Fair Value (Tables)
|
9 Months Ended |
Sep. 30, 2021 |
Fair Value |
|
Schedule of the principal amounts, carrying values and the estimated fair values of the Company's financial instruments |
| | | | | | | | | | | | | | | | | | | | | September 30, 2021 | | December 31, 2020 | | | Principal / | | Carrying | | Estimated | | Principal / | | Carrying | | Estimated | | | Notional Amount | | Value | | Fair Value | | Notional Amount | | Value | | Fair Value | Financial assets: | | | | | | | | | | | | | | | | | | | Loans and investments, net | | $ | 9,169,007 | | $ | 8,993,790 | | $ | 9,202,924 | | $ | 5,475,082 | | $ | 5,285,868 | | $ | 5,428,141 | Loans held-for-sale, net | | | 1,259,287 | | | 1,274,234 | | | 1,309,556 | | | 968,595 | | | 986,919 | | | 1,007,294 | Capitalized mortgage servicing rights, net | | | n/a | | | 417,283 | | | 473,679 | | | n/a | | | 379,974 | | | 415,495 | Securities held-to-maturity, net | | | 167,005 | | | 112,735 | | | 122,131 | | | 140,124 | | | 95,524 | | | 94,128 | Derivative financial instruments | | | 77,242 | | | 2,196 | | | 2,196 | | | 865,975 | | | 3,892 | | | 3,892 | | | | | | | | | | | | | | | | | | | | Financial liabilities: | | | | | | | | | | | | | | | | | | | Credit and repurchase facilities | | $ | 3,405,232 | | $ | 3,399,711 | | $ | 3,399,579 | | $ | 2,238,722 | | $ | 2,234,883 | | $ | 2,235,668 | Collateralized loan obligations | | | 4,743,580 | | | 4,715,804 | | | 4,744,351 | | | 2,532,343 | | | 2,517,309 | | | 2,495,195 | Senior unsecured notes | | | 1,115,750 | | | 1,102,578 | | | 1,134,816 | | | 670,750 | | | 662,843 | | | 670,117 | Convertible senior unsecured notes, net | | | 264,000 | | | 258,001 | | | 296,472 | | | 278,300 | | | 267,973 | | | 280,636 | Junior subordinated notes | | | 154,336 | | | 142,192 | | | 101,169 | | | 154,336 | | | 141,656 | | | 99,594 | Derivative financial instruments | | | 519,035 | | | 8,253 | | | 8,253 | | | 319,142 | | | 1,221 | | | 1,221 |
|
Schedule of certain financial assets and financial liabilities measured at fair value on a recurring basis |
| | | | | | | | | | | | | | | | | | | | | | | | Fair Value Measurements Using Fair | | | Carrying | | | | | Value Hierarchy | | | Value | | Fair Value | | Level 1 | | Level 2 | | Level 3 | Financial assets: | | | | | | | | | | | | | | | | Derivative financial instruments | | $ | 2,196 | | $ | 2,196 | | $ | — | | $ | 1,489 | | $ | 707 | | | | | | | | | | | | | | | | | Financial liabilities: | | | | | | | | | | | | | | | | Derivative financial instruments | | $ | 8,253 | | $ | 8,253 | | $ | — | | $ | 8,253 | | $ | — |
|
Schedule of certain financial assets and financial liabilities measured at fair value on a nonrecurring basis |
| | | | | | | | | | | | | | | | | | | | | | | Fair Value Measurements Using Fair | | | Net Carrying | | | | Value Hierarchy | | | Value | | Fair Value | | Level 1 | | Level 2 | | Level 3 | Financial assets: | | | | | | | | | | | | | | | | Impaired loans, net (1) | | $ | 66,126 | | $ | 66,126 | | $ | — | | $ | — | | $ | 66,126 |
(1) | We had an allowance for credit losses of $94.9 million relating to eight impaired loans with an aggregate carrying value, before loan loss reserves, of $161.0 million at September 30, 2021. |
|
Schedule of quantitative information about Level 3 fair value measurements |
