FAIR VALUE

9 Months Ended

Sep. 30, 2021

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, 2021 and December 31, 2020:

	September 30, 2021
	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, 2021
Assets:
Mortgage servicing rights	—		—		619,012		619,012
Total	$	—	$	—	$	619,012	$	619,012

	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 September 30, 2021 and December 31, 2020, the Company had $619,012 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 September 30, 2021 and December 31, 2020:

As of September 30, 2021
Valuation Technique	Unobservable Input	Range		Weighted Average
Discounted cash flow	Constant prepayment rate	11.1 - 29.6%		20.0	%
	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%		21.1	%
	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, 2021
	Level in Fair Value Hierarchy	Carrying Value		Face Amount		Fair Value
Assets:
Cash and cash equivalents	1	44,080,327		44,080,327		44,080,327
Restricted cash	1	148,066,240		148,066,240		148,066,240
Commercial mortgage loans held-for-investment	3	803,074,256		803,043,750		803,023,846
Total		$	995,220,823	$	995,190,317	$	995,170,413
Liabilities:
Collateralized loan obligations	2	826,145,358		833,750,000		837,431,250
Secured Term Loan	3	46,805,417		47,750,000		51,966,612
Total		$	872,950,775	$	881,500,000	$	889,397,862

	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.