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Fair Value (Tables)

12 Months Ended

Dec. 31, 2019

Fair Value.

Summary of the principal amounts, carrying values and the estimated fair values of the Company's financial instruments

The following table summarizes the principal amounts, carrying values and the estimated fair values of our financial instruments (in thousands):

			December 31, 2019									December 31, 2018
		Principal /									Principal /
		Notional			Carrying			Estimated			Notional			Carrying			Estimated
		Amount			Value			Fair Value			Amount			Value			Fair Value
Financial assets:
Loans and investments, net		$	4,279,611		$	4,189,960		$	4,228,071		$	3,283,342		$	3,200,145		$	3,249,499
Loans held-for-sale, net			847,126			861,360			876,975			472,964			481,664			489,546
Capitalized mortgage servicing rights, net			n/a			286,420			328,995			n/a			273,770			322,463
Securities held-to-maturity, net			111,028			88,699			91,738			103,515			76,363			79,097
Derivative financial instruments			173,532			1,435			1,435			400,661			6,113			6,113
Financial liabilities:
Credit and repurchase facilities		$	1,681,146		$	1,678,288		$	1,677,658		$	1,138,135		$	1,135,627		$	1,135,774
Collateralized loan obligations			2,147,467			2,130,121			2,147,944			1,609,524			1,593,548			1,588,989
Debt fund			70,000			68,629			70,138			70,000			68,183			70,154
Senior unsecured notes			325,000			319,799			331,225			125,000			122,484			123,750
Convertible senior unsecured notes, net			300,914			284,152			310,778			270,057			254,768			267,324
Junior subordinated notes			154,336			140,949			97,668			154,336			140,259			95,873
Derivative financial instruments			347,701			3,097			3,097			108,625			732			732

Schedule of certain financial assets and financial liabilities measured at fair value on a recurring basis

The fair values of these financial assets and liabilities were determined using the following input levels as of December 31, 2019 (in thousands):

								Fair Value Measurements
		Carrying						Using Fair Value Hierarchy
		Value			Fair Value			Level 1			Level 2			Level 3
Financial assets:
Derivative financial instruments		$	1,435		$	1,435		$	—		$	369		$	1,066
Financial liabilities:
Derivative financial instruments		$	3,097		$	3,097		$	—		$	3,097		$	—

Schedule of certain financial assets and financial liabilities measured at fair value on a nonrecurring basis

We measure certain financial and non-financial assets at fair value on a nonrecurring basis. The fair values of these financial and non-financial assets, if applicable, were determined using the following input levels as of December 31, 2019 (in thousands):

								Fair Value Measurements
		Net Carrying						Using Fair Value Hierarchy
		Value			Fair Value			Level 1			Level 2			Level 3
Financial assets:
Impaired loans, net (1)		$	59,657		$	59,657		$	—		$	—		$	59,657
Non-financial assets:
Long-lived assets (2)		$	13,220		$	13,220		$	—		$	—		$	13,220

(1) We had an allowance for loan losses of $71.1 million relating to five loans with an aggregate carrying value, before loan loss reserves, of $130.7 million at December 31, 2019.

(2) We recorded a $1.0 million impairment loss during 2019 on the hotel property we own. See Note 9 for details.

Schedule of quantitative information about Level 3 fair value measurements

Quantitative information about Level 3 fair value measurements at December 31, 2019 is as follows ($ in thousands):

					Valuation		Significant
		Fair Value			Techniques		Unobservable Inputs
Financial assets:
Impaired loans:
Land		$	58,931		Discounted cash flows		Discount rate		23.00	%
							Revenue growth rate		3.00	%
Office			726		Discounted cash flows		Discount rate		11.00	%
							Capitalization rate		9.00	%
							Revenue growth rate		2.50	%
Derivative financial instruments:
Rate lock commitments			1,066		Discounted cash flows		W/A discount rate		13.59	%
Long-lived assets:
Hotel proerty			10,208		Broker quotes		N/A		N/A

Schedule of financial assets measured at fair value on a recurring basis using Level 3 inputs

A roll-forward of Level 3 derivative instruments is as follows (in thousands):

		Fair Value
		Measurements Using
		Significant
		Unobservable Inputs
		for the Year Ended
		December 31,
		2019			2018			2017
Derivative assets
Balance at beginning of period		$	324		$	276		$	2,816
Settlements			(83,992)			(98,791)			(79,360)
Realized gains recorded in earnings			83,668			98,515			76,544
Unrealized gains recorded in earnings			1,066			324			276
Balance at end of period		$	1,066		$	324		$	276

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
		Principal Amount			Servicing Rights			Movement Effect			Value Adjustment
December 31, 2019
Rate lock commitments		$	37,657		$	1,066		$	(202)		$	864
Forward sale commitments			483,576			—			202			202
Loans held-for-sale, net (1)			847,126			16,519			—			16,519
Total					$	17,585		$	—		$	17,585

(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

The fair values of these assets and liabilities are determined using the following input levels as of December 31, 2019 (in thousands):

								Fair Value Measurements
		Carrying						Using Fair Value Hierarchy
		Value			Fair Value			Level 1			Level 2			Level 3
Financial assets:
Loans and investments, net		$	4,189,960		$	4,228,071		$	—		$	—		$	4,228,071
Loans held-for-sale, net			861,360			876,975			—			860,456			16,519
Capitalized mortgage servicing rights, net			286,420			328,995			—			—			328,995
Securities held-to-maturity, net			88,699			91,738			—			—			91,738
Financial liabilities:
Credit and repurchase facilities		$	1,678,288		$	1,677,658		$	—		$	743,594		$	934,064
Collateralized loan obligations			2,130,121			2,147,944			—			—			2,147,944
Debt fund			68,629			70,138			—			—			70,138
Senior unsecured notes			319,799			331,225			331,225			—			—
Convertible senior unsecured notes, net			284,152			310,778			—			310,778			—
Junior subordinated notes			140,949			97,668			—			—			97,668

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