Loans Held for Investment and Loans Held for Investment at Fair Value (Tables)

9 Months Ended

Sep. 30, 2023

Receivables [Abstract]

Summary of Loans Held for Investment

The following tables summarize loans held for investment as of September 30, 2023, and December 31, 2022 (in thousands):

	September 30, 2023
	Loans held for investment, net			Loans held for investment, at fair value		Total loans held for investment
Unpaid principal balance	$	2,921,146		$	936,633	$	3,857,779
Valuation adjustments on FVO loans		—			15,357		15,357
Deferred loan origination costs		29,379			—		29,379
		2,950,525			951,990		3,902,515
Allowance for loan losses		(4,685	)		—		(4,685	)
Total loans held for investment and loans held for investment at    fair value, net	$	2,945,840		$	951,990	$	3,897,830

	December 31, 2022
	Loans held for investment, net			Loans held for investment, at fair value		Total loans held for investment
Unpaid principal balance	$	3,243,854		$	268,632	$	3,512,486
Valuation adjustments on FVO loans		—			7,463		7,463
Deferred loan origination costs		33,429			—		33,429
		3,277,283			276,095		3,553,378
Allowance for loan losses		(4,893	)		—		(4,893	)
Total loans held for investment and loans held for investment at    fair value, net	$	3,272,390		$	276,095	$	3,548,485

Summary of UPB and Amortized Cost Basis of Loans in COVID-19 Forbearance Program

The following tables summarize the Unpaid Principal Balance (“UPB”) and amortized cost basis of loans in the Company's COVID-19 forbearance program for the three and nine months ended September 30, 2023, and the year ended December 31, 2022 ($ in thousands):

	Three Months Ended September 30, 2023								Nine Months Ended September 30, 2023
	UPB			%	Amortized Cost			%	UPB			%	Amortized Cost			%
Beginning balance	$	181,939			$	184,007			$	201,005			$	203,346
Foreclosures		(333	)			(333	)			(432	)			(433	)
Repayments		(4,560	)			(4,634	)			(23,527	)			(23,873	)
Ending balance	$	177,046			$	179,040			$	177,046			$	179,040
Performing/Accruing	$	135,719		76.7%	$	137,173		76.6%	$	135,719		76.7%	$	137,173		76.6%
Nonperforming/Nonaccrual	$	41,327		23.3%	$	41,867		23.4%	$	41,327		23.3%	$	41,867		23.4%

	December 31, 2022
	UPB			%	Amortized Cost			%
Beginning balance	$	292,429			$	295,990
Additions		—				—
Foreclosures		(3,593	)			(3,620	)
Repayments		(87,831	)			(89,024	)
Ending balance	$	201,005			$	203,346
Performing/Accruing	$	161,455		80.3%	$	163,346		80.3%
Nonperforming/Nonaccrual	$	39,550		19.7%	$	40,000		19.7%

Schedule of Loans Held for Investment Pledged as Collateral for Warehouse Facilities and Securitizations Issued

As of September 30, 2023, and December 31, 2022, the gross unpaid principal balances of loans held for investment pledged as collateral for the Company’s warehouse facilities and securitized debt issued were as follows (in thousands):

	September 30, 2023		December 31, 2022
The 2013 repurchase agreement	$	108,834	$	170,185
The 2021 repurchase agreement		90,033		101,024
The Bank credit agreement		34,687		39,087
The 2021 term repurchase agreement		32,300		104,594
The July 2021 term repurchase agreement		18,760		3,859
Total pledged loans	$	284,614	$	418,749
2016-1 Trust	$	—	$	39,720
2017-2 Trust		53,046		67,048
2018-1 Trust		39,417		48,139
2018-2 Trust		88,773		104,791
2019-1 Trust		91,032		104,249
2019-2 Trust		76,091		91,025
2019-3 Trust		67,745		75,618
2020-1 Trust		122,479		144,913
2020-2 Trust		72,678		81,259
2021-1 Trust		187,743		208,875
2021-2 Trust		153,896		172,144
2021-3 Trust		164,120		178,861
2021-4 Trust		253,720		275,741
2022-1 Trust		249,184		262,526
2022-2 Trust		231,470		245,339
2022-MC1 Trust		75,338		97,246
2022-3 Trust		283,716		299,638
2022-4 Trust		312,002		326,627
2022-5 Trust		236,366		251,288
2023-1 Trust		223,410		—
2023-2 Trust		218,116		—
2023-3 Trust		260,389		—
2023-RTL1 Trust		77,922		—
Total	$	3,538,653	$	3,075,047

