FAIR VALUE (Tables)

12 Months Ended

Dec. 31, 2022

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, 2022 and December 31, 2021:

	December 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 December 31, 2022
Assets:
Mortgage servicing rights	$	—	$	—	$	795,656	$	795,656
Total	$	—	$	—	$	795,656	$	795,656

	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

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, 2022 and December 31, 2021:

 

As of December 31, 2022
Valuation Technique	Unobservable Input	Range		Weighted Average
Discounted cash flow	Constant prepayment rate	8.0 - 9.4%		8.1	%
	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, 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, 2022
	Level in Fair Value Hierarchy	Carrying Value		Face Amount		Fair Value
Assets:
Cash and cash equivalents	1	$	43,858,515	$	43,858,515	$	43,858,515
Restricted cash	1	3,507,850		3,507,850		3,507,850
Commercial mortgage loans held-for-investment	3	1,071,889,518		1,076,865,099		1,064,407,588
Total		$	1,119,255,883	$	1,124,231,464	$	1,111,773,953
Liabilities:
Collateralized loan obligations	2	$	829,310,498	$	833,750,000	$	803,308,375
Secured term loan	3	46,971,042		47,750,000		44,563,236
Total		$	876,281,540	$	881,500,000	$	847,871,611

	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