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Fair Value (Tables) | 9 Months Ended
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Sep. 30, 2017
Fair Value |
Summary of the principal amounts, carrying values and the estimated fair values of the Company's financial instruments |
|  | September 30, 2017 |  | December 31, 2016 |
|  | Principal / Notional Amount |  | Carrying Value |  | Estimated Fair Value |  | Principal / Notional Amount |  | Carrying Value |  | Estimated Fair Value |
Financial assets: |  |  |  |  |  |  |  |  |  |  |  |  |
Loans and investments, net |  | $ | 2,094,376,123 |  | $ | 1,997,555,985 |  | $ | 2,056,020,469 |  | $ | 1,790,159,966 |  | $ | 1,695,732,351 |  | $ | 1,749,130,232 |
Loans held-for-sale, net |  | 333,983,865 |  | 333,267,976 |  | 338,766,761 |  | 675,493,536 |  | 673,367,304 |  | 683,833,449 |
Capitalized mortgage servicing rights, net |  | n/a |  | 247,875,659 |  | 293,807,076 |  | n/a |  | 227,742,986 |  | 245,455,881 |
Available-for-sale securities |  | 58,789 |  | 4,707,085 |  | 4,707,085 |  | 58,789 |  | 5,403,463 |  | 5,403,463 |
Securities held-to-maturity, net |  | 28,035,293 |  | 18,851,089 |  | 18,882,997 |  | — |  | — |  | — |
Derivative financial instuments |  | 100,898,203 |  | 488,747 |  | 488,747 |  | 550,117,700 |  | 5,614,990 |  | 5,614,990 |
Financial liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |
Credit and repurchase facilities |  | $ | 564,231,866 |  | $ | 562,326,537 |  | $ | 563,366,477 |  | $ | 908,680,198 |  | $ | 906,636,790 |  | $ | 907,882,886 |
Collateralized loan obligations |  | 1,079,874,000 |  | 1,066,230,488 |  | 1,080,228,695 |  | 737,000,000 |  | 728,441,109 |  | 728,642,500 |
Senior unsecured notes |  | 97,860,025 |  | 95,088,379 |  | 99,817,226 |  | 97,860,025 |  | 94,521,566 |  | 99,034,345 |
Convertible senior unsecured notes, net |  | 100,000,000 |  | 95,381,121 |  | 105,438,000 |  | 86,250,000 |  | 80,660,038 |  | 86,586,375 |
Junior subordinated notes |  | 154,336,000 |  | 139,418,416 |  | 93,833,687 |  | 175,858,000 |  | 157,858,555 |  | 105,649,537 |
Related party financing |  | 50,000,000 |  | 50,000,000 |  | 53,270,857 |  | 50,000,000 |  | 50,000,000 |  | 55,119,744 |
Derivative financial instruments |  | 287,993,000 |  | 1,881,450 |  | 1,881,450 |  | 522,650,829 |  | 2,451,422 |  | 2,451,422 |
Schedule of certain financial assets and financial liabilities measured at fair value on a recurring basis | The fair value of these financial assets and liabilities was determined using the following input levels as of September 30, 2017:
|  | Carrying |  |  |  | Fair Value Measurements Using Fair Value Hierarchy |
|  | Value |  | Fair Value |  | Level 1 |  | Level 2 |  | Level 3 |
Financial assets: |  |  |  |  |  |  |  |  |  |  |
Available-for-sale securities |  | $ | 4,707,085 |  | $ | 4,707,085 |  | $ | 264,553 |  | $ | — |  | $ | 4,442,532 |
Derivative financial instruments |  | 488,747 |  | 488,747 |  | — |  | 68,989 |  | 419,758 |
Financial liabilities: |  |  |  |  |  |  |  |  |  |  |
Derivative financial instruments |  | $ | 1,881,450 |  | $ | 1,881,450 |  | $ | — |  | $ | 1,881,450 |  | $ | — |
Schedule of certain financial assets and financial liabilities measured at fair value on a nonrecurring basis | The fair values of these financial and non-financial assets were determined using the following input levels as of September 30, 2017:
|  | Net Carrying |  |  |  | Fair Value Measurements Using Fair Value Hierarchy |
|  | Value |  | Fair Value |  | Level 1 |  | Level 2 |  | Level 3 |
Financial assets: |  |  |  |  |  |  |  |  |  |  |
Impaired loans, net (1) |  | $ | 101,284,128 |  | $ | 101,284,128 |  | $ | — |  | $ | — |  | $ | 101,284,128 |
Non-financial assets: |  |  |  |  |  |  |  |  |  |  |
Long-lived assets (2) |  | $ | 11,540,664 |  | $ | 11,540,664 |  | $ | — |  | $ | — |  | $ | 11,540,664 |
| (1) |  | We had an allowance for loan losses of $83.3 million relating to six loans with an aggregate carrying value, before loan loss reserves, of $184.5 million at September 30, 2017.
