Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 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 measured and recorded at fair value as of December 31, 2023 and 2022, by level, in the fair value hierarchy (in thousands):

	Fair value measurements using						Total at
December 31, 2023	Level 1		Level 2		Level 3		fair value
Assets:
Nonrecurring fair value measurements:
Individually evaluated loans requiring specific allowance, net	$	—	$	—	$	8,475	$	8,475
Real estate owned, net		—		—		44,268		44,268
Total nonrecurring fair value measurements		—		—		52,743		44,268
Recurring fair value measurements:
Loans held for sale, at fair value		—		17,590		—		17,590
Loans held for investment, at fair value		—		—		1,306,072		1,306,072
Mortgage servicing rights		—		—		8,578		8,578
Total recurring fair value measurements		—		17,590		1,314,650		1,332,240
Total assets	$	—	$	17,590	$	1,367,393	$	1,376,508
Liabilities:
Recurring fair value measurements:
Securitized debt, at fair value	$	—	$	877,417	$	—	$	877,417
Derivative liabilities		—		3,665		—		3,665
Total recurring fair value measurements		—		881,082		—		881,082
Total liabilities	$	—	$	881,082	$	—	$	881,082

	Fair value measurements using						Total at
December 31, 2022	Level 1		Level 2		Level 3		fair value
Assets:
Nonrecurring fair value measurements:
Individually evaluated loans requiring specific allowance, net	$	—	$	—	$	11,466	$	11,466
Real estate owned, net		—		—		13,325		13,325
Total nonrecurring fair value measurements		—		—		24,791		24,791
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
Total assets	$	—	$	—	$	310,124	$	310,124

Schedule of Gains and Losses Recognized on Assets Measured on Nonrecurring Basis

The following table presents gain (losses) recognized on assets measured on a nonrecurring basis for the years indicated (in thousands):

	December 31,
Gain (loss) on assets measured on a nonrecurring basis	2023			2022			2021
Loans held for sale, net	$	—		$	—		$	17
Real estate held for sale, net		(3,903	)		(363	)		(1,759	)
Individually evaluated loans requiring specific allowance, net		122			310			1,262
Total net loss	$	(3,781	)	$	(53	)	$	(480	)

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

	December 31, 2023
Asset category	Fair value		Primary valuation technique	Unobservable input	Range	Weighted average
Nonrecurring:
Individually evaluated loans    requiring allowance, net	$	8,475	Market comparables	Selling costs	8.0%	8.0%
Real estate owned, net		44,268	Market comparables	Selling costs	8.0%	8.0%
Recurring:
Loans held for investment, at fair value	$	1,306,072	Discounted cash flow	Discount rate	9.3%	9.3%
				Prepayment rate	0.7% to 50.0%	5.8%
				Default rate	0.0% to 1.7%	0.7%
				Loss severity rate	0.0% to 14.8%	2.1%
Mortgage servicing rights		8,578	Discounted cash flow	Discount rate	8.0%	8.0%
				Prepayment rate	5.3% to 16.0%	6.5%

	December 31, 2022
Asset category	Fair value		Primary valuation technique	Unobservable input	Range	Weighted average
Nonrecurring:
Individually evaluated loans    requiring 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%
Recurring:
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	0.0% 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%

Roll-forward 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 years indicated (in thousands):

	December 31,
	2023			2022			2021
Beginning balance	$	276,095		$	1,359		$	1,539
Originations		1,079,811			267,278			—
Loans liquidated		(73,623	)		(765	)		(163	)
Principal paydowns		(9,940	)		(261	)		(46	)
Total unrealized gain included in net income		47,214			7,436			29
Loans transferred to held for sale		(25,783	)		—			—
REO transfer		(777	)		—			—
Loans repurchased		13,075			1,048			—
Ending balance	$	1,306,072		$	276,095		$	1,359

The following is a roll-forward of loans held for sale that are measured at estimated fair value on a recurring basis for the years indicated (in thousands):

	December 31,
	2023			2022			2021
Beginning balance	$	—		$	—		$	—
Originations		38,036			31,328			—
Loans liquidated		(46,843	)		(31,328	)		—
Principal paydowns		(22	)		—			—
Total unrealized gain included in net income		636			—			—
Loans transferred from held for investment		25,783			—			—
Ending balance	$	17,590		$	—		$	—

The following is a roll-forward of mortgage servicing rights that are measured at estimated fair value on a recurring basis for the years indicated (in thousands):

	December 31,
	2023			2022		2021
Beginning balance	$	9,238		$	7,152	$	—
Additions		—			—		7,152
Total unrealized (loss) gain included in net income		(660	)		2,086		—
Ending balance	$	8,578		$	9,238	$	7,152

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. The estimated fair value of loans held for sale, at fair value; loans held for investment, at fair value; mortgage servicing rights; securitized debt, at fair value; are also presented in Notes 5, 6, 11, and 17, respectively.

	December 31, 2023
(in thousands)	Carrying								Estimated
Asset category	Value		Level 1		Level 2		Level 3		Fair Value
Assets:
Cash	$	40,566	$	40,566	$	—	$	—	$	40,566
Restricted cash		21,361		21,361		—		—		21,361
Loans held for sale, at fair value		17,590		—		17,590		—		17,590
Loans held for investment, net		2,828,123		—		—		2,672,705		2,672,705
Loans held for investment, at fair value		1,306,072		—		—		1,306,072		1,306,072
Accrued interest receivables		27,028		27,028		—		—		27,028
Mortgage servicing rights		8,578		—		—		8,578		8,578
Liabilities:
Secured financing, net	$	211,083	$	—	$	—	$	212,625	$	212,625
Warehouse and repurchase facilities, net		334,755		—		334,755		—		334,755
Securitized debt, net		2,418,811		—		2,155,718		—		2,155,718
Securitized debt, at fair value		877,417		—		877,417		—		877,417
Accrued interest payable		20,473		20,473		—		—		20,473
Derivative liability		3,665		3,665		—		—		3,665

	December 31, 2022
(in thousands)	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