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Fair Value Measurements (Tables)
12 Months Ended
Dec. 31, 2023
Fair Value Measurements  
Schedule of financial instruments carried at fair value on a recurring basis

(in thousands)

Level 1

Level 2

Level 3

Total

December 31, 2023

Assets:

Money market funds (a)

$

100,238

$

$

$

100,238

Loans, held for sale, at fair value

81,599

81,599

Loans, net, at fair value

 

 

 

9,348

 

9,348

Paycheck Protection Program loans

 

 

165

 

 

165

MBS, at fair value

 

 

27,436

 

 

27,436

Derivative instruments

2,404

2,404

Investment in unconsolidated joint ventures

 

 

 

7,360

 

7,360

Preferred equity investment (b)

108,423

108,423

Total assets

$

100,238

$

111,604

$

125,131

$

336,973

Liabilities:

Derivative instruments

212

212

Contingent consideration

7,628

7,628

Total liabilities

$

$

212

$

7,628

$

7,840

December 31, 2022

Assets:

Money market funds (a)

$

44,611

$

$

$

44,611

Loans, held for sale, at fair value

 

 

62,812

 

60,924

 

123,736

Loans, net, at fair value

 

 

 

9,786

 

9,786

Paycheck Protection Program loans

 

 

576

 

 

576

MBS, at fair value

 

 

32,041

 

 

32,041

Derivative instruments

 

12,532

 

12,532

Investment in unconsolidated joint ventures

 

 

 

8,094

8,094

Preferred equity investment (b)

108,423

108,423

Total assets

$

44,611

$

107,961

$

187,227

$

339,799

Liabilities:

Derivative instruments

1,319

1,319

Contingent consideration

28,500

28,500

Total liabilities

$

$

1,319

$

28,500

$

29,819

(a) Money market funds are included in cash and cash equivalents on the consolidated balance sheets

(b) Preferred equity investment held through consolidated joint ventures are included in assets of consolidated VIEs on the consolidated balance sheets

Summary of the valuation techniques and significant unobservable inputs used for the Company's financial instruments that are categorized within Level 3 of the fair value hierarchy

The table below presents the valuation techniques and significant unobservable inputs used to value Level 3 financial instruments, using third party information without adjustment.

(in thousands)

Fair Value

Predominant Valuation Technique (a)

Type

Range

Weighted Average

December 31, 2023

Investment in unconsolidated joint ventures

$

7,360

Income Approach

Discount rate

9.0%

9.0%

Preferred equity investment


$

108,423

Income Approach

Discount rate

10.0%

10.0%

Contingent consideration- Mosaic CER dividends


$

(1,591)

Monte Carlo Simulation Model

Equity volatility | Risk-free rate of return | Discount rate

30.0% | 4.7% | 11.5%

30.0% | 4.7% | 11.5%

Contingent consideration- Mosaic CER units


$

(6,037)

Income approach and PWERM Model

Revaluation discount rate | Discount rate

12.0% | 11.5%

12.0% | 11.5%

December 31, 2022

Investment in unconsolidated joint ventures

$

8,094

 

Income Approach

 

Discount rate

9.0%

9.0%

Preferred equity investment


$

108,423

Income Approach

Discount rate

10.5%

10.5%

Contingent consideration- Mosaic CER dividends


$

(4,587)

Monte Carlo Simulation Model

Equity volatility | Risk-free rate of return | Discount rate

35.0% | 4.4% | 11.9%

35.0% | 4.4% | 11.9%

Contingent consideration- Mosaic CER units


$

(14,913)

Income approach and PWERM Model

Revaluation discount rate | Discount rate

12.0% | 11.9%

12.0% | 11.9%

(a)     Prices are weighted based on the unpaid principal balance of the loans and securities included in the range for each class.

