FAIR VALUE (Tables)

9 Months Ended

Sep. 30, 2022

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, 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

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, 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	%

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, 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