Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)

v3.22.2.2
FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)
 9 Months Ended
Sep. 30, 2022
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, 2022: 
September 30, 2022 December 31, 2021
Carrying Value Estimated Fair Value
Fair Value Method (A)
Carrying Value Estimated Fair Value
Assets      
Real estate securities, available-for-sale $ 2,041  $ 2,041  Pricing models - Level 3 $ 3,486  $ 3,486 
Cash and cash equivalents 11,655  11,655    58,286  58,286 
Restricted cash, current and noncurrent 4,564  4,564    4,278  4,278 
Liabilities      
Junior subordinated notes payable $ 51,169  $ 35,307  Pricing models - Level 3 $ 51,174  $ 27,625 
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, 2022:
      Weighted Average Significant Input
Asset Type Amortized Cost Basis Fair Value Discount
Rate		 Prepayment
Speed		 Cumulative Default Rate Loss
Severity
ABS - Non-Agency RMBS $ 2,875  $ 2,041  12.0  % 7.5  % 2.6  % 55.0  %
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, 2022 as follows:
  ABS - Non-Agency RMBS
Balance at December 31, 2021 $ 3,486 
Total gains (losses) (A)
Included in other comprehensive income (loss) (1,997)
Amortization included in interest income 566 
Purchases, sales and repayments (A)
(14)
Balance at September 30, 2022 $ 2,041 

(A)None of the gains (losses) recorded in earnings during the period is attributable to the change in unrealized gains (losses) relating to Level 3 assets still held at the reporting date. There were no purchases or sales during the nine months ended September 30, 2022. There were no transfers into or out of Level 3 during the nine months ended September 30, 2022.
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