Summary of changes in the fair value of financial instruments held at fair value classified as Level 3

Year Ended December 31,

(in thousands)

2023

    

2022

MBS

Beginning balance

$

$

1,581

Sales / Principal payments

(1,352)

Accreted discount, net

1

Realized gains (losses), net

(1,449)

Unrealized gains (losses), net

2,688

Transfer to (from) Level 3

(1,469)

Ending balance

$

$

Loans, net

Beginning balance

9,786

10,766

Unrealized gains (losses), net

(438)

(980)

Ending balance

$

9,348

$

9,786

Loans, held for sale

Beginning balance

60,924

231,865

Purchases or Originations

23,470

Sales / Principal payments

(22)

(155,380)

Realized gains (losses), net

(16,658)

Unrealized gains (losses), net

(3,887)

(17,188)

Transfer to loans, held for investment

(57,015)

(3,845)

Transfer to (from) Level 3

(1,340)

Ending balance

$

$

60,924

Investments held to maturity

Beginning balance

Sales / Principal payments

(13,173)

Measurement period adjustment (1)

(3,724)

Realized gains (losses), net

(156)

Merger (2)

17,053

Ending balance

$

$

PPP loans

Beginning balance

3,243

Sales / Principal payments

(1,400)

Transfer to (from) Level 3

(1,843)

Ending balance

$

$

Investment in unconsolidated joint ventures

Beginning balance

8,094

8,894

Unrealized gains (losses), net

(734)

(800)

Ending balance

$

7,360

$

8,094

Contingent consideration

Beginning balance

(28,500)

(16,400)

Sales / Principal payments

9,000

9,000

Measurement period adjustment (1)

59,348

Unrealized losses (gains), net

11,872

3,900

Merger (2)

(84,348)

Ending balance

$

(7,628)

$

(28,500)

Preferred equity investment (3)

Beginning balance

108,423

Merger (2)

108,423

Ending balance

$

108,423

$

108,423

Total

Beginning balance

158,727

239,949

Purchases or Originations

23,470

Sales / Principal payments

8,978

(162,305)

Accreted discount, net

1

Measurement period adjustment (1)

55,624

Realized gains (losses), net

(18,263)

Unrealized gains (losses), net

6,813

(12,380)

Merger (2)

41,128

Transfer to loans, held for investment

(57,015)

(3,845)

Transfer to (from) Level 3

(4,652)

Ending balance

$

117,503

$

158,727

(1) Represents adjustments made subsequent to the determination of the preliminary purchase price allocation at the time of the merger. Refer to Note 5 for further details on assets acquired and liabilities assumed in connection with the Mosaic Mergers.

(2) Includes assets acquired and liabilities assumed as a result of the Mosaic Mergers. Refer to Note 5 for further details on assets acquired and liabilities assumed in connection with the Mosaic Mergers.

(3) Preferred equity investment held through consolidated joint ventures are included in assets of consolidated VIEs on the consolidated balance sheets.

Summary of the carrying value and estimated fair value of financial instruments not carried at fair value on the consolidated balance sheets and are classified as Level 3

December 31, 2023

December 31, 2022

(in thousands)

    

Carrying Value

    

Estimated Fair Value

    

Carrying Value

    

Estimated Fair Value

Assets:

Loans, net

$

10,622,137

$

10,380,893

$

9,873,711

$

9,605,901

PPP loans

34,432

35,637

186,409

196,222

Servicing rights

102,837

 

113,715

 

87,117

 

91,698

Total assets

$

10,759,406

$

10,530,245

$

10,147,237

$

9,893,821

Liabilities:

Secured borrowings

2,102,075

2,102,075

2,663,735

2,663,735

PPPLF borrowings

36,036

36,036

201,011

201,011

Securitized debt obligations of consolidated VIEs, net

 

5,068,453

 

5,022,057

 

4,903,350

 

4,748,291

Senior secured note, net

345,127

317,239

343,355

312,975

Guaranteed loan financing

 

844,540

 

889,744

 

264,889

 

275,316

Convertible notes, net

114,397

113,823

Corporate debt, net

764,908

731,104

662,665

614,744

Total liabilities

$

9,161,139

$

9,098,255

$

9,153,402

$

8,929,895