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Fair Value (Tables) | 3 Months Ended
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Mar. 31, 2023
Fair Value |
Schedule 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): ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | March 31, 2023 | ​ | December 31, 2022
​ | ​ | Principal / | ​ | Carrying | ​ | Estimated | ​ | Principal / | ​ | Carrying | ​ | Estimated
​ |  | Notional Amount |  | Value |  | Fair Value |  | Notional Amount |  | Value |  | Fair Value
Financial assets: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Loans and investments, net | ​ | $ | 13,643,724 | ​ | $ | 13,430,985 | ​ | $ | 13,634,147 | ​ | $ | 14,456,123 | ​ | $ | 14,254,674 | ​ | $ | 14,468,418
Loans held-for-sale, net | ​ | ​ | 468,738 | ​ | ​ | 469,602 | ​ | ​ | 483,727 | ​ | ​ | 368,066 | ​ | ​ | 354,070 | ​ | ​ | 362,054
Capitalized mortgage servicing rights, net | ​ | ​ | n/a | ​ | ​ | 396,634 | ​ | ​ | 502,282 | ​ | ​ | n/a | ​ | ​ | 401,471 | ​ | ​ | 530,913
Securities held-to-maturity, net | ​ | ​ | 232,541 | ​ | ​ | 153,888 | ​ | ​ | 140,963 | ​ | ​ | 234,255 | ​ | ​ | 156,547 | ​ | ​ | 144,571
Derivative financial instruments | ​ | ​ | 591,688 | ​ |  | 9,776 | ​ |  | 9,776 | ​ | ​ | 111,950 | ​ |  | 1,505 | ​ |  | 1,505
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Financial liabilities: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Credit and repurchase facilities | ​ | $ | 3,662,756 | ​ | $ | 3,650,876 | ​ | $ | 3,610,881 | ​ | $ | 3,856,009 | ​ | $ | 3,841,814 | ​ | $ | 3,828,192
Securitized debt | ​ | ​ | 7,541,518 | ​ |  | 7,508,472 | ​ |  | 7,326,912 | ​ | ​ | 7,886,066 | ​ |  | 7,849,270 | ​ |  | 7,560,541
Senior unsecured notes | ​ | ​ | 1,423,850 | ​ |  | 1,409,899 | ​ |  | 1,257,377 | ​ | ​ | 1,399,600 | ​ |  | 1,385,994 | ​ |  | 1,262,560
Convertible senior unsecured notes | ​ | ​ | 287,500 | ​ | ​ | 281,046 | ​ | ​ | 264,141 | ​ | ​ | 287,500 | ​ | ​ | 280,356 | ​ | ​ | 287,834
Junior subordinated notes | ​ | ​ | 154,336 | ​ |  | 143,322 | ​ |  | 104,595 | ​ | ​ | 154,336 | ​ |  | 143,128 | ​ |  | 103,977
Derivative financial instruments | ​ | ​ | 503,860 | ​ |  | 3,374 | ​ |  | 3,374 | ​ | ​ | 273,973 | ​ |  | 4,897 | ​ |  | 4,897
​
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 are determined using the following input levels at March 31, 2023 (in thousands): ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Fair Value Measurements Using Fair
​ | ​ | Carrying | ​ | ​ | ​ | ​ | Value Hierarchy
​ |  | Value |  | Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Financial assets: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Derivative financial instruments | ​ | $ | 9,776 | ​ | $ | 9,776 | ​ | $ | — | ​ | $ | 6,679 | ​ | $ | 3,097
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Financial liabilities: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Derivative financial instruments | ​ | $ | 3,374 | ​ | $ | 3,374 | ​ | $ | — | ​ | $ | 3,374 | ​ | $ | —
​
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, if applicable, are determined using the following input levels at March 31, 2023 (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 | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Loans held-for-investment (1) | ​ | $ | 98,419 | ​ | $ | 98,419 | ​ | $ | — | ​ | $ | — | ​ | $ | 98,419
Loans held-for-sale (2) | ​ | ​ | 41,068 | ​ | ​ | 41,068 | ​ | ​ | — | ​ | ​ | 41,068 | ​ | ​ | —
​ | ​ | $ | 139,487 | ​ | $ | 139,487 | ​ | $ | — | ​ | $ | 41,068 | ​ | $ | 98,419
(1) | We had an allowance for credit losses of $93.3 million relating to eight impaired loans with an aggregate carrying value, before loan loss reserves, of $191.8 million at March 31, 2023.
(2) | We had unrealized impairment losses of $1.6 million related to ten held-for-sale loans with an aggregate carrying value, before unrealized impairment losses, of $42.6 million.
