XML 25 R14.htm IDEA: XBRL DOCUMENT v3.22.1
FAIR VALUE
3 Months Ended
Mar. 31, 2022
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 March 31, 2022 and December 31, 2021:

 March 31, 2022
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, 2022
Assets:    
Mortgage servicing rights— — 699,379 699,379 
Total$ $ $699,379 $699,379 
 December 31, 2021
Quoted prices in
active markets
for identical assets
Level 1
Significant
other observable
inputs
Level 2
Unobservable
inputs
Level 3
Balance as of
December 31, 2020
Assets:    
Mortgage servicing rights— — 551,997 551,997 
Total$ $ $551,997 $551,997 

As of March 31, 2022 and December 31, 2021, the Company had $699,379 and $551,997, 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, 2022 and December 31, 2021:

As of March 31, 2022
Valuation TechniqueUnobservable InputRangeWeighted Average
Discounted cash flowConstant prepayment rate
7.6 - 23.4%
12.7 %
 Discount rate12.0 %12.0 %
As of December 31, 2021
Valuation TechniqueUnobservable InputRangeWeighted Average
Discounted cash flowConstant prepayment rate
10.8 - 29.7%
19.1 %
 Discount rate12.0 %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, 2022
Level in Fair Value HierarchyCarrying ValueFace AmountFair Value
Assets:
Cash and cash equivalents145,846,521 45,846,521 45,846,521 
Restricted cash11,342,733 1,342,733 1,342,733 
Commercial mortgage loans held-for-investment31,077,516,319 1,077,505,797 1,074,511,875 
Total$1,124,705,573 $1,124,695,051 $1,121,701,129 
Liabilities:
Collateralized loan obligations2827,405,880 833,750,000 824,334,875 
Secured Term Loan346,783,300 47,750,000 48,083,989 
Total$874,189,180 $881,500,000 $872,418,864 
December 31, 2021
Level in Fair Value HierarchyCarrying ValueFace AmountFair Value
Assets:
Cash and cash equivalents114,749,046 14,749,046 14,749,046 
Restricted cash13,530,006 3,530,006 3,530,006 
Commercial mortgage loans held-for-investment31,001,825,294 1,001,869,994 1,001,473,884 
Total$1,020,104,346 $1,020,149,046 $1,019,752,936 
Liabilities:
Collateralized loan obligations2826,782,543 833,750,000 834,425,625 
Secured term loan346,845,502 47,750,000 50,986,154 
Total$873,628,045 $881,500,000 $885,411,779 
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.