FAIR VALUE

3 Months Ended

Mar. 31, 2021

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, 2021 and December 31, 2020:


	March 31, 2021
	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, 2021
Assets:
Mortgage servicing rights	—		—		899,223		899,223
Total	$	—	$	—	$	899,223	$	899,223


	December 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 December 31, 2020
Assets:
Mortgage servicing rights	—		—		919,678		919,678
Total	$	—	$	—	$	919,678	$	919,678

As of March 31, 2021 and December 31, 2020, the Company had $899,223 and $919,678, 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 7.

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, 2021 and December 31, 2020:


As of March 31, 2021
Valuation Technique	Unobservable Input	Range		Weighted Average
Discounted cash flow	Constant prepayment rate	10.0 - 28.7%		18.5	%
	Discount rate	12.0	%	12.0	%


As of December 31, 2020
Valuation Technique	Unobservable Input	Range		Weighted Average
Discounted cash flow	Constant prepayment rate	12.4 - 28.0%		21.6	%
	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, 2021
	Level in Fair Value Hierarchy	Carrying Value		Face Amount		Fair Value
Assets:
Cash and cash equivalents	1	11,717,804		11,717,804		11,717,804
Restricted cash	1	32,154,188		32,154,188		32,154,188
Commercial mortgage loans held-for-investment	3	484,165,249		484,165,249		484,086,679
Total		$	528,037,241	$	528,037,241	$	527,958,671

Liabilities:
Collateralized loan obligations	2	409,404,872		411,242,221		410,864,162
Secured Term Loan	3	39,598,532		40,250,000		44,361,328
Total		$	449,003,404	$	451,492,221	$	455,225,490


	December 31, 2020
	Level in Fair Value Hierarchy	Carrying Value		Face Amount		Fair Value
Assets:
Cash and cash equivalents	1	11,375,960		11,375,960		11,375,960
Restricted cash	1	57,999,396		57,999,396		57,999,396
Commercial mortgage loans held-for-investment	3	547,345,334		547,345,334		547,134,755
Total		$	616,720,690	$	616,720,690	$	616,510,111

Liabilities:
Collateralized loan obligations	2	463,060,090		465,316,126		458,094,412
Secured term loan	3	39,556,198		40,250,000		44,514,373
Total		$	502,616,288	$	505,566,126	$	502,608,785

Estimates of cash and cash equivalents and restricted cash are measured using quoted 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.