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Fair Value (Tables)
6 Months Ended
Jun. 30, 2021
Fair Value  
Schedule of the principal amounts, carrying values and the estimated fair values of the Company's financial instruments

June 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

$

7,385,929

$

7,213,915

$

7,421,181

$

5,475,082

$

5,285,868

$

5,428,141

Loans held-for-sale, net

448,940

457,647

469,195

968,595

986,919

1,007,294

Capitalized mortgage servicing rights, net

n/a

418,653

471,275

n/a

379,974

415,495

Securities held-to-maturity, net

171,001

114,696

125,003

140,124

95,524

94,128

Derivative financial instruments

308,421

 

2,387

 

2,387

865,975

 

3,892

 

3,892

Financial liabilities:

Credit and repurchase facilities

$

2,021,412

$

2,015,188

$

2,016,291

$

2,238,722

$

2,234,883

$

2,235,668

Collateralized loan obligations

3,506,080

 

3,484,088

 

3,506,460

2,532,343

 

2,517,309

 

2,495,195

Senior unsecured notes

845,750

 

836,074

 

853,814

670,750

 

662,843

 

670,117

Convertible senior unsecured notes, net

278,300

270,917

304,689

278,300

267,973

280,636

Junior subordinated notes

154,336

 

142,013

 

100,650

154,336

 

141,656

 

99,594

Derivative financial instruments

36,198

 

393

 

393

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

$

2,387

$

2,387

$

$

2,263

$

124

Financial liabilities:

Derivative financial instruments

$

393

$

393

$

$

393

$

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)

$

66,935

$

66,935

$

$

$

66,935

(1)We had an allowance for credit losses of $98.7 million relating to nine impaired loans with an aggregate carrying value, before loan loss reserves, of $165.7 million at June 30, 2021.

Schedule of quantitative information about Level 3 fair value measurements

Quantitative information about Level 3 fair value measurements at June 30, 2021 is as follows ($ in thousands):

Valuation

    

    

Fair Value

    

Techniques

    

Significant Unobservable Inputs

 

Financial assets:

Impaired loans:

Land

$

49,960

 

Discounted cash flows

 

Discount rate

21.50

%

 

Revenue growth rate

3.00

%

Discount rate

10.15

%

Retail

15,511

Discounted cash flows

Capitalization rate

9.25

%

Revenue growth rate

1.68

%

Healthcare

828

Discounted cash flows

Capitalization rate

14.30

%

 

Discount rate

11.00

%

Office

636

Discounted cash flows

 

Capitalization rate

9.00

%

 

Revenue growth rate

2.50

%

Derivative financial instruments:

Rate lock commitments

124

Discounted cash flows

W/A discount rate

8.44

%

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, 

    

2021

    

2020

    

2021

    

2020

Derivative assets and liabilities, net

Beginning balance

$

1,439

$

2,069

$

1,967

$

1,066

Settlements

(23,045)

(33,936)

(58,074)

(54,867)

Realized gains recorded in earnings

21,606

31,867

56,107

53,801

Unrealized gains recorded in earnings

124

549

124

549

Ending balance

$

124

$

549

$

124

$

549

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

June 30, 2021

    

Principal Amount

    

Servicing Rights

    

Movement Effect

    

Adjustment

Rate lock commitments

$

16,550

$

124

$

127

$

251

Forward sale commitments

328,069

(127)

(127)

Loans held-for-sale, net (1)

448,940

9,669

9,669

Total

$

9,793

$

$

9,793

(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

$

7,213,915

$

7,421,181

$

$

$

7,421,181

Loans held-for-sale, net

457,647

469,195

459,526

9,669

Capitalized mortgage servicing rights, net

418,653

471,275

471,275

Securities held-to-maturity, net

114,696

125,003

125,003

Financial liabilities:

Credit and repurchase facilities

$

2,015,188

$

2,016,291

$

$

391,790

$

1,624,501

Collateralized loan obligations

 

3,484,088

 

3,506,460

 

 

 

3,506,460

Senior unsecured notes

 

836,074

 

853,814

 

853,814

 

 

Convertible senior unsecured notes, net

270,917

304,689

304,689

Junior subordinated notes

 

142,013

 

100,650

 

 

 

100,650