FAIR VALUE

9 Months Ended

Sep. 30, 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 September 30, 2022 and December 31, 2021:

	September 30, 2022
	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, 2022
Assets:
Mortgage servicing rights	—		—		817,907		817,907
Total	$	—	$	—	$	817,907	$	817,907

	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 September 30, 2022 and December 31, 2021, the Company had $817,907 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 September 30, 2022 and December 31, 2021:

As of September 30, 2022
Valuation Technique	Unobservable Input	Range		Weighted Average
Discounted cash flow	Constant prepayment rate	8.0 - 9.7%		8.2	%
	Discount rate	12.0	%	12.0	%

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 discussed in Note 2, GAAP requires disclosure of fair value information about financial instruments, whether or not recognized in the 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, 2022
	Level in Fair Value Hierarchy	Carrying Value		Face Amount		Fair Value
Assets:
Cash and cash equivalents	1	48,485,316		48,485,316		48,485,316
Restricted cash	1	28,222,095		28,222,095		28,222,095
Commercial mortgage loans held-for-investment	3	1,044,080,754		1,045,929,099		1,031,678,777
Total		$	1,120,788,165	$	1,122,636,510	$	1,108,386,188
Liabilities:
Collateralized loan obligations	2	828,673,313		833,750,000		804,239,125
Secured Term Loan	3	46,908,234		47,750,000		43,106,254
Total		$	875,581,547	$	881,500,000	$	847,345,379

	December 31, 2021
	Level in Fair Value Hierarchy	Carrying Value		Face Amount		Fair Value
Assets:
Cash and cash equivalents	1	14,749,046		14,749,046		14,749,046
Restricted cash	1	3,530,006		3,530,006		3,530,006
Commercial mortgage loans held-for-investment	3	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	2	826,782,543		833,750,000		834,425,625
Secured term loan	3	46,845,502		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.