Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2022

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 June 30, 2022 and December 31, 2021, by level, in the fair value hierarchy (in thousands):

	Fair value measurements using						Total at
June 30, 2022	Level 1		Level 2		Level 3		fair value
Recurring fair value measurements:
Loans held for investment, at fair value	$	—	$	—	$	1,351	$	1,351
Mortgage servicing rights		—		—		8,438		8,438
Total recurring fair value measurements		—		—		9,789		9,789
Nonrecurring fair value measurements:
Real estate owned, net		—		—		19,218		19,218
Individually evaluated loans requiring specific allowance, net		—		—		10,608		10,608
Total nonrecurring fair value measurements		—		—		29,826		29,826
Total assets	$	—	$	—	$	39,615	$	39,615

	Fair value measurements using						Total at
December 31, 2021	Level 1		Level 2		Level 3		fair value
Recurring fair value measurements:
Loans held for investment, at fair value	$	—	$	—	$	1,359	$	1,359
Mortgage servicing rights		—		—		7,152		7,152
Total recurring fair value measurements		—		—		8,511		8,511
Nonrecurring fair value measurements:
Loans held for sale, net		—		—		87,422		87,422
Real estate owned, net		—		—		17,557		17,557
Impaired loans requiring specific allowance, net		—		—		11,987		11,987
Total nonrecurring fair value measurements		—		—		116,966		116,966
Total assets	$	—	$	—	$	125,477	$	125,477

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 six months ended June 30, 2022 and 2021 (in thousands):

	Three Months Ended June 30,						Six Months Ended June 30,
Gain (loss) on assets measured on a nonrecurring basis	2022			2021			2022		2021
Loans held for sale, net	$	—		$	(15	)	$	—	$	2
Real estate held for sale, net		(143	)		(800	)		93		(1,235	)
Individually evaluated loans requiring specific allowance, net		434			1,029			242		720
Total net gain (loss)	$	291		$	214		$	335	$	(513	)

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 June 30, 2022 and December 31, 2021 ($ in thousands):

	June 30, 2022
Asset category	Fair value		Primary valuation technique	Unobservable input	Range	Weighted average
Individually evaluated    loans requiring specific    allowance, net	$	10,608	Market comparables	Selling costs	8.0%	8.0%
Real estate owned, net		19,218	Market comparables	Selling costs	8.0%	8.0%
Loans held for investment,    at fair value		1,351	Discounted cash flow	Discount rate	5.8%	5.8%
				Collateral value (% of UPB)	97% to 120.0%	107.0%
				Timing of resolution/payoff (months)	1.0 to 40.0	38.0
				Prepayment rate	1.0% to 30.0%	30.0%
				Default rate	0.0% to 6.3%	0.6%
				Loss severity rate	0.0% to 21.0%	4.0%
Mortgage servicing rights		8,438	Discounted cash flow	Discount rate	8% to 12.0%	8.1%
				Prepayment rate	0.8% to 6.0%	2.2%

	December 31, 2021
Asset category	Fair value		Primary valuation technique	Unobservable input	Range	Weighted average
Individually evaluated    loans requiring specific    allowance, net	$	11,987	Market comparables	Selling costs	8.0%	8.0%
Real estate owned, net		17,557	Market comparables	Selling costs	8.0%	8.0%
Loans held for investment,    at fair value		1,359	Discounted cash flow	Discount rate	5.8%	5.8%
				Collateral value (% of UPB)	95.0% to 120.0%	106.0%
				Timing of resolution/payoff (months)	1 to 38	34.8
				Prepayment rate	19.2% to 50%	30.0%
				Default rate	0.0% to 6.7%	1.0%
				Loss severity rate	0.0% to 13.4%	3.0%
Loans held for sale		87,422	Discounted cash flow	Discount rate	5.8%	5.8%
				Timing of resolution/payoff (months)	3 to 37	13.0
Mortgage servicing rights		7,152	Discounted cash flow	Discount rate	8.0% to 12.0%	8.0%
				Prepayment rate	2.4% to 3.5%	3.2%

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 June 30,						Six Months Ended June 30,
	2022			2021			2022			2021
Beginning balance	$	1,352		$	1,364		$	1,359		$	1,539
Loans liquidated		—			—			—			(163	)
Principal paydowns		(7	)		(14	)		(24	)		(24	)
Total unrealized gain included in net income		6			20			16			18
Ending balance	$	1,351		$	1,370		$	1,351		$	1,370

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 June 30,					Six Months Ended June 30,
	2022		2021			2022		2021
Beginning balance	$	—	$	125		$	—	$	238
Interest-only strip additions		—		—			—		—
Interest-only strip write-offs		—		(44	)		—		(157	)
Total unrealized loss included in net income		—		—			—		—
Ending balance	$	—	$	81		$	—	$	81

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):

	June 30, 2022
	Carrying								Estimated
Asset category	Value		Level 1		Level 2		Level 3		Fair Value
Assets:
Cash	$	46,250	$	46,250	$	—	$	—	$	46,250
Restricted cash		9,217		9,217		—		—		9,217
Loans held for investment, net		3,118,799		—		—		3,295,277		3,295,277
Loans held for investment, at fair value		1,351		—		—		1,351		1,351
Accrued interest receivables		15,820		15,820		—		—		15,820
Mortgage servicing rights		8,438		—		—		8,438		8,438
Liabilities:
Secured financing, net	$	209,227	$	—	$	—	$	212,827	$	212,827
Warehouse repurchase facilities, net		208,390		—		208,390		—		208,390
Securitizations, net		2,477,226		—		—		2,312,506		2,312,506
Accrued interest payable		13,074		13,074		—		—		13,074

	December 31, 2021
	Carrying								Estimated
Asset category	Value		Level 1		Level 2		Level 3		Fair Value
Assets:
Cash	$	35,965	$	35,965	$	—	$	—	$	35,965
Restricted cash		11,639		11,639		—		—		11,639
Loans held for sale, net		87,908		—		—		87,908		87,908
Loans held for investment, net		2,527,564		—		—		2,655,357		2,655,357
Loans held for investment, at fair value		1,359		—		—		1,359		1,359
Accrued interest receivable		13,159		13,159		—		—		13,159
Mortgage servicing rights		7,152		—		—		7,152		7,152
Liabilities:
Secured financing, net	$	162,845	$	—	$	—	$	170,843	$	170,843
Warehouse repurchase facilities, net		301,069		—		301,069		—		301,069
Securitizations, net		1,911,879		—		—		1,931,002		1,931,002
Accrued interest payable		6,254		6,254		—		—		6,254