Schedule of Nonaccrual With No Allowance for Loan Loss and Total Nonaccrual of Loans Held for Investment

The following tables present the amortized cost basis, or recorded investment, of the Company’s loans held for investment, excluding loans carried at fair value, that were nonperforming and on nonaccrual status as of September 30, 2023 and December 31, 2022. There were no loans accruing interest that were greater than 90 days past due as of September 30, 2023 and December 31, 2022.

	September 30, 2023
	Total Nonaccrual		Nonaccrual with No Allowance for Loan Loss		Nonaccrual with Allowance for Loan Loss		Allowance for Loans Individually Evaluated		% of Allowance to Total Nonaccrual Loans with Allowance
	($ in thousands)
Commercial - Purchase	$	24,013	$	23,077	$	936	$	137		1.6	%
Commercial - Refinance		93,080		89,247		3,833		415		4.8
Residential 1-4 Unit - Purchase		40,235		40,235		—		—		-
Residential 1-4 Unit - Refinance		138,951		137,249		1,702		171		2.0
Short Term 1-4 Unit - Purchase		7,804		7,644		160		23		0.3
Short Term 1-4 Unit - Refinance		43,217		41,135		2,082		108		1.2
Total	$	347,300	$	338,587	$	8,713	$	854		9.9	%

	December 31, 2022
	Total Nonaccrual		Nonaccrual with No Allowance for Loan Loss		Nonaccrual with Allowance for Loan Loss		Allowance for Loans Individually Evaluated		% of Allowance to Total Nonaccrual Loans with Allowance
	($ in thousands)
Commercial - Purchase	$	22,571	$	22,437	$	134	$	28		0.2	%
Commercial - Refinance		87,133		82,330		4,803		517		4.1
Residential 1-4 Unit - Purchase		27,984		27,516		468		118		0.9
Residential 1-4 Unit - Refinance		113,909		111,742		2,167		175		1.4
Short Term 1-4 Unit - Purchase		8,140		8,140		—		—		—
Short Term 1-4 Unit - Refinance		35,602		30,612		4,990		258		2.1
Total	$	295,339	$	282,777	$	12,562	$	1,096		8.7	%
Troubled Debt Restructuring included in nonaccrual loans:	$	—	$	—	$	—	$	25		—

Schedule of Accrued Interest Receivables Written Off by Reversing Interest Income by Portfolio Segment

The following tables present the amortized cost basis in the loans held for investment, excluding loans held for investment at fair value, as of September 30, 2023 and 2022, and the amount of accrued interest receivables written off by reversing interest income by portfolio segment for the three and nine months ended September 30, 2023 and 2022 (in thousands):

	Three Months Ended September 30,
	2023				2022
	Amortized Cost		Interest Reversal		Amortized Cost		Interest Reversal
Commercial - Purchase	$	647,124	$	174	$	722,868	$	207
Commercial - Refinance		828,037		515		933,486		328
Residential 1-4 Unit - Purchase		532,033		261		630,069		93
Residential 1-4 Unit - Refinance		845,640		642		1,013,626		326
Short Term 1-4 Unit - Purchase		44,616		109		73,005		134
Short Term 1-4 Unit - Refinance		53,075		8		77,839		67
Total	$	2,950,525	$	1,709	$	3,450,893	$	1,155

