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Fair Value Measurements (Tables)

9 Months Ended

Sep. 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 September 30, 2021 and December 31, 2020, by level, in the fair value hierarchy (in thousands):

		Fair value measurements using												Total at
September 30, 2021		Level 1				Level 2				Level 3				fair value
Recurring fair value measurements:
Loans held for investment, at fair value		$	—			$	—			$	1,360			$	1,360
Interest-only strips			—				—				16				16
Total recurring fair value measurements			—				—				1,376				1,376
Nonrecurring fair value measurements:
Real estate owned, net			—				—				13,113				13,113
Individually evaluated loans requiring specific allowance, net			—				—				19,096				19,096
Total nonrecurring fair value measurements			—				—				32,209				32,209
Total assets		$	—			$	—			$	33,585			$	33,585

		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 nine months ended September 30, 2021 and 2020 (in thousands):

		Three Months Ended September 30,								Nine Months Ended September 30,
Gain (loss) on assets measured on a nonrecurring basis		2021				2020				2021				2020
Loans held for sale, net		$	15			$	1,307			$	17			$	345
Real estate held for sale, net			(384	)			(528	)			(1,619	)			(1,744	)
Individually evaluated loans requiring specific allowance, net			172				(1,109	)			893				(1,469	)
Total net loss		$	(197	)		$	(330	)		$	(709	)		$	(2,868	)

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 September 30, 2021 and December 31, 2020 (dollars in thousands):

September 30, 2021

Asset category

Fair value

Primary valuation technique

Unobservable input

Range

Weighted average

Individually evaluated    loans requiring specific    allowance, net

$

19,096

Market comparables

Selling costs

8.0%

8.0%

Real estate owned, net

13,113

Market comparables

Selling costs

8.0%

8.0%

Loans held for investment,    at fair value

1,360

Discounted cash flow

Discount rate

6.3%

6.3%

Collateral value (% of UPB)

94.0% to 124.0%

107.0%

Timing of resolution/payoff (months)

1 to 70

56.0

Prepayment rate

20.9% to 50.0%

20.9% to 50.0%

Default rate

0.26% to 3.25%

1.0%

Loss severity rate

0.0% to 12.71%

3.0%

Interest-only strips

16

Discounted cash flow

Discount rate

15.0%

15.0%

Timing of resolution/payoff (months)

0 to 12

1.0

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 September 30,								Nine Months Ended September 30,
		2021				2020				2021				2020
Beginning balance		$	1,370			$	2,956			$	1,539			$	2,960
Loans liquidated			—				—				(163	)			—
Principal paydowns			(10	)			(9	)			(34	)			(44	)
Total unrealized gain (loss) included in net income			—				380				18				411
Ending balance		$	1,360			$	3,327			$	1,360			$	3,327

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 September 30,								Nine Months Ended September 30,
		2021				2020				2021				2020
Beginning balance		$	81			$	845			$	238			$	894
Interest-only strip additions			—				—				—				1,820
Interest-only strip write-offs			(65	)			(365	)			(222	)			(2,234	)
Total unrealized loss included in net income			—				(7	)			—				(7	)
Ending balance		$	16			$	473			$	16			$	473

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):

		September 30, 2021
		Carrying																Estimated
Asset category		Value				Level 1				Level 2				Level 3				Fair Value
Assets:
Cash		$	35,497			$	35,497			$	—			$	—			$	35,497
Restricted cash			9,586				9,586				—				—				9,586
Loans held for investment, net			2,295,697				—				—				2,437,824				2,437,824
Loans held for investment, at fair value			1,360				—				—				1,360				1,360
Accrued interest receivables			11,974				11,974				—				—				11,974
Interest-only strips			16				—				—				16				16
Liabilities:
Secured financing, net		$	163,449			$	—			$	—			$	171,938			$	171,938
Warehouse repurchase facilities, net			258,491				—				258,491				—				258,491
Securitizations, net			1,623,674				—				—				1,699,916				1,699,916
Accrued interest payable			5,577				5,577				—				—				5,577

		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

X

- 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.

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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).

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Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

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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.

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