FAIR VALUE

9 Months Ended

Sep. 30, 2020

Fair Value Disclosures [Abstract]

FAIR VALUE

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 September 30, 2020 and December 31, 2019:

	September 30, 2020
	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, 2020
Assets:
Mortgage servicing rights	—		—		1,097,154		1,097,154
Total	$	—	$	—	$	1,097,154	$	1,097,154

	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 September 30, 2020 and December 31, 2019, the Company had $1,097,154 and $2,700,207, respectively, in Level 3 assets. The Company’s Level 3 assets are comprised of MSRs. 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 September 30, 2020 and December 31, 2019:

As of September 30, 2020
Valuation Technique	Unobservable Input	Range		Weighted Average
Discounted cash flow	Constant prepayment rate	12.4 - 28.0%		22.5	%
	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:

	September 30, 2020
	Level in Fair Value Hierarchy	Carrying Value		Face Amount		Fair Value
Assets:
Cash and cash equivalents	1	9,720,138		9,720,138		9,720,138
Restricted cash	1	14,548,916		14,548,916		14,548,916
Commercial mortgage loans held-for-investment	3	598,933,122		598,933,122		594,213,194
Total		$	623,202,176	$	623,202,176	$	618,482,248
Liabilities:
Collateralized loan obligations	2	479,704,710		482,440,642		470,291,430
Secured Term Loan	3	39,512,924		40,250,000		42,046,142
Total		$	519,217,634	$	522,690,642	$	512,337,572

	December 31, 2019
	Level in Fair Value Hierarchy	Carrying Value		Face Amount		Fair Value
Assets:
Cash and cash equivalents	1	10,942,115		10,942,115		10,942,115
Restricted cash	1	5,069,715		5,069,715		5,069,715
Commercial mortgage loans held-for-investment	3	635,260,420		635,260,420		635,260,420
Total		$	651,272,250	$	651,272,250	$	651,272,250
Liabilities:
Collateralized loan obligations	2	505,930,065		510,181,000		510,834,435
Secured term loan	3	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.