	Nine Months Ended September 30,
	2023				2022
	Amortized Cost		Interest Reversal		Amortized Cost		Interest Reversal
Commercial - Purchase	$	647,124	$	442	$	722,868	$	400
Commercial - Refinance		828,037		1,698		933,486		915
Residential 1-4 Unit - Purchase		532,033		1,035		630,069		374
Residential 1-4 Unit - Refinance		845,640		2,277		1,013,626		892
Short Term 1-4 Unit - Purchase		44,616		140		73,005		159
Short Term 1-4 Unit - Refinance		53,075		450		77,839		437
Total	$	2,950,525	$	6,042	$	3,450,893	$	3,177

Schedule of Activity in Allowance for Credit Losses

The following tables present the activity in the allowance for credit losses for the three and nine months ended September 30, 2023 and 2022 (in thousands):

	Three Months Ended September 30, 2023
						Residential			Residential			Short Term			Short Term
	Commercial		Commercial			1-4 Unit			1-4 Unit			1-4 Unit			1-4 Unit
	Purchase		Refinance			Purchase			Refinance			Purchase			Refinance			Total
Allowance for credit losses:
Beginning balance - July 1, 2023	$	732	$	2,026		$	403		$	1,264		$	59		$	142		$	4,626
Provision for loan losses		228		(312	)		217			(1	)		(407	)		429			154
Recoveries (charge-offs)		—		—			(59	)		—			393			(429	)		(95	)
Ending balance	$	960	$	1,714		$	561		$	1,263		$	45		$	142		$	4,685
Allowance related to:
Loans individually evaluated	$	137	$	415		$	—		$	171		$	23		$	108		$	854
Loans collectively evaluated	$	823	$	1,299		$	561		$	1,092		$	22		$	34		$	3,831
Amortized cost related to:
Loans individually evaluated	$	24,013	$	93,080		$	40,235		$	138,951		$	7,804		$	43,217		$	347,300
Loans collectively evaluated	$	623,111	$	734,957		$	491,798		$	706,689		$	36,812		$	9,858		$	2,603,225

	Three Months Ended September 30, 2022
					Residential			Residential		Short Term		Short Term
	Commercial		Commercial		1-4 Unit			1-4 Unit		1-4 Unit		1-4 Unit
	Purchase		Refinance		Purchase			Refinance		Purchase		Refinance			Total
Allowance for credit losses:
Beginning balance - July 1, 2022	$	612	$	1,996	$	440		$	1,270	$	34	$	553		$	4,905
Provision for loan losses		78		66		182			227		9		18			580
Charge-offs		—		—		(7	)		—		—		(148	)		(155	)
Ending balance	$	690	$	2,062	$	615		$	1,497	$	43	$	423		$	5,330
Allowance related to:
Loans individually evaluated	$	6	$	369	$	118		$	176	$	—	$	205		$	874
Loans collectively evaluated	$	684	$	1,693	$	497		$	1,321	$	43	$	218		$	4,456
Amortized cost related to:
Loans individually evaluated	$	19,033	$	81,204	$	21,731		$	91,368	$	7,076	$	35,845		$	256,257
Loans collectively evaluated	$	703,835	$	852,282	$	608,338		$	922,258	$	65,929	$	41,994		$	3,194,636

	Nine Months Ended September 30, 2023
						Residential			Residential			Short Term			Short Term
	Commercial		Commercial			1-4 Unit			1-4 Unit			1-4 Unit			1-4 Unit
	Purchase		Refinance			Purchase			Refinance			Purchase			Refinance			Total
Allowance for credit losses:
Beginning balance - January 1, 2023	$	639	$	2,031		$	542		$	1,272		$	21		$	388		$	4,893
Provision for loan losses		321		(238	)		104			2			410			489			1,088
Charge-offs		—		(79	)		(85	)		(11	)		(386	)		(735	)		(1,296	)
Ending balance	$	960	$	1,714		$	561		$	1,263		$	45		$	142		$	4,685
Allowance related to:
Loans individually evaluated	$	137	$	415		$	—		$	171		$	23		$	108		$	854
Loans collectively evaluated	$	823	$	1,299		$	561		$	1,092		$	22		$	34		$	3,831
Amortized cost related to:
Loans individually evaluated	$	24,013	$	93,080		$	40,235		$	138,951		$	7,804		$	43,217		$	347,300
Loans collectively evaluated	$	623,111	$	734,957		$	491,798		$	706,689		$	36,812		$	9,858		$	2,603,225

