FAIR VALUE (Tables)

9 Months Ended

Sep. 30, 2020

Fair Value Disclosures [Abstract]

Assets and Liabilities Carried at Fair Value on a Recurring Basis

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

Quantitative Information About the Significant Unobservable Inputs Used in the Fair Value Measurement of MSRs Classified as Level 3

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	%

Fair Value Schedule of Financial Instruments

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