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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