	Nine Months Ended September 30, 2022
							Residential			Residential			Short Term		Short Term
	Commercial			Commercial			1-4 Unit			1-4 Unit			1-4 Unit		1-4 Unit
	Purchase			Refinance			Purchase			Refinance			Purchase		Refinance			Total
Allowance for credit losses:
Beginning balance - January 1, 2022	$	385		$	2,144		$	400		$	948		$	43	$	342		$	4,262
Provision for loan losses		452			(57	)		222			654			—		318			1,589
Charge-offs		(147	)		(25	)		(7	)		(105	)		—		(237	)		(521	)
Ending balance	$	690		$	2,062		$	615		$	1,497		$	43	$	423		$	5,330
Allowance related to:
Loans individually evaluated	$	6		$	369		$	118		$	176		$	—	$	205		$	874
Loans collectively evaluated	$	684		$	1,693		$	497		$	1,321		$	43	$	218		$	4,456
Amortized cost related to:
Loans individually evaluated	$	19,033		$	81,204		$	21,731		$	91,368		$	7,076	$	35,845		$	256,257
Loans collectively evaluated	$	703,835		$	852,282		$	608,338		$	922,258		$	65,929	$	41,994		$	3,194,636

Schedule of Aging Status of Amortized Cost Basis in Loans Held for Investment Portfolio

The following table presents the aging status of the amortized cost basis in the loans held for investment portfolio, which include $179.0 million and $203.3 million loans in the Company’s COVID-19 forbearance program, excluding loans held for investment at fair value, as of September 30, 2023 and December 31, 2022, respectively (in thousands):

	30–59 days		60–89 days		90+days		Total				Total
September 30, 2023	past due		past due		past due(1)		past due		Current		loans
Loans individually evaluated
Commercial - Purchase	$	399	$	1,494	$	22,120	$	24,013	$	—	$	24,013
Commercial - Refinance		3,059		2,224		87,797		93,080				93,080
Residential 1-4 Unit - Purchase		2,615		1,757		35,863		40,235		—		40,235
Residential 1-4 Unit - Refinance		3,002		1,884		134,065		138,951		—		138,951
Short Term 1-4 Unit - Purchase		—		—		7,804		7,804		—		7,804
Short Term 1-4 Unit - Refinance		—		—		43,217		43,217		—		43,217
Total loans individually evaluated	$	9,075	$	7,359	$	330,866	$	347,300	$	—	$	347,300
Loans collectively evaluated
Commercial - Purchase	$	19,144	$	19,751	$	—	$	38,895	$	584,216	$	623,111
Commercial - Refinance		45,677		19,795		—		65,472		669,485		734,957
Residential 1-4 Unit - Purchase		20,095		6,733		—		26,828		464,970		491,798
Residential 1-4 Unit - Refinance		50,670		20,588		—		71,258		635,431		706,689
Short Term 1-4 Unit - Purchase		24,077		2,080		—		26,157		10,655		36,812
Short Term 1-4 Unit - Refinance		2,004		944		—		2,948		6,910		9,858
Total loans collectively evaluated	$	161,667	$	69,891	$	—	$	231,558	$	2,371,667	$	2,603,225
Ending balance	$	170,742	$	77,250	$	330,866	$	578,858	$	2,371,667	$	2,950,525

