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Fair Value Measurements (Tables) | 9 Months Ended
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Sep. 30, 2023
Fair Value Disclosures [Abstract] |
Schedule of Information on Assets and Liabilities Measured and Recorded at Fair Value | The following tables present information on assets and liabilities measured and recorded at fair value as of September 30, 2023 and December 31, 2022, by level, in the fair value hierarchy (in thousands):
|  | Fair value measurements using |  |  | Total at |
September 30, 2023 |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | fair value |
Assets: |  |  |  |  |  |  |  |  |  |  |  |
Recurring fair value measurements: |  |  |  |  |  |  |  |  |  |  |  |
Loans held for sale, at fair value |  | $ | — |  |  | $ | 19,536 |  |  | $ | — |  |  | $ | 19,536 |
Loans held for investment, at fair value |  |  | — |  |  |  | — |  |  |  | 951,990 |  |  |  | 951,990 |
Mortgage servicing rights |  |  | — |  |  |  | — |  |  |  | 9,786 |  |  |  | 9,786 |
Derivative assets |  |  | — |  |  |  | 1,261 |  |  |  | — |  |  |  | 1,261 |
Total recurring fair value measurements |  |  | — |  |  |  | 20,797 |  |  |  | 961,776 |  |  |  | 982,573 |
Nonrecurring fair value measurements: |  |  |  |  |  |  |  |  |  |  |  |
Real estate owned, net |  |  | — |  |  |  | — |  |  |  | 29,299 |  |  |  | 29,299 |
Individually evaluated loans requiring specific allowance, net |  |  | — |  |  |  | — |  |  |  | 7,859 |  |  |  | 7,859 |
Total nonrecurring fair value measurements |  |  | — |  |  |  | — |  |  |  | 37,158 |  |  |  | 37,158 |
Total assets |  | $ | — |  |  | $ | 20,797 |  |  | $ | 998,934 |  |  | $ | 1,019,731 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Recurring fair value measurements: |  |  |  |  |  |  |  |  |  |  |  |
Securitized debt, at fair value |  | $ | — |  |  | $ | 669,139 |  |  | $ | — |  |  | $ | 669,139 |
Total recurring fair value measurements |  |  | — |  |  |  | 669,139 |  |  |  | — |  |  |  | 669,139 |
Total liabilities |  | $ | — |  |  | $ | 669,139 |  |  | $ | — |  |  | $ | 669,139 |
|  | Fair value measurements using |  |  | Total at |
December 31, 2022 |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | fair value |
Assets: |  |  |  |  |  |  |  |  |  |  |  |
Recurring fair value measurements: |  |  |  |  |  |  |  |  |  |  |  |
Loans held for investment, at fair value |  | $ | — |  |  | $ | — |  |  | $ | 276,095 |  |  | $ | 276,095 |
Mortgage servicing rights |  |  | — |  |  |  | — |  |  |  | 9,238 |  |  |  | 9,238 |
Total recurring fair value measurements |  |  | — |  |  |  | — |  |  |  | 285,333 |  |  |  | 285,333 |
Nonrecurring fair value measurements: |  |  |  |  |  |  |  |  |  |  |  |
Real estate owned, net |  |  | — |  |  |  | — |  |  |  | 13,325 |  |  |  | 13,325 |
Individually evaluated loans requiring specific allowance, net |  |  | — |  |  |  | — |  |  |  | 11,466 |  |  |  | 11,466 |
Total nonrecurring fair value measurements |  |  | — |  |  |  | — |  |  |  | 24,791 |  |  |  | 24,791 |
Total assets |  | $ | — |  |  | $ | — |  |  | $ | 310,124 |  |  | $ | 310,124 |
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, 2023 and 2022 (in thousands):
|  | Three Months Ended September 30, |  |  | Nine Months Ended September 30, |  |
Gain (loss) on assets measured on a nonrecurring basis |  | 2023 |  |  | 2022 |  |  | 2023 |  |  | 2022 |  |
Real estate held for sale, net |  | $ | (817 | ) |  | $ | (369 | ) |  | $ | (2,486 | ) |  | $ | (276 | ) |
Individually evaluated loans requiring specific allowance, net |  |  | 189 |  |  |  | 290 |  |  |  | 242 |  |  |  | 532 |  |
Total net (loss) gain |  | $ | (628 | ) |  | $ | (79 | ) |  | $ | (2,244 | ) |  | $ | 256 |  |
Valuation Techniques and Unobservable Inputs Related to Level 3 Assets | The following table presents the primary valuation techniques and unobservable inputs related to Level 3 assets that are recorded on a recurring and nonrecurring basis as of September 30, 2023 ($ in thousands):
