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Fair Value Measurements (Tables)

9 Months Ended

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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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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