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Fair Value Measurements (Tables) | 6 Months Ended
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Jun. 30, 2021
Fair Value Disclosures [Abstract] |
Schedule of Information on Assets Measured and Recorded at Fair Value | The following tables present information on assets measured and recorded at fair value as of June 30, 2021 and December 31, 2020, by level, in the fair value hierarchy (in thousands):
|  | Fair value measurements using |  |  | Total at |
June 30, 2021 |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | fair value |
Recurring fair value measurements: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans held for investment, at fair value |  | $ | — |  |  | $ | — |  |  | $ | 1,370 |  |  | $ | 1,370 |
Interest-only strips |  |  | — |  |  |  | — |  |  |  | 81 |  |  |  | 81 |
Total recurring fair value measurements |  |  | — |  |  |  | — |  |  |  | 1,451 |  |  |  | 1,451 |
Nonrecurring fair value measurements: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans held for sale, net |  |  | — |  |  |  | — |  |  |  | 1,280 |  |  |  | 1,280 |
Real estate owned, net |  |  | — |  |  |  | — |  |  |  | 15,743 |  |  |  | 15,743 |
Individually evaluated loans requiring specific allowance, net |  |  | — |  |  |  | — |  |  |  | 19,619 |  |  |  | 19,619 |
Total nonrecurring fair value measurements |  |  | — |  |  |  | — |  |  |  | 36,642 |  |  |  | 36,642 |
Total assets |  | $ | — |  |  | $ | — |  |  | $ | 38,093 |  |  | $ | 38,093 |
|  | Fair value measurements using |  |  | Total at |
December 31, 2020 |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | fair value |
Recurring fair value measurements: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans held for investment, at fair value |  | $ | — |  |  | $ | — |  |  | $ | 1,539 |  |  | $ | 1,539 |
Interest-only strips |  |  | — |  |  |  | — |  |  |  | 238 |  |  |  | 238 |
Total recurring fair value measurements |  |  | — |  |  |  | — |  |  |  | 1,777 |  |  |  | 1,777 |
Nonrecurring fair value measurements: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Loans held for sale, net |  |  | — |  |  |  | — |  |  |  | 13,106 |  |  |  | 13,106 |
Real estate owned, net |  |  | — |  |  |  | — |  |  |  | 15,767 |  |  |  | 15,767 |
Impaired loans requiring specific allowance, net |  |  | — |  |  |  | — |  |  |  | 19,340 |  |  |  | 19,340 |
Total nonrecurring fair value measurements |  |  | — |  |  |  | — |  |  |  | 48,213 |  |  |  | 48,213 |
Total assets |  | $ | — |  |  | $ | — |  |  | $ | 49,990 |  |  | $ | 49,990 |
Schedule of Gains and Losses Recognized on Assets Measured on Nonrecurring Basis | The following table presents gains and losses recognized on assets measured on a nonrecurring basis for the three and six months ended June 30, 2021 and 2020 (in thousands):
|  | Three Months Ended June 30, |  |  | Six Months Ended June 30, |
Gain (loss) on assets measured on a nonrecurring basis |  | 2021 |  |  | 2020 |  |  | 2021 |  |  | 2020 |
Loans held for sale, net |  | $ | (15 | ) |  | $ | (921 | ) |  | $ | 2 |  |  | $ | (961 | )
Real estate held for sale, net |  |  | (800 | ) |  |  | (648 | ) |  |  | (1,235 | ) |  |  | (1,216 | )
Individually evaluated loans requiring specific allowance, net |  |  | 1,029 |  |  |  | (431 | ) |  |  | 720 |  |  |  | (360 | )
Total net loss |  | $ | 214 |  |  | $ | (2,000 | ) |  | $ | (513 | ) |  | $ | (2,537 | )
Valuation Techniques and Unobservable Inputs Related to Level 3 Assets | The following tables present the primary valuation techniques and unobservable inputs related to Level 3 assets as of June 30, 2021 and December 31, 2020 (dollars in thousands):
|  | June 30, 2021 |
Asset category |  | Fair value |  |  | Primary valuation technique |  | Unobservable input |  | Range |  |  | Weighted average |
Individually evaluated loans requiring specific allowance, net |  | $ | 19,619 |  |  | Market comparables |  | Selling costs |  | 8.0% |  |  | 8.0% |
