FAIR VALUE (Tables)

12 Months Ended

Dec. 31, 2021

Fair Value Disclosures [Abstract]

Valuation of Assets and Liabilities at 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 December 31, 2021 and December 31, 2020:

	December 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 December 31, 2021
Assets:
Mortgage servicing rights	$	—	$	—	$	551,997	$	551,997
Total	$	—	$	—	$	551,997	$	551,997

	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 December 31, 2021 and December 31, 2020:

 

As of December 31, 2021
Valuation Technique	Unobservable Input	Range		Weighted Average
Discounted cash flow	Constant prepayment rate	10.8 - 29.7%		19.1	%
	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	%

Fair Value, by Balance Sheet Grouping

The following table details the carrying amount, face amount and fair value of the financial instruments described in Note 2:

	December 31, 2021
	Carrying Value		Face Amount		Fair Value
Assets:
Cash and cash equivalents	$	14,749,046	$	14,749,046	$	14,749,046
Restricted cash	3,530,006		3,530,006		3,530,006
Commercial mortgage loans held-for-investment	1,001,825,294		1,001,869,994		1,001,473,884
Total	$	1,020,104,346	$	1,020,149,046	$	1,019,752,936
Liabilities:
Collateralized loan obligations	$	826,782,543	$	833,750,000	$	834,425,625
Secured term loan	46,845,502		47,750,000		50,986,154
Total	$	873,628,045	$	881,500,000	$	885,411,779

	December 31, 2020
	Carrying Value		Face Amount		Fair Value
Assets:
Cash and cash equivalents	$	11,375,960	$	11,375,960	$	11,375,960
Restricted cash	57,999,396		57,999,396		57,999,396
Commercial mortgage loans held-for-investment	547,345,334		547,345,334		547,134,755
Total	$	616,720,690	$	616,720,690	$	616,510,111
Liabilities:
Collateralized loan obligations	$	463,060,090	$	465,316,126	$	458,094,412
Secured term loan	$	39,556,198	$	40,250,000	$	44,514,373
Total	$	502,616,288	$	505,566,126	$	502,608,785