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Fair Value (Tables)
6 Months Ended
Jun. 30, 2020
Fair Value.  
Summary of the principal amounts, carrying values and the estimated fair values of the Company's financial instruments

June 30, 2020

December 31, 2019

Principal /

Carrying

Estimated

Principal /

Carrying

Estimated

    

Notional Amount

    

Value

    

Fair Value

    

Notional Amount

    

Value

    

Fair Value

Financial assets:

Loans and investments, net

$

4,972,138

$

4,800,176

$

4,972,258

$

4,279,611

$

4,189,960

$

4,228,071

Loans held-for-sale, net

349,860

360,372

366,343

847,126

861,360

876,975

Capitalized mortgage servicing rights, net

n/a

313,288

333,374

n/a

286,420

328,995

Securities held-to-maturity, net

168,457

119,019

119,881

111,028

88,699

91,738

Derivative financial instruments

290,081

 

2,214

 

2,214

173,532

 

1,435

 

1,435

Financial liabilities:

Credit and repurchase facilities

$

1,240,910

$

1,235,613

$

1,238,062

$

1,681,146

$

1,678,288

$

1,677,658

Collateralized loan obligations

2,532,593

 

2,514,524

 

2,410,954

2,147,467

 

2,130,121

 

2,147,944

Senior unsecured notes

670,750

 

661,757

 

552,038

325,000

 

319,799

 

331,225

Convertible senior unsecured notes, net

278,490

265,244

253,359

300,914

284,152

310,778

Junior subordinated notes

154,336

 

141,295

 

98,628

154,336

 

140,949

 

97,668

Derivative financial instruments

112,458

 

219

 

219

347,701

 

3,097

 

3,097

Debt fund

 

 

70,000

68,629

70,138

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

$

2,214

$

2,214

$

$

1,665

$

549

Financial liabilities:

Derivative financial instruments

$

219

$

219

$

$

219

$

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)

$

114,366

$

114,366

$

$

$

114,366

(1)We had an allowance for loan losses of $106.3 million relating to ten impaired loans with an aggregate carrying value, before loan loss reserves, of $220.7 million at June 30, 2020.

Schedule of quantitative information about Level 3 fair value measurements

Quantitative information about Level 3 fair value measurements at June 30, 2020 were as follows ($ in thousands):

Valuation

    

    

Fair Value

    

Techniques

    

Significant Unobservable Inputs

 

Financial assets:

Impaired loans:

Land

$

49,299

Discounted cash flows

 

Discount rate

21.50

%

 

Revenue growth rate

3.00

%

Hotel

42,191

 

Discounted cash flows /

 

Discount rate

11.50

%

direct capitalization

 

Capitalization rate

3.10

%

 

Revenue growth rate

25.00

%

Retail

21,295

Discounted cash flows

Discount rate

10.13

%

Capitalization rate

9.25

%

Revenue growth rate

1.65

%

Healthcare

885

Discounted cash flows

Capitalization rate

14.30

%

Office

696

Discounted cash flows

 

Discount rate

11.00

%

 

Capitalization rate

9.00

%

 

Revenue growth rate

2.50

%

Derivative financial instruments:

Rate lock commitments

549

Discounted cash flows

W/A discount rate

11.98

%

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 June 30, 

Six Months Ended June 30, 

    

2020

    

2019

    

2020

2019

Derivative assets and liabilities, net

Balance at beginning of period

$

2,069

$

400

$

1,066

$

324

Settlements

(33,936)

(18,364)

(54,867)

(32,521)

Realized gains recorded in earnings

31,867

17,964

53,801

32,197

Unrealized gains recorded in earnings

549

745

549

745

Balance at end of period

$

549

$

745

$

549

$

745

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 were as follows (in thousands):

Notional/

Fair Value of

Interest Rate

Total Fair Value

June 30, 2020

    

Principal Amount

    

Servicing Rights

    

Movement Effect

    

Adjustment

Rate lock commitments

$

29,070

$

549

$

(128)

$

421

Forward sale commitments

373,468

128

128

Loans held-for-sale, net (1)

349,860

11,234

11,234

Total

$

11,783

$

$

11,783

(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

$

4,800,176

$

4,972,258

$

$

$

4,972,258

Loans held-for-sale, net

360,372

366,343

355,109

11,234

Capitalized mortgage servicing rights, net

313,288

333,374

333,374

Securities held-to-maturity, net

119,019

119,881

119,881

Financial liabilities:

Credit and repurchase facilities

$

1,235,613

$

1,238,062

$

$

333,473

$

904,589

Collateralized loan obligations

 

2,514,524

 

2,410,954

 

 

 

2,410,954

Senior unsecured notes

 

661,757

 

552,038

 

552,038

 

 

Convertible senior unsecured notes, net

265,244

253,359

253,359

Junior subordinated notes

 

141,295

 

98,628

 

 

 

98,628