Real estate owned, net |  |  | 15,743 |  |  | Market comparables |  | Selling costs |  | 8.0% |  |  | 8.0% |
Loans held for investment, at fair value |  |  | 1,370 |  |  | Discounted cash flow |  | Discount rate |  | 6.2% |  |  | 6.2% |
|  |  |  |  |  |  |  | Collateral value (% of UPB) |  | 95.0% to 118.0% |  |  | 106.0% |
|  |  |  |  |  |  |  | Timing of resolution/payoff (months) |  | 1 to 36 |  |  |  | 33 |
|  |  |  |  |  |  |  | Prepayment rate |  | 21.8% to 50.0% |  |  | 21.8% to 50.0% |
|  |  |  |  |  |  |  | Default rate |  | 0.3% to 2.6% |  |  | 1.0% |
|  |  |  |  |  |  |  | Loss severity rate |  | 0.0% to 8.3% |  |  | 5.0% |
Loans held for sale |  |  | 1,280 |  |  | Discounted cash flow |  | Discount rate |  | 6.2% |  |  | 6.2% |
|  |  |  |  |  |  |  | Timing of resolution/payoff (months) |  |  | 3 |  |  |  | 3 |
Interest-only strips |  | 81 |  |  | Discounted cash flow |  | Discount rate |  | 15.0% |  |  | 15.0% |
|  |  |  |  |  |  |  | Timing of resolution/payoff (months) |  | 0 to 12 |  |  |  | 7 |
|  | December 31, 2020 |
Asset category |  | Fair value |  |  | Primary valuation technique |  | Unobservable input |  | Range |  |  | Weighted average |
Individually evaluated loans requiring specific allowance, net |  | $ | 19,340 |  |  | Market comparables |  | Selling costs |  | 8.0% |  |  | 8.0% |
Real estate owned, net |  |  | 15,767 |  |  | Market comparables |  | Selling costs |  | 8.0% |  |  | 8.0% |
Loans held for investment, at fair value |  |  | 1,539 |  |  | Discounted cash flow |  | Discount rate |  | 6.2% |  |  | 6.2% |
|  |  |  |  |  |  |  | Collateral value (% of UPB) |  | 94.0% to 104.0% |  |  | 100.0% |
|  |  |  |  |  |  |  | Timing of resolution/payoff (months) |  | 14 to 31 |  |  |  | 25.0 |
|  |  |  |  |  |  |  | Prepayment rate |  | 17.5% to 30.0% |  |  | 17.5% to 30.0% |
|  |  |  |  |  |  |  | Default rate |  | 5.0% to 15.0% |  |  | 12.0% |
|  |  |  |  |  |  |  | Loss severity rate |  | 1.0% |  |  | 1.0% |
Loans held for sale |  |  | 13,106 |  |  | Discounted cash flow |  | Discount rate |  | 6.2% |  |  | 6.2% |
|  |  |  |  |  |  |  | Timing of resolution/payoff (months) |  | 31 to 34 |  |  |  | 32.0 |
Interest-only strips |  | 238 |  |  | Discounted cash flow |  | Discount rate |  | 15.0% |  |  | 15.0% |
|  |  |  |  |  |  |  | Timing of resolution/payoff (months) |  | 0 to 12 |  |  |  | 1.5 |
Rollforward of Loans and Interest Only Strips Measured at Estimated Fair Value on Recurring Basis | The following is a rollforward of loans that are measured at estimated fair value on a recurring basis for the periods indicated (in thousands):
|  | Three Months Ended June 30, |  |  | Six Months Ended June 30, |
|  | 2021 |  |  | 2020 |  |  | 2021 |  |  | 2020 |
Beginning balance |  | $ | 1,364 |  |  | $ | 2,987 |  |  | $ | 1,539 |  |  | $ | 2,960 |
Loans liquidated |  |  | — |  |  |  | — |  |  |  | (163 | ) |  |  | — |
Principal paydowns |  |  | (14 | ) |  |  | (18 | ) |  |  | (24 | ) |  |  | (36 | )
Total unrealized gain (loss) included in net income |  |  | 20 |  |  |  | (13 | ) |  |  | 18 |  |  |  | 32 |
Ending balance |  | $ | 1,370 |  |  | $ | 2,956 |  |  | $ | 1,370 |  |  | $ | 2,956 |
The following is a rollforward of interest-only strips that are measured at estimated fair value on a recurring basis for the periods indicated (in thousands):
|  | Three Months Ended June 30, |  |  | Six Months Ended June 30, |
|  | 2021 |  |  | 2020 |  |  | 2021 |  |  | 2020 |
Beginning balance |  | $ | 125 |  |  | $ | 1,534 |  |  | $ | 238 |  |  | $ | 894 |
Interest-only strip additions |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 1,820 |
Interest-only strip write-offs |  |  | (44 | ) |  |  | (689 | ) |  |  | (157 | ) |  |  | (1,869 | )
Total unrealized loss included in net income |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Ending balance |  | $ | 81 |  |  | $ | 845 |  |  | $ | 81 |  |  | $ | 845 |
Carrying Amounts and Estimated Fair Values of Financial Instruments | The following tables present carrying amounts and estimated fair values of certain financial instruments as of the dates indicated (in thousands):