	30–59 days		60–89 days		90+days		Total				Total
December 31, 2022	past due		past due		past due(1)		past due		Current		loans
Loans individually evaluated
Commercial - Purchase	$	865	$	—	$	21,706	$	22,571	$	—	$	22,571
Commercial - Refinance		4,415		5,943		76,619		86,977		156		87,133
Residential 1-4 Unit - Purchase		590		592		26,802		27,984		—		27,984
Residential 1-4 Unit - Refinance		1,715		2,728		109,466		113,909		—		113,909
Short Term 1-4 Unit - Purchase		176		—		7,964		8,140		—		8,140
Short Term 1-4 Unit - Refinance		657		—		34,945		35,602		—		35,602
Total loans individually evaluated	$	8,418	$	9,263	$	277,502	$	295,183	$	156	$	295,339
Loans collectively evaluated
Commercial - Purchase	$	24,899	$	5,096	$	—	$	29,995	$	648,842	$	678,837
Commercial - Refinance		41,711		20,561		—		62,272		757,692		819,964
Residential 1-4 Unit - Purchase		22,840		13,948		—		36,788		523,661		560,449
Residential 1-4 Unit - Refinance		64,925		23,224		—		88,149		737,247		825,396
Short Term 1-4 Unit - Purchase		21,273		294		—		21,567		40,177		61,744
Short Term 1-4 Unit - Refinance		5,550		1,191		—		6,741		28,814		35,555
Total loans collectively evaluated	$	181,198	$	64,314	$	—	$	245,512	$	2,736,433	$	2,981,945
Ending balance	$	189,616	$	73,577	$	277,502	$	540,695	$	2,736,589	$	3,277,284

(1)Includes loans in bankruptcy and foreclosure less than 90 days past due.

Schedule of Amortized Cost in Loans Held for Investment based on Accrual Status and by Loan Origination Year

The following tables present the amortized cost in loans held for investment, excluding loans held for investment at fair value, based on accrual status and by loan origination year as of September 30, 2023 and December 31, 2022 (in thousands).

	Term Loans Amortized Cost Basis by Origination Year
September 30, 2023:	2022		2021			2020		2019		Pre-2019		Total
Commercial - Purchase
Payment performance
Performing	$	258,084	$	230,472		$	32,582	$	46,101	$	55,872	$	623,111
Nonperforming		6,485		6,241			532		4,273		6,482		24,013
Total Commercial - Purchase	$	264,569	$	236,713		$	33,114	$	50,374	$	62,354	$	647,124
Commercial - Refinance
Payment performance
Performing	$	240,627	$	195,968		$	50,490	$	92,007	$	155,865	$	734,957
Nonperforming		22,342		12,363			4,614		18,171		35,590		93,080
Total Commercial - Refinance	$	262,969	$	208,331		$	55,104	$	110,178	$	191,455	$	828,037
Residential 1-4 Unit - Purchase
Payment performance
Performing	$	217,835	$	203,026		$	9,775	$	25,710	$	35,452	$	491,798
Nonperforming		19,703		12,323			1,023		1,423		5,763		40,235
Total Residential 1-4    Unit - Purchase	$	237,538	$	215,349		$	10,798	$	27,133	$	41,215	$	532,033
Residential 1-4 Unit - Refinance
Payment performance
Performing	$	291,195	$	248,864		$	20,577	$	67,145	$	78,908	$	706,689
Nonperforming		45,631		33,741			7,273		28,362		23,944		138,951
Total Residential 1-4    Unit - Refinance	$	336,826	$	282,605		$	27,850	$	95,507	$	102,852	$	845,640
Short Term 1-4 Unit - Purchase
Payment performance
Performing	$	14,760	$	180		$	17,466	$	4,406	$	—	$	36,812
Nonperforming		6,279		530			995		—		—		7,804
Total Short Term 1-4    Unit - Purchase	$	21,039	$	710		$	18,461	$	4,406	$	—	$	44,616
Short Term 1-4 Unit - Refinance
Payment performance
Performing	$	9,858	$	—		$	—	$	—	$	—	$	9,858
Nonperforming		16,913		153			8,479		13,521		4,151		43,217
Total Short Term 1-4    Unit - Refinance	$	26,771	$	153		$	8,479	$	13,521	$	4,151	$	53,075
Total Portfolio	$	1,149,712	$	943,861		$	153,806	$	301,119	$	402,027	$	2,950,525
Gross charge-offs - quarter-ended September 30, 2023	$	365	$	(270	)	$	—	$	—	$	—	$	95
Gross charge-offs - year-to-date September 30, 2023	$	376	$	473		$	—	$	447	$	—	$	1,296