Schedule of quantitative information about Level 3 fair value measurements | Quantitative information about Level 3 fair value measurements at March 31, 2023 is as follows ($ in thousands): ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ |  | Fair Value |  | Valuation 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 | ​ | 7.50 | %
Office | ​ | ​ | 36,674 | ​ | Discounted cash flows | ​ | Capitalization rate | ​ | 5.25 | %
​ | ​ | ​ | ​ | ​ | ​ | ​ | Revenue growth rate | ​ | 3.00 | %
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | Discount rate | ​ | 11.25 | %
Retail | ​ | ​ | 11,745 | ​ | Discounted cash flows | ​ | Capitalization rate | ​ | 9.25 | %
​ | ​ | ​ | ​ | ​ | ​ | ​ | Revenue growth rate | ​ | 3.00 | %
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Derivative financial instruments: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Rate lock commitments | ​ | ​ | 3,097 | ​ | Discounted cash flows | ​ | W/A discount rate | ​ | 13.27 | %
​
Schedule of roll forward of Level 3 derivative instruments | A roll-forward of Level 3 derivative instruments is as follows (in thousands): ​
​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Fair Value Measurements Using
​ | ​ | Significant Unobservable Inputs
​ | ​ | Three Months Ended March 31,
​ |  | 2023 |  | 2022
Derivative assets and liabilities, net | ​ | ​ | ​ | ​ | ​ | ​
Beginning balance | ​ | $ | 354 | ​ | $ | 295
Settlements | ​ | ​ | (15,066) | ​ | ​ | (13,683)
Realized gains recorded in earnings | ​ | ​ | 14,712 | ​ | ​ | 13,388
Unrealized gains recorded in earnings | ​ | ​ | 3,097 | ​ | ​ | 1,355
Ending balance | ​ | $ | 3,097 | ​ | $ | 1,355
​
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): ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Unrealized | ​ | ​ | ​
​ | ​ | Notional/ | ​ | Fair Value of | ​ | Interest Rate | ​ | Impairement | ​ | Total Fair Value
March 31, 2023 |  | Principal Amount |  | Servicing Rights |  | Movement Effect |  | Loss |  | Adjustment
Rate lock commitments | ​ | $ | 334,722 | ​ | $ | 3,097 | ​ | $ | 1,185 | ​ | $ | — | ​ | $ | 4,282
Forward sale commitments | ​ | ​ | 760,826 | ​ | ​ | — | ​ | ​ | (1,185) | ​ | ​ | — | ​ | ​ | (1,185)
Loans held-for-sale, net (1) | ​ | ​ | 468,738 | ​ | ​ | 7,388 | ​ | ​ | — | ​ | ​ | (1,565) | ​ | ​ | 5,823
Total | ​ | ​ | ​ | ​ | $ | 10,485 | ​ | $ | — | ​ | $ | (1,565) | ​ | $ | 8,920
(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 value of these assets and liabilities are determined using the following input levels at March 31, 2023 (in thousands): ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | Fair Value Measurements Using Fair Value Hierarchy
​ |  | Carrying Value |  | Fair Value |  | Level 1 |  | Level 2 |  | Level 3
Financial assets: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Loans and investments, net | ​ | $ | 13,430,985 | ​ | $ | 13,634,147 | ​ | $ | — | ​ | $ | — | ​ | $ | 13,634,147
Loans held-for-sale, net | ​ | ​ | 469,602 | ​ | ​ | 483,727 | ​ | ​ | — | ​ | ​ | 476,339 | ​ | ​ | 7,388
Capitalized mortgage servicing rights, net | ​ | ​ | 396,634 | ​ | ​ | 502,282 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 502,282
Securities held-to-maturity, net | ​ | ​ | 153,888 | ​ | ​ | 140,963 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 140,963
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Financial liabilities: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Credit and repurchase facilities | ​ | $ | 3,650,876 | ​ | $ | 3,610,881 | ​ | $ | — | ​ | $ | 421,985 | ​ | $ | 3,188,896
Securitized debt | ​ |  | 7,508,472 | ​ |  | 7,326,912 | ​ |  | — | ​ |  | — | ​ |  | 7,326,912
Senior unsecured notes | ​ |  | 1,409,899 | ​ |  | 1,257,377 | ​ |  | 1,257,377 | ​ |  | — | ​ |  | —
Convertible senior unsecured notes | ​ | ​ | 281,046 | ​ | ​ | 264,141 | ​ | ​ | — | ​ | ​ | 264,141 | ​ | ​ | —
Junior subordinated notes | ​ |  | 143,322 | ​ |  | 104,595 | ​ |  | — | ​ |  | — | ​ |  | 104,595

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- Definition 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. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19279-110258 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2C -URI https://asc.fasb.org/extlink&oid=126976982&loc=SL7498348-110258 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bb) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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- Definition 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). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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