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Fair Value (Tables)
3 Months Ended
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