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Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2024

Schedule of Information on Assets and Liabilities Measured and Recorded at Fair Value

The following tables present information on assets and liabilities measured and recorded at fair value as of June 30, 2024 and December 31, 2023, by level, in the fair value hierarchy:


	Fair Value Measurements Using						Total at
June 30, 2024	Level 1		Level 2		Level 3		Fair Value
	(In thousands)
Assets:
Nonrecurring fair value measurements:
Individually evaluated loans requiring specific allowance, net	$	—	$	—	$	16,273	$	16,273
Real estate owned, net		—		—		50,757		50,757
Total nonrecurring fair value measurements		—		—		67,030		67,030
Recurring fair value measurements:
Loans held for investment, at fair value		—		—		1,971,683		1,971,683
Mortgage servicing rights		—		—		12,229		12,229
Total recurring fair value measurements		—		—		1,983,912		1,983,912
Total assets	$	—	$	—	$	2,050,942	$	2,050,942

Liabilities:
Recurring fair value measurements:
Securitized debt, at fair value	$	—	$	1,509,952	$	—	$	1,509,952
Derivative liability		—		374		—		374
Total recurring fair value measurements		—		1,510,326		—		1,510,326
Total liabilities	$	—	$	1,510,326	$	—	$	1,510,326


	Fair Value Measurements Using						Total at
December 31, 2023	Level 1		Level 2		Level 3		Fair Value
	(In thousands)
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		52,743
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	$	1,384,983

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

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, 2024 and 2023:


	Three Months Ended June 30,						Six Months Ended June 30,
Gain (Loss) on Assets Measured on a Nonrecurring Basis	2024			2023			2024			2023
	(In thousands)
Real estate owned, net	$	(540	)	$	(492	)	$	(2,261	)	$	(1,670	)
Individually evaluated loans requiring specific allowance, net		(183	)		(48	)		(640	)		53
Total net loss	$	(723	)	$	(540	)	$	(2,901	)	$	(1,617	)

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 that are recorded on a recurring and nonrecurring basis as of June 30, 2024 and December 31, 2023:

         
        June 30, 2024

        Asset Category

        Fair Value

        Primary
Valuation
Technique

        Unobservable
Input

        Range

        Weighted
Average (1)

         
        ($ in thousands)

        Nonrecurring:

Individually evaluated
   loans requiring specific
   allowance, net

16,273

Market comparables

Selling costs

8.0%

8.0%

Real estate owned, net

50,757

Market comparables

Selling costs

8.0%

8.0%

        Recurring:

Loans held for investment,
   at fair value

1,971,683

Discounted cash flow

Discount rate

9.0%

9.0%

         
        Prepayment rate

        0.7% to 50.0%

        7.0%

         
        Default rate

        0.1% to 2.0%

        0.8%

         
        Loss severity rate

        0.0% to 13.0%

        2.0%

Mortgage servicing rights

12,229

Discounted cash flow

Discount rate

8.0%

8.0%

         
        Prepayment rate

        2.2% to 13.3%

        4.7%

(1)

Individually evaluated loans requiring specific allowance, net is weighted by collateral value; real estate owned, net is weighted by selling price; loans held for investment at fair value and mortgage servicing rights are weighted by UPB.

         
        December 31, 2023

        Asset Category

        Fair Value

        Primary
Valuation
Technique

        Unobservable
Input

        Range

        Weighted
Average (1)

         
        ($ in thousands)

        Nonrecurring:

Individually evaluated
   loans requiring specific
   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%

(1)

Rollforward 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 periods indicated:


	Three Months Ended June 30,						Six Months Ended June 30,
	2024			2023			2024			2023
	(In thousands)
Beginning balance	$	1,649,540		$	450,732		$	1,306,072		$	276,095
Originations		422,226			258,646			800,896			456,534
Loans liquidated		(77,798	)		(13,464	)		(139,550	)		(21,485	)
Acquisition		3,399			—			14,990			—
Principal paydowns		(7,732	)		(1,764	)		(13,801	)		(2,796	)
Total unrealized gain included in net income		17,285			3,108			36,757			9,767
Loans transferred to held for sale		(34,059	)		—			(31,578	)		(20,857	)
REO transfer		(1,296	)		—			(2,221	)		—
Loans repurchased		118			8,072			118			8,072
Ending balance	$	1,971,683		$	705,330		$	1,971,683		$	705,330

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


	Three Months Ended June 30,						Six Months Ended June 30,
	2024			2023			2024			2023
	(In thousands)
Beginning balance	$	—		$	18,080		$	17,590		$	—
Originations		—			—			—			19,088
Loans liquidated		(33,895	)		(17,385	)		(48,429	)		(39,945	)
Principal paydowns		(2	)		—			(31	)		—
Total unrealized loss included in net income		(162	)		(695	)		(708	)		—
Loans transferred from held for investment		34,059			—			31,578			20,857
Ending balance	$	—		$	—		$	—		$	—

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:


	June 30, 2024
	Carrying								Estimated
Asset Category	Value		Level 1		Level 2		Level 3		Fair Value
	(In thousands)
Assets:
Cash	$	47,366	$	47,366	$	—	$	—	$	47,366
Restricted cash		32,293		32,293		—		—		32,293
Loans held for investment, net		2,619,619		—		—		2,483,332		2,483,332
Loans held for investment, at fair value		1,971,683		—		—		1,971,683		1,971,683
Accrued interest receivables		31,124		31,124		—		—		31,124
Mortgage servicing rights		12,229		—		—		12,229		12,229

Liabilities:
Secured financing, net	$	283,909	$	—	$	—	$	287,435	$	287,435
Warehouse repurchase facilities, net		237,437		—		237,437		—		237,437
Securitized debt, net		2,228,941		—		2,014,525		—		2,014,525
Securitized debt, at fair value		1,509,952		—		1,509,952		—		1,509,952
Derivative liability		374		—		374		—		374
Accrued interest payable		24,559		24,559		—		—		24,559


	December 31, 2023
	Carrying								Estimated
Asset Category	Value		Level 1		Level 2		Level 3		Fair Value
	(In thousands)
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 receivable		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 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