|  | September 30, 2023
Asset category |  | Fair value |  |  | Primary valuation technique |  | Unobservable input |  | Range |  | Weighted average
Recurring: |  |  |  |  |  |  |  |  |  |  |
Loans held for investment, at fair value |  | $ | 951,990 |  |  | Discounted cash flow |  | Discount rate |  | 10.1% |  | 10.1%
|  |  |  |  |  |  | Prepayment rate |  | 0.7% to 30.0% |  | 19.0%
|  |  |  |  |  |  | Default rate |  | 0.0% to 1.7% |  | 0.4%
|  |  |  |  |  |  | Loss severity rate |  | 0.0% to 15.0% |  | 3.3%
|  |  |  |  |  |  | Recovery lag (performing loans, in months) |  | 17 |  | 17
Mortgage servicing rights |  |  | 9,786 |  |  | Discounted cash flow |  | Discount rate |  | 8.0% |  | 8.0%
|  |  |  |  |  |  | Prepayment rate |  | 5.8% to 12.5% |  | 6.4%
Nonrecurring: |  |  |  |  |  |  |  |  |  |  |
Individually evaluated loans requiring specific allowance, net |  | $ | 7,859 |  |  | Market comparables |  | Selling costs |  | 8.0% |  | 8.0%
Real estate owned, net |  |  | 29,299 |  |  | Market comparables |  | Selling costs |  | 8.0% |  | 8.0%
The following table presents the primary valuation techniques and unobservable inputs related to Level 3 assets as of December 31, 2022 ($ in thousands):
|  | December 31, 2022
Asset category |  | Fair value |  |  | Primary valuation technique |  | Unobservable input |  | Range |  | Weighted average
Individually evaluated loans requiring specific allowance, net |  | $ | 11,466 |  |  | Market comparables |  | Selling costs |  | 8.0% |  | 8.0%
Real estate owned, net |  |  | 13,325 |  |  | Market comparables |  | Selling costs |  | 8.0% |  | 8.0%
Loans held for investment, at fair value |  |  | 276,095 |  |  | Discounted cash flow |  | Discount rate |  | 8.35% to 9.35% |  | 8.9%
|  |  |  |  |  |  | Prepayment rate |  | 1.0% to 30.0% |  | 15.1%
|  |  |  |  |  |  | Default rate |  | 0.12% to 6.99% |  | 0.6%
|  |  |  |  |  |  | Loss severity rate |  | 0.00% to 18.45% |  | 3.5%
Mortgage servicing rights |  |  | 9,238 |  |  | Discounted cash flow |  | Discount rate |  | 8.0% to 12.0% |  | 8.1%
|  |  |  |  |  |  | Prepayment rate |  | 5.6% to 16.8% |  | 6.3%
Rollforward of Loans held for investment and held for sale and Securitized Debt Measured at Estimated Fair Value on Recurring Basis | The following is a roll-forward of loans held for investment 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, |
|  | 2023 |  |  | 2022 |  |  | 2023 |  |  | 2022 |
Beginning balance |  | $ | 705,330 |  |  | $ | 1,351 |  |  | $ | 276,095 |  |  | $ | 1,359 |
Originations |  |  | 271,633 |  |  |  | — |  |  |  | 728,167 |  |  |  | — |
Loans liquidated |  |  | (22,527 | ) |  |  | (12 | ) |  |  | (44,012 | ) |  |  | (36 | )
Principal paydowns |  |  | (2,479 | ) |  |  | (416 | ) |  |  | (5,275 | ) |  |  | (416 | )
Total unrealized (loss) gain included in net income |  |  | (1,872 | ) |  |  | 3 |  |  |  | 7,895 |  |  |  | 19 |
Loans transferred to held for sale |  |  | — |  |  |  | — |  |  |  | (20,857 | ) |  |  | — |
REO transfer |  |  | (362 | ) |  |  | — |  |  |  | (362 | ) |  |  | — |
Loans repurchased |  |  | 2,267 |  |  |  | — |  |  |  | 10,339 |  |  |  | — |
Ending balance |  | $ | 951,990 |  |  | $ | 926 |  |  | $ | 951,990 |  |  | $ | 926 |
The following is a roll-forward of loans held for sale 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, |
|  | 2023 |  |  | 2022 |  |  | 2023 |  |  | 2022 |
Beginning balance |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Originations |  |  | 18,948 |  |  |  | 16,119 |  |  |  | 38,036 |  |  |  | 16,119 |
Loans liquidated |  |  | — |  |  |  | — |  |  |  | (39,945 | ) |  |  | — |
Total unrealized gain included in net income |  |  | 588 |  |  |  | 450 |  |  |  | 588 |  |  |  | 450 |
Loans transferred from held for investment |  |  | — |  |  |  | — |  |  |  | 20,857 |  |  |  | — |
Ending balance |  | $ | 19,536 |  |  | $ | 16,569 |  |  | $ | 19,536 |  |  | $ | 16,569 |
