Annual report pursuant to Section 13 and 15(d)

FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)

v3.22.2.2
FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)
 12 Months Ended
Dec. 31, 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 December 31, 2021 and 2020:
December 31, 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
 $ 3,486  $ 3,486  Pricing models - Level 3 $ 3,223  $ 3,223 
Cash and cash equivalents
 58,286  58,286  47,786  47,786 
Liabilities
Junior subordinated notes payable
 $ 51,174  $ 27,625  Pricing models - Level 3 $ 51,182  $ 18,591 
(A)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 untraded.
Schedule of quantitative information about 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 December 31, 2021 and 2020.
Significant Input
December 31, 2021
Asset Type Amortized
Cost
Basis		 Fair
Value		 Discount Rate Prepayment Speed Cumulative Default Rate Loss Severity
ABS - Non-Agency RMBS $ 2,323  $ 3,486  10.0  % 7.5  % 2.6  % 65.0  %
Total $ 2,323  $ 3,486 
December 31, 2020
ABS - Non-Agency RMBS $ 1,755  $ 3,223  10.0  % 7.5  % 2.6  % 65.0  %
Total $ 1,755  $ 3,223 
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 as follows:
ABS - Non-Agency RMBS
Balance at December 31, 2019 $ 3,052 
Total gains (losses) (A)
Included in other comprehensive loss (242)
Amortization included in interest income
 462 
Purchases, sales and repayments (A)
Proceeds
 (49)
Balance at December 31, 2020 $ 3,223 
Total gains (losses) (A)
Included in other comprehensive loss (305)
Amortization included in interest income
 592 
Purchases, sales and repayments (A)
Proceeds
 (24)
Balance at December 31, 2021 $ 3,486 
(A)None of the gains (losses) recorded in earnings during the periods is attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting dates. There were no purchases or sales during the years ended December 31, 2021 and 2020. There were no transfers into or out of Level 3 during the years ended December 31, 2021 and 2020.
Schedule of liabilities for which fair value is 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 Fair Value
for Which Fair Value Is Disclosed  Hierarchy Valuation Techniques and Significant Inputs
Junior subordinated notes payable Level 3 Valuation technique is based on discounted cash flows. Significant inputs include:
• Amount and timing of expected future cash flows
• Interest rates
• Market yields and the credit spread of the Company