Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2023

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 March 31, 2023 and December 31, 2022, by level, in the fair value hierarchy (in thousands):

	Fair value measurements using						Total at
March 31, 2023	Level 1		Level 2		Level 3		fair value
Recurring fair value measurements:
Loans held for sale, at fair value	$	—	$	18,081	$	—	$	18,081
Loans held for investment, at fair value		—		—		450,732		450,732
Mortgage servicing rights		—		—		9,143		9,143
Total recurring fair value measurements		—		18,081		459,875		477,956
Nonrecurring fair value measurements:
Real estate owned, net		—		—		21,778		21,778
Individually evaluated loans requiring specific allowance, net		—		—		11,532		11,532
Total nonrecurring fair value measurements		—		—		33,310		33,310
Total assets	$	—	$	18,081	$	493,185	$	511,266

	Fair value measurements using						Total at
December 31, 2022	Level 1		Level 2		Level 3		fair value
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:
Loans held for sale, net		—		—		—		—
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 months ended March 31, 2023 and 2022 (in thousands):

	Three Months Ended March 31,
Gain (loss) on assets measured on a nonrecurring basis	2023			2022
Real estate held for sale, net	$	(1,178	)	$	235
Individually evaluated loans requiring specific allowance, net		101			(192	)
Total net gain (loss)	$	(1,077	)	$	43

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 March 31, 2023 and December 31, 2022 ($ in thousands):

	March 31, 2023
Asset category	Fair value		Primary valuation technique	Unobservable input	Range	Weighted average
Individually evaluated    loans requiring specific    allowance, net	$	11,532	Market comparables	Selling costs	8.0%	8.0%
Real estate owned, net		21,778	Market comparables	Selling costs	8.0%	8.0%
Loans held for investment, net		3,169,280	Discounted cash flow	Discount rate	9.7%	9.7%
				Prepayment rate	1.0% - 50.0%	25.3%
				Default rate	0.1% to 5.5%	0.7%
				Loss severity rate	0.0% to 18.5%	3.5%
Loans held for investment,    at fair value		450,732	Discounted cash flow	Discount rate	9.7%	9.7%
				Prepayment rate	1.0% - 50.0%	25.3%
				Default rate	0.3% to 8.1%	2.8%
				Loss severity rate	0.0% to 18.5%	3.1%
Mortgage servicing rights		9,143	Discounted cash flow	Discount rate	8.0% to 12.0%	8.1%
				Prepayment rate	5.6% to 16.8%	6.3%

	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 Securitizations Measured at Estimated Fair Value on Recurring Basis

The following is a rollforward 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 March 31,
	2023			2022
Beginning balance	$	276,095		$	1,359
Originations		197,888			—
Loans liquidated		(8,020	)		—
Principal paydowns		(1,032	)		(17	)
Total unrealized gain included in net income		6,658			10
Loans transferred to held for sale		(20,857	)		—
Ending balance	$	450,732		$	1,352

The following is a rollforward 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 March 31,
	2023			2022
Beginning balance
Originations	$	19,088		$	—
Loans liquidated		(22,560	)
Total unrealized gain included in net income		696			—
Loans transferred from held for investment		20,857
Ending balance	$	18,081		$	—

The following is a rollforward of securitizations that are measured at estimated fair value on a recurring basis for the periods indicated (in thousands):

	Three Months Ended March 31,
	2023			2022
Beginning balance	$	—		$	—
Securitization additions		(197,487	)		—
Securitization paydowns		2,716			—
Total unrealized (loss) gain included in net income		(170	)		—
Ending balance	$	(194,941	)	$	—

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):

	March 31, 2023
	Carrying								Estimated
Asset category	Value		Level 1		Level 2		Level 3		Fair Value
Assets:
Cash	$	39,397	$	39,397	$	—	$	—	$	39,397
Restricted cash		16,636		16,636		—		—		16,636
Loans held for sale, at fair value		18,081		—		18,081		—		18,081
Loans held for investment, net		3,169,280		—		—		3,039,847		3,039,847
Loans held for investment, at fair value		450,732		—		—		450,732		450,732
Accrued interest receivables		20,931		20,931		—		—		20,931
Mortgage servicing rights		9,143		—		—		9,143		9,143
Liabilities:
Secured financing, net	$	210,155	$	—	$	—	$	212,475	$	212,475
Warehouse repurchase facilities, net		298,313		—		298,313		—		298,313
Securitizations, net		2,657,469		—		—		2,422,432		2,422,432
Securitizations, at fair value		194,941		—		—		194,941		194,941
Accrued interest payable		13,078		13,078		—		—		13,078

	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 sale, net		—		—		—		—		—
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
Securitizations, net		2,736,290		—		—		2,522,010		2,522,010
Accrued interest payable		16,369		16,369		—		—		16,369