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Fair Value (Tables)
12 Months Ended
Dec. 31, 2021
Fair Value  
Schedule of the principal amounts, carrying values and the estimated fair values of the Company's financial instruments

December 31, 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

$

12,158,995

$

11,981,048

$

12,181,194

$

5,475,082

$

5,285,868

$

5,428,141

Loans held-for-sale, net

1,077,239

1,093,609

1,117,085

968,595

986,919

1,007,294

Capitalized mortgage servicing rights, net

n/a

422,734

477,323

n/a

379,974

415,495

Securities held-to-maturity, net

210,728

140,484

149,911

140,124

95,524

94,128

Derivative financial instruments

280,654

 

1,665

 

1,665

865,975

 

3,892

 

3,892

Financial liabilities:

Credit and repurchase facilities

$

4,493,699

$

4,481,579

$

4,484,107

$

2,238,722

$

2,234,883

$

2,235,668

Collateralized loan obligations

5,924,705

 

5,892,810

 

5,914,453

2,532,343

 

2,517,309

 

2,495,195

Senior unsecured notes

1,295,750

 

1,280,545

 

1,301,708

670,750

 

662,843

 

670,117

Convertible senior unsecured notes, net

264,000

259,385

294,690

278,300

267,973

280,636

Junior subordinated notes

154,336

 

142,382

 

101,698

154,336

 

141,656

 

99,594

Derivative financial instruments

301,816

 

1,482

 

1,482

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

$

1,665

$

1,665

$

$

1,370

$

295

Financial liabilities:

Derivative financial instruments

$

1,482

$

1,482

$

$

1,482

$

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, 2021 (in thousands):

Fair Value Measurements Using Fair

Net Carrying

Value Hierarchy

    

Value

    

Fair Value

    

Level 1

    

Level 2

    

Level 3

Financial assets:

Impaired loans, net (1)

$

61,953

$

61,953

$

$

$

61,953

(1)We had an allowance for credit losses of $86.9 million relating to eight impaired loans with an aggregate carrying value, before loan loss reserves, of $148.8 million at December 31, 2021.
Schedule of quantitative information about Level 3 fair value measurements

Quantitative information about Level 3 fair value measurements at December 31, 2021 is as follows ($ in thousands):

Valuation

    

    

Fair Value

    

Techniques

    

Significant Unobservable Inputs

 

Financial assets:

Impaired loans:

Land

$

50,000

 

Discounted cash flows

 

Discount rate

21.50

%

 

Revenue growth rate

3.00

%

Discount rate

11.25

%

Retail

11,473

Discounted cash flows

Capitalization rate

9.25

%

Revenue growth rate

3.00

%

 

Discount rate

11.00

%

Office

480

Discounted cash flows

 

Capitalization rate

9.00

%

 

Revenue growth rate

2.50

%

Derivative financial instruments:

Rate lock commitments

295

Discounted cash flows

W/A discount rate

13.31

%

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

Fair Value Measurements Using

Significant Unobservable Inputs

for the Year Ended December 31, 

2021

    

2020

    

2019

Derivative assets and liabilities, net

  

 

  

 

  

Beginning balance

$

1,967

$

1,066

$

324

Settlements

 

(112,836)

 

(164,654)

 

(83,992)

Realized gains recorded in earnings

 

110,869

 

163,588

 

83,668

Unrealized gains recorded in earnings

 

295

 

1,967

 

1,066

Ending balance

$

295

$

1,967

$

1,066

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

December 31, 2021

    

Principal Amount

    

Servicing Rights

    

Movement Effect

    

Adjustment

Rate lock commitments

$

11,250

$

295

$

(29)

$

266

Forward sale commitments

571,220

29

29

Loans held-for-sale, net (1)

1,077,239

19,386

19,386

Total

$

19,681

$

$

19,681

(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

$

11,981,048

$

12,181,194

$

$

$

12,181,194

Loans held-for-sale, net

1,093,609

1,117,085

1,097,699

19,386

Capitalized mortgage servicing rights, net

422,734

477,323

477,323

Securities held-to-maturity, net

140,484

149,911

149,911

Financial liabilities:

Credit and repurchase facilities

$

4,481,579

$

4,484,107

$

$

956,272

$

3,527,835

Collateralized loan obligations

 

5,892,810

 

5,914,453

 

 

 

5,914,453

Senior unsecured notes

 

1,280,545

 

1,301,708

 

1,301,708

 

 

Convertible senior unsecured notes, net

259,385

294,690

294,690

Junior subordinated notes

 

142,382

 

101,698

 

 

 

101,698