|  | June 30, 2021 |
|  | Carrying |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Estimated |
Asset category |  | Value |  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Fair Value |
Assets: |  |  |
Cash |  | $ | 27,741 |  |  | $ | 27,741 |  |  | $ | — |  |  | $ | — |  |  | $ | 27,741 |
Restricted cash |  |  | 7,921 |  |  |  | 7,921 |  |  |  | — |  |  |  | — |  |  |  | 7,921 |
Loans held for sale, net |  |  | 7,916 |  |  |  | — |  |  |  | — |  |  |  | 7,916 |  |  |  | 7,916 |
Loans held for investment, net |  |  | 2,083,753 |  |  |  | — |  |  |  | — |  |  |  | 2,186,434 |  |  |  | 2,186,434 |
Loans held for investment, at fair value |  |  | 1,370 |  |  |  | — |  |  |  | — |  |  |  | 1,370 |  |  |  | 1,370 |
Accrued interest receivables |  |  | 11,094 |  |  |  | 11,094 |  |  |  | — |  |  |  | — |  |  |  | 11,094 |
Interest-only strips |  |  | 81 |  |  |  | — |  |  |  | — |  |  |  | 81 |  |  |  | 81 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Secured financing, net |  | $ | 164,053 |  |  | $ | — |  |  | $ | — |  |  | $ | 173,031 |  |  | $ | 173,031 |
Warehouse repurchase facilities, net |  |  | 151,872 |  |  |  | — |  |  |  | 151,872 |  |  |  | — |  |  |  | 151,872 |
Securitizations, net |  |  | 1,558,163 |  |  |  | — |  |  |  | — |  |  |  | 1,642,834 |  |  |  | 1,642,834 |
Accrued interest payable |  |  | 5,506 |  |  |  | 5,506 |  |  |  | — |  |  |  | — |  |  |  | 5,506 |
|  | December 31, 2020 |
|  | Carrying |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Estimated |
Asset category |  | Value |  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Fair Value |
Assets: |  |  |
Cash |  | $ | 13,273 |  |  | $ | 13,273 |  |  | $ | — |  |  | $ | — |  |  | $ | 13,273 |
Restricted cash |  |  | 7,020 |  |  |  | 7,020 |  |  |  | — |  |  |  | — |  |  |  | 7,020 |
Loans held for sale, net |  |  | 13,106 |  |  |  | — |  |  |  | — |  |  |  | 13,106 |  |  |  | 13,106 |
Loans held for investment, net |  |  | 1,948,089 |  |  |  | — |  |  |  | — |  |  |  | 2,003,301 |  |  |  | 2,003,301 |
Loans held for investment, at fair value |  |  | 1,539 |  |  |  | — |  |  |  | — |  |  |  | 1,539 |  |  |  | 1,539 |
Accrued interest receivable |  |  | 11,373 |  |  |  | 11,373 |  |  |  | — |  |  |  | — |  |  |  | 11,373 |
Interest-only strips |  | 238 |  |  |  | — |  |  |  | — |  |  | 238 |  |  |  | 238 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Secured financing, net |  | $ | 74,982 |  |  | $ | — |  |  | $ | — |  |  | $ | 78,000 |  |  | $ | 78,000 |
Warehouse repurchase facilities, net |  |  | 75,923 |  |  |  | — |  |  |  | 75,923 |  |  |  | — |  |  |  | 75,923 |
Securitizations, net |  |  | 1,579,019 |  |  |  | — |  |  |  | — |  |  |  | 1,616,222 |  |  |  | 1,616,222 |
Accrued interest payable |  |  | 5,503 |  |  |  | 5,503 |  |  |  | — |  |  |  | — |  |  |  | 5,503 |

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- Definition Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of assets and liabilities by class, including financial instruments measured at fair value that are classified in shareholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). Disclosures may include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of assets measured at fair value measured on a recurring or nonrecurring basis. Includes, but is not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 11 -URI http://asc.fasb.org/extlink&oid=121572278&loc=d3e13467-108611 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of financial instrument classified as a derivative asset (liability) after deduction of derivative liability (asset) using recurring unobservable inputs that reflect the entity's own assumption about the assumptions market participants would use in pricing. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19279-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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