FAIR VALUE

3 Months Ended

Mar. 31, 2023

FAIR VALUEThe 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, 2023 and December 31, 2022:


	March 31, 2023
	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, 2023
Assets:
Mortgage servicing rights	—		—		746,528		746,528
Total	$	—	$	—	$	746,528	$	746,528


	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

As of March 31, 2023 and December 31, 2022, the Company had $746,528 and $795,656, 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, 2023 and December 31, 2022:


As of March 31, 2023
Valuation Technique	Unobservable Input	Range		Weighted Average
Discounted cash flow	Constant prepayment rate	8.0 - 10.7%		8.3	%
	Discount rate	12.0	%	12.0	%


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 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:


	March 31, 2023
	Level in Fair Value Hierarchy	Carrying Value		Face Amount		Fair Value
Assets:
Cash and cash equivalents	1	98,572,560		98,572,560		98,572,560
Restricted cash	1	1,946,370		1,946,370		1,946,370
Commercial mortgage loans held-for-investment, net	3	1,016,463,672		1,020,479,107		1,012,714,068
Total		$	1,116,982,602	$	1,120,998,037	$	1,113,232,998

Liabilities:
Collateralized loan obligations	2	829,933,826		833,750,000		806,594,000
Secured Term Loan	3	47,032,485		47,750,000		45,033,525
Total		$	876,966,311	$	881,500,000	$	851,627,525


	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, net	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

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.