| (2) |  | During the second quarter of 2016, we determined that a real estate owned hotel property exhibited indicators of impairment and an impairment analysis was performed, which resulted in an impairment loss of $11.2 million. During the first half of 2017, we received additional market analyses which resulted in a further impairment loss of $2.7 million.
Schedule of quantitative information about Level 3 fair value measurements | Quantitative information about Level 3 fair value measurements at September 30, 2017 were as follows:
|  |  |  | Valuation |  |  |  |  |
|  | Fair Value |  | Techniques |  | Significant Unobservable Inputs |
Financial assets: |  |  |  |  |  |  |  |  |
Impaired loans (1): |  |  |  |  |  |  |  |  |
|  |  |  |  |  | Discount rate |  | 11.00% |
Office |  | $ | 792,500 |  | Discounted cash flows |  | Capitalization rate |  | 8.10% |
|  |  |  |  |  | Revenue growth rate |  | 2.50% |
|  |  |  |  |  | Discount rate |  | 15.00% |
Land |  | 71,441,628 |  | Discounted cash flows |  | Capitalization rate |  | 7.25% |
|  |  |  |  |  | Revenue growth rate |  | 3.00% |
|  |  |  |  |  | Discount rate |  | 9.00% |
Hotel |  | 29,050,000 |  | Discounted cash flows |  | Capitalization rate |  | 7.00% |
|  |  |  |  |  | Revenue growth rate |  | 3.30% |
Derivative financial instruments: |  |  |  |  |  |  |  |  |
Rate lock commitments |  | 419,758 |  | Discounted cash flows |  | W/A discount rate |  | 10.22% |
Non-financial assets: |  |  |  |  |  |  |  |  |
Long-lived assets: |  |  |  |  |  |  |  |  |
|  |  |  |  |  | Discount rate |  | 11.75% |
Hotel |  | 11,540,664 |  | Discounted cash flows |  | Capitalization rate |  | 9.75% |
|  |  |  |  |  | Revenue growth rate |  | 3.50% |
|  |  |  |  |  | Hold period |  | 3 years |
| (1) |  | Includes all impaired loans regardless of the period in which a loan loss provision was recorded.
