FAIR VALUE (Tables)

9 Months Ended

Sep. 30, 2021

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, 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

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, 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	%

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, 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