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Fair Value (Tables)

9 Months Ended

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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Tabular disclosure of components of fair value and other relevant information.

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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.

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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).

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Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

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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.

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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.

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