30, 2019 and December 31, 2018:

As of September 30, 2019
Valuation Technique	Unobservable Input	Range		Weighted Average
Discounted cash flow	Constant prepayment rate	8.0 - 27.7%		15.1	%
	Discount rate	12.0	%	12.0	%

As of December 31, 2018
Valuation Technique	Unobservable Input	Range		Weighted Average
Discounted cash flow	Constant prepayment rate	7.0 - 20.4%		10.1	%
	Discount rate	12.0	%	12.0	%

As discussed in Note 2, GAAP requires disclosure of fair value information about financial instruments, whether or not recognized in the condensed consolidated balance sheets, for which it is practicable to estimate that value. The following table details the carrying amount, face amount and fair value of the financial instruments described in Note 2:

	September 30, 2019
	Carrying Value		Face Amount		Fair Value
Assets:
Cash and cash equivalents	$	10,300,620	$	10,300,620	$	10,300,620
Restricted cash	81,037,212		81,037,212		81,037,212
Commercial mortgage loans held-for-investment	559,521,552		559,521,552		559,521,552
Total	$	650,859,384	$	650,859,384	$	650,859,384
Liabilities:
Collateralized loan obligations	$	505,438,271	$	510,181,000	$	510,210,986
Secured Term Loan	39,275,571		40,250,000		41,794,352
Total	$	544,713,842	$	550,431,000	$	552,005,338

	December 31, 2018
	Carrying Value		Face Amount		Fair Value
Assets:
Cash and cash equivalents	$	7,882,862	$	7,882,862	$	7,882,862
Restricted cash	51,330,950		51,330,950		51,330,950
Cash held in securitization trusts, at fair value	24,357,335		24,357,335		24,357,335
Commercial mortgage loans held-for-investment	555,172,891		555,172,891		555,172,891
Total	$	638,744,038	$	638,744,038	$	638,744,038
Liabilities:
Collateralized loan obligations	$	503,978,918	$	510,181,000	$	509,000,439
Total	$	503,978,918	$	510,181,000	$	509,000,439

Estimates of cash and cash equivalents and restricted cash are measured using quoted market prices, or Level 1 inputs. Estimates of the fair value of collateralized loan obligations are measured using observable, quoted market prices, in active markets, or Level 2 inputs. All other fair value significant estimates are measured using unobservable inputs, or Level 3 inputs. See Note 2 for further discussion regarding fair value measurement of certain of our assets and liabilities.