	Term Loans Amortized Cost Basis by Origination Year
December 31, 2022	2022		2021		2020		2019		2018		Pre-2018		Total
Commercial - Purchase
Payment performance
Performing	$	273,950	$	249,100	$	36,064	$	56,322	$	33,193	$	30,208	$	678,837
Nonperforming		1,274		6,959		1,579		5,809		3,205		3,745		22,571
Total Commercial - Purchase	$	275,224	$	256,059	$	37,643	$	62,131	$	36,398	$	33,953	$	701,408
Commercial - Refinance
Payment performance
Performing	$	263,754	$	210,898	$	55,795	$	103,633	$	93,161	$	92,723	$	819,964
Nonperforming		9,012		11,801		3,855		23,423		20,408		18,634		87,133
Total Commercial - Refinance	$	272,766	$	222,699	$	59,650	$	127,056	$	113,569	$	111,357	$	907,097
Residential 1-4 Unit - Purchase
Payment performance
Performing	$	249,625	$	227,235	$	10,710	$	31,685	$	18,891	$	22,303	$	560,449
Nonperforming		7,281		10,107		2,165		2,313		1,553		4,565		27,984
Total Residential 1-4    Unit - Purchase	$	256,906	$	237,342	$	12,875	$	33,998	$	20,444	$	26,868	$	588,433
Residential 1-4 Unit - Refinance
Payment performance
Performing	$	338,959	$	285,195	$	24,703	$	84,208	$	39,870	$	52,461	$	825,396
Nonperforming		21,391		25,023		6,907		27,746		15,834		17,008		113,909
Total Residential 1-4    Unit - Refinance	$	360,350	$	310,218	$	31,610	$	111,954	$	55,704	$	69,469	$	939,305
Short Term 1-4 Unit - Purchase
Payment performance
Performing	$	40,967	$	944	$	15,659	$	4,174	$	—	$	—	$	61,744
Nonperforming		1,287		5,212		995		542		104		—		8,140
Total Short Term 1-4    Unit - Purchase	$	42,254	$	6,156	$	16,654	$	4,716	$	104	$	—	$	69,884
Short Term 1-4 Unit - Refinance
Payment performance
Performing	$	35,555	$	—	$	—	$	—	$	—	$	—	$	35,555
Nonperforming		786		1,221		10,545		18,245		4,805		—		35,602
Total Short Term 1-4    Unit - Refinance	$	36,341	$	1,221	$	10,545	$	18,245	$	4,805	$	—	$	71,157
Total Portfolio	$	1,243,841	$	1,033,695	$	168,977	$	358,100	$	231,024	$	241,647	$	3,277,284

Summary of Difference Between Aggregate Fair Value and Aggregate Unpaid Principal Balance by Loan Segments

The following table presents the aggregate fair value of loans held for investment at fair value that are 90 days or more past due and/or in nonaccrual status, and the difference between the aggregate fair value and the aggregate unpaid principal balance as of September 30, 2023 by loan segments (in thousands):
 

	Fair Value						Unpaid Principal Balance						Difference
	Current–89 days		90+days past due				Current–89 days		90+days past due				90+days past due
September 30, 2023	past due		or nonaccrual		Total		past due		or nonaccrual		Total		or nonaccrual
Commercial - Purchase	$	129,854	$	3,233	$	133,087	$	123,247	$	3,894	$	127,141	$	(661	)
Commercial - Refinance		156,931		2,624		159,555		147,492		3,161		150,653		(537	)
Residential 1-4 Unit - Purchase		189,247		8,153		197,400		190,128		9,761		199,889		(1,608	)
Residential 1-4 Unit - Refinance		356,278		19,110		375,388		349,909		22,680		372,589		(3,570	)
Short Term 1-4 Unit - Purchase		37,224		1,077		38,301		36,915		1,298		38,213		(221	)
Short Term 1-4 Unit - Refinance		45,773		2,486		48,259		45,152		2,996		48,148		(510	)
Ending balance	$	915,307	$	36,683	$	951,990	$	892,843	$	43,790	$	936,633	$	(7,107	)