Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)

v3.21.2
FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)
 9 Months Ended
Sep. 30, 2021
Fair Value Disclosures [Abstract]  
Schedule of carrying value and estimated fair value of assets and liabilities
The following table summarizes the carrying values and estimated fair values of the Company’s financial instruments at September 30, 2021: 
September 30, 2021 December 31, 2020
Carrying Value Estimated Fair Value Fair Value Method (A) Carrying Value Estimated Fair Value
Assets      
Real estate securities, available-for-sale $ 3,414  $ 3,414  Pricing models - Level 3 $ 3,223  $ 3,223 
Cash and cash equivalents 63,867  63,867    47,786  47,786 
Restricted cash, current and noncurrent 4,151  4,151    3,047  3,047 
Liabilities      
Junior subordinated notes payable $ 51,177  $ 27,445  Pricing models - Level 3 $ 51,182  $ 18,591 
Pricing models are used for (i) real estate securities that are not traded in an active market, and, therefore, have little or no price transparency, and for which significant unobservable inputs must be used in estimating fair value, or (ii) debt obligations which are private and not traded.
Schedule of quantitative information regarding significant unobservable inputs
The following table provides quantitative information regarding the significant unobservable inputs used by the Company for assets and liabilities measured at fair value on a recurring basis as of September 30, 2021:
      Weighted Average Significant Input
Asset Type Amortized Cost Basis Fair Value Discount
Rate		 Prepayment
Speed		 Cumulative Default Rate Loss
Severity
ABS - Non-Agency RMBS $ 2,159  $ 3,414  11.0  % 7.5  % 2.8  % 65.0  %
Schedule of change in fair value of level 3 investments
Real estate securities measured at fair value on a recurring basis using Level 3 inputs changed during the nine months ended September 30, 2021 as follows:
  ABS - Non-Agency RMBS
Balance at December 31, 2020 $ 3,223 
Total gains (losses) (A)  
Included in other comprehensive income (loss) (214)
Amortization included in interest income 425 
Purchases, sales and repayments (A)  
Proceeds (20)
Balance at September 30, 2021 $ 3,414 

(A) There were no purchases, sales or transfers into or out of Level 3 during the nine months ended September 30, 2021.
Summary of liabilities for which fair value is only disclosed
The following table summarizes the level of the fair value hierarchy, valuation techniques and inputs used for estimating each class of liabilities not measured at fair value in the statement of financial position but for which fair value is disclosed:
Type of Liabilities Not Measured At Fair Value for Which Fair Value Is Disclosed Fair Value Hierarchy Valuation Techniques and Significant Inputs
Junior subordinated notes payable Level 3 Valuation technique is based on discounted cash flows. Significant inputs include:
l Amount and timing of expected future cash flows
l Interest rates
l Market yields and the credit spread of the Company