Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2024

Fair Value Measurements

Schedule of financial instruments carried at fair value on a recurring basis

(in thousands)	Level 1		Level 2		Level 3		Total
June 30, 2024
Assets:
Money market funds (a)	$	72,499	$	—	$	—	$	72,499
Loans, held for sale		—		80,235		9,145		89,380
PPP loans (b)		—		230		—		230
MBS		—		30,174		—		30,174
Derivative instruments		—		14,382		—		14,382
Investment in unconsolidated joint ventures		—		—		6,974		6,974
Preferred equity investment (c)		—		—		108,423		108,423
Total assets	$	72,499	$	125,021	$	124,542	$	322,062
Liabilities:
Derivative instruments		—		2,638		—		2,638
Contingent consideration		—		—		3,926		3,926
Total liabilities	$	—	$	2,638	$	3,926	$	6,564
December 31, 2023
Assets:
Money market funds (a)	$	100,238	$	—	$	—	$	100,238
Loans, held for sale		—		81,599		—		81,599
Loans, net		—		—		9,348		9,348
PPP loans (b)		—		165		—		165
MBS		—		27,436		—		27,436
Derivative instruments		—		2,404		—		2,404
Investment in unconsolidated joint ventures		—		—		7,360		7,360
Preferred equity investment (c)		—		—		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
(a) Money market funds are included in cash and cash equivalents on the consolidated balance sheets
(b) PPP loans are included in other assets on the consolidated balance sheets
(c) 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

(in thousands)	Fair Value		Predominant Valuation Technique (a)		Type	Range		Weighted Average
June 30, 2024
Assets:
Investment in unconsolidated joint ventures	$	6,974		Income Approach	Discount rate		9.0%		9.0%
Preferred equity investment		108,423		Income Approach	Discount rate		11.0%		11.0%
Total assets	$	115,397
Liabilities:
Contingent consideration - Madison One		526		Monte Carlo Simulation Model	Net income volatility | Risk-adjusted discount rate		66.0% | 47.5%		66.0% | 47.5%
Total liabilities	$	526
December 31, 2023
Assets:
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%
Total assets	$	115,783
Liabilities:
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% | 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%
Total liabilities	$	7,628
(a)     Prices are weighted based on the UPB of the loans and securities included in the range for each class.

Summary of changes in fair value for Level 3 assets and liabilities

	Three Months Ended June 30,				Six Months Ended June 30,
(in thousands)	2024		2023		2024		2023
Assets:
Loans, net
Beginning balance	$	—	$	9,859	$	9,348	$	9,786
Unrealized gains (losses), net		—		(86)		680		(13)
Transfer to (from) Level 3		—		—		(10,028)		—
Ending balance	$	—	$	9,773	$	—	$	9,773
Loans, held for sale
Beginning balance		—		58,330		—		60,924
Sales / Principal payments		—		(11)		—		(22)
Unrealized gains (losses), net		—		(1,287)		—		(3,870)
Transfer to (from) Level 3		9,145		—		9,145		—
Ending balance	$	9,145	$	57,032	$	9,145	$	57,032
Investment in unconsolidated joint ventures
Beginning balance		7,169		7,913		7,360		8,094
Unrealized gains (losses), net		(195)		(182)		(386)		(363)
Ending balance	$	6,974	$	7,731	$	6,974	$	7,731
Preferred equity investment (1)
Beginning balance		106,548		108,423		108,423		108,423
Unrealized gains (losses), net		1,875		—		—		—
Ending balance	$	108,423	$	108,423	$	108,423	$	108,423
Total assets
Beginning balance		113,717		184,525		125,131		187,227
Sales / Principal payments		—		(11)		—		(22)
Unrealized gains (losses), net		1,680		(1,555)		294		(4,246)
Transfer to (from) Level 3		9,145		—		(883)		—
Ending balance	$	124,542	$	182,959	$	124,542	$	182,959
Liabilities:
Contingent consideration
Beginning balance		—		16,636		7,628		28,500
Sales / Principal payments		—		—		—		(9,000)
Realized losses (gains), net		—		—		(7,628)		—
Unrealized losses (gains), net		—		(1,070)		—		(3,934)
Merger (2)		3,926		—		3,926
Ending balance	$	3,926	$	15,566	$	3,926	$	15,566
(1) Preferred equity investment held through consolidated joint ventures are included in assets of consolidated VIEs on the consolidated balance sheets.
(2) Includes assets acquired and liabilities assumed as a result of the Madison One Acquisition. Refer to Note 5 for further details on assets acquired and liabilities assumed in connection with the Madison One Acquisition.

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

	June 30, 2024				December 31, 2023
(in thousands)	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
Assets:
Loans, net	$	9,446,288	$	9,255,383	$	10,622,137	$	10,380,893
Loans, held for sale		452,856		452,856		—		—
Servicing rights		119,768		129,471		102,837		113,715
Total assets	$	10,018,912	$	9,837,710	$	10,724,974	$	10,494,608
Liabilities:
Secured borrowings		2,311,969		2,311,969		2,102,075		2,102,075
Securitized debt obligations of consolidated VIEs, net		4,407,241		4,361,392		5,068,453		5,022,057
Senior secured notes, net		417,040		395,879		345,127		317,239
Guaranteed loan financing		782,345		828,902		844,540		889,744
Corporate debt, net		767,271		717,056		764,908		731,104
Total liabilities	$	8,685,866	$	8,615,198	$	9,125,103	$	9,062,219