Quantitative information about Level 3 fair value measurements at September 30, 2021 is as follows ($ in thousands): | | | | | | | | | | | | | | | | Valuation | | | | | | | | Fair Value | | Techniques | | Significant Unobservable Inputs | | Financial assets: | | | | | | | | | | | Impaired loans: | | | | | | | | | | | Land | | $ | 50,000 | | Discounted cash flows | | Discount rate | | 21.50 | % | | | | | | | | Revenue growth rate | | 3.00 | % | | | | | | | | | | | | | | | | | | | Discount rate | | 10.15 | % | Retail | | | 15,530 | | Discounted cash flows | | Capitalization rate | | 9.25 | % | | | | | | | | Revenue growth rate | | 1.68 | % | | | | | | | | | | | | | | | | | | | Discount rate | | 11.00 | % | Office | | | 596 | | Discounted cash flows | | Capitalization rate | | 9.00 | % | | | | | | | | Revenue growth rate | | 2.50 | % | Derivative financial instruments: | | | | | | | | | | | Rate lock commitments | | | 707 | | Discounted cash flows | | W/A discount rate | | 9.56 | % |
|
Schedule of roll forward of Level 3 derivative instruments |
| | | | | | | | | | | | | | | Fair Value Measurements Using | | Fair Value Measurements Using | | | Significant Unobservable Inputs | | Significant Unobservable Inputs | | | Three Months Ended September 30, | | Nine Months Ended September 30, | | | 2021 | | 2020 | | 2021 | | 2020 | Derivative assets and liabilities, net | | | | | | | | | | | | | Beginning balance | | $ | 124 | | $ | 549 | | $ | 1,967 | | $ | 1,066 | Settlements | | | (23,412) | | | (40,746) | | | (81,486) | | | (95,614) | Realized gains recorded in earnings | | | 23,288 | | | 40,197 | | | 79,519 | | | 94,548 | Unrealized gains recorded in earnings | | | 707 | | | 2,160 | | | 707 | | | 2,160 | Ending balance | | $ | 707 | | $ | 2,160 | | $ | 707 | | $ | 2,160 |
|
Schedule of components of fair value and other relevant information |
The components of fair value and other relevant information associated with our rate lock commitments, forward sales commitments and the estimated fair value of cash flows from servicing on loans held-for-sale are as follows (in thousands): | | | | | | | | | | | | | | | Notional/ | | Fair Value of | | Interest Rate | | Total Fair Value | September 30, 2021 | | Principal Amount | | Servicing Rights | | Movement Effect | | Adjustment | Rate lock commitments | | $ | 68,797 | | $ | 707 | | $ | (1,369) | | $ | (662) | Forward sale commitments | | | 527,480 | | | — | | | 1,369 | | | 1,369 | Loans held-for-sale, net (1) | | | 1,259,287 | | | 19,151 | | | — | | | 19,151 | Total | | | | | $ | 19,858 | | $ | — | | $ | 19,858 |
(1) | Loans held-for-sale, net are recorded at the lower of cost or market on an aggregate basis and includes fair value adjustments related to estimated cash flows from MSRs. |
|
Schedule of fair value of assets and liabilities |
| | | | | | | | | | | | | | | | | | | | | | Fair Value Measurements Using Fair Value Hierarchy | | | Carrying Value | | Fair Value | | Level 1 | | Level 2 | | Level 3 | Financial assets: | | | | | | | | | | | | | | | | Loans and investments, net | | $ | 8,993,790 | | $ | 9,202,924 | | $ | — | | $ | — | | $ | 9,202,924 | Loans held-for-sale, net | | | 1,274,234 | | | 1,309,556 | | | — | | | 1,290,405 | | | 19,151 | Capitalized mortgage servicing rights, net | | | 417,283 | | | 473,679 | | | — | | | — | | | 473,679 | Securities held-to-maturity, net | | | 112,735 | | | 122,131 | | | — | | | — | | | 122,131 | | | | | | | | | | | | | | | | | Financial liabilities: | | | | | | | | | | | | | | | | Credit and repurchase facilities | | $ | 3,399,711 | | $ | 3,399,579 | | $ | — | | $ | 1,102,486 | | $ | 2,297,093 | Collateralized loan obligations | | | 4,715,804 | | | 4,744,351 | | | — | | | — | | | 4,744,351 | Senior unsecured notes | | | 1,102,578 | | | 1,134,816 | | | 1,134,816 | | | — | | | — | Convertible senior unsecured notes, net | | | 258,001 | | | 296,472 | | | — | | | 296,472 | | | — | Junior subordinated notes | | | 142,192 | | | 101,169 | | | — | | | — | | | 101,169 |
|