XML 33 R15.htm IDEA: XBRL DOCUMENT

FAIR VALUE

12 Months Ended

Dec. 31, 2023

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, 2023 and December 31, 2022:


	December 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 December 31, 2023
Assets:
Mortgage servicing rights	$	—	$	—	$	691,973	$	691,973
Total	$	—	$	—	$	691,973	$	691,973


	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 December 31, 2023 and December 31, 2022, the Company had $691,973 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 8.

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, 2023 and December 31, 2022:


As of December 31, 2023
Valuation Technique	Unobservable Input	Range		Weighted Average
Discounted cash flow	Constant prepayment rate	8.0 - 10.3%		8.2	%
	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:


	December 31, 2023
	Level in Fair Value Hierarchy	Carrying Value		Face Amount		Fair Value
Assets:
Cash and cash equivalents	1	$	51,247,063	$	51,247,063	$	51,247,063
Restricted cash	1	270,129		270,129		270,129
Commercial mortgage loans held-for-investment	3	1,383,881,197		1,397,385,160		1,388,355,730
Total		$	1,435,398,389	$	1,448,902,352	$	1,439,872,922

Liabilities:
Collateralized loan obligations	2	$	1,146,210,752	$	1,151,450,000	$	1,128,250,991
Secured term loan	3	47,220,226		47,750,000		46,191,524
Total		$	1,193,430,978	$	1,199,200,000	$	1,174,442,515


	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

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 and secured financings 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.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details