FAIR VALUE

3 Months Ended

Mar. 31, 2020

Fair Value Disclosures [Abstract]

FAIR VALUE

The following tables summarize the valuation of the Company’s assets and liabilities carried at fair value on a recurring basis within the fair value hierarchy levels as of March 31, 2020 and December 31, 2019:

	March 31, 2020
	Quoted prices in active markets for identical assets Level 1		Significant other observable inputs Level 2		Unobservable inputs Level 3		Balance as of March 31, 2020
Assets:
Mortgage servicing rights	—		—		1,822,458		1,822,458
Total	$	—	$	—	$	1,822,458	$	1,822,458

	December 31, 2019
	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, 2019
Assets:
Mortgage servicing rights	—		—		2,700,207		2,700,207
Total	$	—	$	—	$	2,700,207	$	2,700,207

As of March 31, 2020 and December 31, 2019, the Company had 1,822,458 and $2,700,207, 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 8.

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 March 31, 2020 and December 31, 2019:

As of March 31, 2020
Valuation Technique	Unobservable Input	Range		Weighted Average
Discounted cash flow	Constant prepayment rate	10.3 - 27.4%		19.0	%
	Discount rate	12.0	%	12.0	%

As of December 31, 2019
Valuation Technique	Unobservable Input	Range		Weighted Average
Discounted cash flow	Constant prepayment rate	7.4 - 27.6%		13.3	%
	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:

	March 31, 2020
	Carrying Value		Face Amount		Fair Value
Assets:
Cash and cash equivalents	$	11,334,317	$	11,334,317	$	11,334,317
Restricted cash	6,914,097		6,914,097		6,914,097
Commercial mortgage loans held-for-investment	639,366,297		639,366,297		628,160,749
Total	$	657,614,711	$	657,614,711	$	646,409,163
Liabilities:
Collateralized loan obligations	$	506,416,518	$	510,181,000	$	461,204,962
Secured Term Loan	39,426,846		40,250,000		35,958,395
Total	$	545,843,364	$	550,431,000	$	497,163,357

	December 31, 2019
	Carrying Value		Face Amount		Fair Value
Assets:
Cash and cash equivalents	$	10,942,115	$	10,942,115	$	10,942,115
Restricted cash	5,069,715		5,069,715		5,069,715
Commercial mortgage loans held-for-investment	635,260,420		635,260,420		635,260,420
Total	$	651,272,250	$	651,272,250	$	651,272,250
Liabilities:
Collateralized loan obligations	$	505,930,065	$	510,181,000	$	510,834,435
Secured term loan	$	39,384,041	$	40,250,000	$	42,999,082
Total	$	545,314,106	$	550,431,000	$	553,833,517

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.