Schedule of roll forward of Level 3 derivative instruments |
|  | Fair Value Measurements Using Significant Unobservable Inputs |
|  | Three Months Ended September 30, |  | Nine Months Ended September 30, |
|  | 2017 |  | 2016 |  | 2017 |  | 2016 |
Derivative assets and liabilities, net |  |  |  |  |  |  |  |  |
Balance at beginning of period |  | $ | 1,419,530 |  | $ | — |  | $ | 2,816,132 |  | $ | — |
Additions from the Acquisition |  | — |  | 4,528,640 |  | — |  | 4,528,640 |
Settlements |  | (18,897,011 | ) | (15,286,185 | ) | (57,578,012 | ) | (15,286,185 | )
Realized gains recorded in earnings |  | 17,477,481 |  | 10,757,545 |  | 54,761,880 |  | 10,757,545 |
Unrealized gains recorded in earnings |  | 419,758 |  | 681,882 |  | 419,758 |  | 681,882 |
Balance at end of period |  | $ | 419,758 |  | $ | 681,882 |  | $ | 419,758 |  | $ | 681,882 |
Schedule of components of fair value and other relevant information |
|  | Notional/ Principal Amount |  | Fair Value of Servicing Rights |  | Interest Rate Movement Effect |  | Total Fair Value Adjustment |
September 30, 2017 |  |  |  |  |  |  |  |  |
Rate lock commitments |  | $ | 30,179,000 |  | $ | 419,758 |  | $ | (64,378 | ) | $ | 355,380 |
Forward sale commitments |  | 358,712,203 |  | — |  | 64,378 |  | 64,378 |
Loans held-for-sale, net (1) |  | 328,533,203 |  | 5,450,662 |  | — |  | 5,450,662 |
Total |  |  |  | $ | 5,870,420 |  | $ | — |  | $ | 5,870,420 |
| (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 mortgage servicing rights.
Schedule of fair value of assets and liabilities | The fair value of these assets and liabilities was determined using the following input levels as of September 30, 2017:
|  |  |  |  |  | Fair Value Measurements Using Fair Value Hierarchy |
|  | Carrying Value |  | Fair Value |  | Level 1 |  | Level 2 |  | Level 3 |
Financial assets: |  |  |  |  |  |  |  |  |  |  |
Loans and investments, net |  | $ | 1,997,555,985 |  | $ | 2,056,020,469 |  | $ | — |  | $ | — |  | $ | 2,056,020,469 |
Loans held-for-sale, net |  | 333,267,976 |  | 338,766,761 |  | — |  | 333,316,099 |  | 5,450,662 |
Capitalized mortgage servicing rights, net |  | 247,875,659 |  | 293,807,076 |  | — |  | — |  | 293,807,076 |
Securities held-to-maturity, net |  | 18,851,089 |  | 18,882,997 |  | — |  | — |  | 18,882,997 |
Financial liabilities: |  |  |  |  |  |  |  |  |  |  |
Credit and repurchase facilities |  | $ | 562,326,537 |  | $ | 563,366,477 |  | $ | — |  | $ | 327,987,187 |  | $ | 235,379,290 |
Collateralized loan obligations |  | 1,066,230,488 |  | 1,080,228,695 |  | — |  | — |  | 1,080,228,695 |
Senior unsecured notes |  | 95,088,379 |  | 99,817,226 |  | 99,817,226 |  | — |  | — |
Convertible senior unsecured notes, net |  | 95,381,121 |  | 105,438,000 |  | — |  | 105,438,000 |  | — |
Junior subordinated notes |  | 139,418,416 |  | 93,833,687 |  | — |  | — |  | 93,833,687 |
Related party financing |  | 50,000,000 |  | 53,270,857 |  | — |  | — |  | 53,270,857 |

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- Definition Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19279-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bb) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2C -URI http://asc.fasb.org/extlink&oid=66048111&loc=SL7498348-110258 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19190-110258 + Details
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- Definition Tabular disclosure of assets and liabilities by class, including financial instruments measured at fair value that are classified in shareholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). Disclosures may include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3). + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19190-110258 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of quantitative information about the inputs used in the fair value measurement of assets. This disclosure may include, but is not limited to, the fair value of the asset, valuation technique used to measure fair value, the inputs used to measure fair value, the ranges of the inputs, and the weighted averages of the inputs. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of financial instrument classified as a derivative asset (liability) after deduction of derivative liability (asset) using recurring unobservable inputs that reflect the entity's own assumption about the assumptions market participants would use in pricing. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19279-110258 + Details
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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19190-110258 + Details
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