The following is a roll-forward of mortgage servicing rights 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, |
|  | 2023 |  |  | 2022 |  |  | 2023 |  |  | 2022 |
Beginning balance |  | $ | 9,445 |  |  | $ | 8,438 |  |  | $ | 9,238 |  |  | $ | 7,152 |
Additions |  |  | — |  |  |  | — |  |  |  | 250 |  |  |  | — |
Total unrealized gain included in net income |  |  | 341 |  |  |  | 1,430 |  |  |  | 298 |  |  |  | 2,716 |
Ending balance |  | $ | 9,786 |  |  | $ | 9,868 |  |  | $ | 9,786 |  |  | $ | 9,868 |
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, 2023 |
|  | Carrying |  |  |  |  |  |  |  |  |  |  |  | Estimated |
Asset category |  | Value |  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Fair Value |
Assets: |  |  |
Cash |  | $ | 29,393 |  |  | $ | 29,393 |  |  | $ | — |  |  | $ | — |  |  | $ | 29,393 |
Restricted cash |  |  | 17,703 |  |  |  | 17,703 |  |  |  | — |  |  |  | — |  |  |  | 17,703 |
Loans held for sale, at fair value |  |  | 19,536 |  |  |  | — |  |  |  | 19,536 |  |  |  | — |  |  |  | 19,536 |
Loans held for investment, net |  |  | 2,945,840 |  |  |  | — |  |  |  | — |  |  |  | 2,720,452 |  |  |  | 2,720,452 |
Loans held for investment, at fair value |  |  | 951,990 |  |  |  | — |  |  |  | — |  |  |  | 951,990 |  |  |  | 951,990 |
Accrued interest receivables |  |  | 24,756 |  |  |  | 24,756 |  |  |  | — |  |  |  | — |  |  |  | 24,756 |
Mortgage servicing rights |  |  | 9,786 |  |  |  | — |  |  |  | — |  |  |  | 9,786 |  |  |  | 9,786 |
Derivative assets |  |  | 1,261 |  |  |  | — |  |  |  | 1,261 |  |  |  | — |  |  |  | 1,261 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Secured financing, net |  | $ | 210,774 |  |  | $ | — |  |  | $ | — |  |  | $ | 211,655 |  |  | $ | 211,655 |
Warehouse repurchase facilities, net |  |  | 215,176 |  |  |  | — |  |  |  | 215,176 |  |  |  | — |  |  |  | 215,176 |
Securitized debt, net |  |  | 2,504,334 |  |  |  | — |  |  |  | 2,167,848 |  |  |  | — |  |  |  | 2,167,848 |
Securitized debt, at fair value |  |  | 669,139 |  |  |  | — |  |  |  | 669,139 |  |  |  | — |  |  |  | 669,139 |
Accrued interest payable |  |  | 14,627 |  |  |  | 14,627 |  |  |  | — |  |  |  | — |  |  |  | 14,627 |
|  | December 31, 2022 |
|  | Carrying |  |  |  |  |  |  |  |  |  |  |  | Estimated |
Asset category |  | Value |  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Fair Value |
Assets: |  |  |
Cash |  | $ | 45,248 |  |  | $ | 45,248 |  |  | $ | — |  |  | $ | — |  |  | $ | 45,248 |
Restricted cash |  |  | 16,808 |  |  |  | 16,808 |  |  |  | — |  |  |  | — |  |  |  | 16,808 |
Loans held for investment, net |  |  | 3,272,390 |  |  |  | — |  |  |  | — |  |  |  | 3,201,850 |  |  |  | 3,201,850 |
Loans held for investment, at fair value |  |  | 276,095 |  |  |  | — |  |  |  | — |  |  |  | 276,095 |  |  |  | 276,095 |
Accrued interest receivable |  |  | 20,463 |  |  |  | 20,463 |  |  |  | — |  |  |  | — |  |  |  | 20,463 |
Mortgage servicing rights |  |  | 9,238 |  |  |  | — |  |  |  | — |  |  |  | 9,238 |  |  |  | 9,238 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Secured financing, net |  | $ | 209,846 |  |  | $ | — |  |  | $ | — |  |  | $ | 211,854 |  |  | $ | 211,854 |
Warehouse repurchase facilities, net |  |  | 330,814 |  |  |  | — |  |  |  | 330,814 |  |  |  | — |  |  |  | 330,814 |
Securitized debt net |  |  | 2,736,290 |  |  |  | — |  |  |  | — |  |  |  | 2,522,010 |  |  |  | 2,522,010 |
Accrued interest payable |  |  | 16,369 |  |  |  | 16,369 |  |  |  | — |  |  |  | — |  |  |  | 16,369 |

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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 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (bbb) -SubTopic 10 -Topic 820 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + 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 -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + Details
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