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Fair Value (Tables) | 9 Months Ended
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Sep. 30, 2023
Fair Value Disclosures [Abstract] |
Schedule of Principal Amounts, Carrying Values, and Estimated Fair Values of Financial Instruments | The following table summarizes the principal amounts, carrying values and the estimated fair values of our financial instruments (in thousands):
| September 30, 2023 |  | December 31, 2022
| Principal / Notional Amount |  | Carrying Value |  | Estimated Fair Value |  | Principal / Notional Amount |  | Carrying Value |  | Estimated Fair Value
Financial assets: |  |  |  |  |  |  |  |  |  |  |
Loans and investments, net | $ | 13,122,395 |  |  | $ | 12,892,796 |  |  | $ | 12,911,172 |  |  | $ | 14,456,123 |  |  | $ | 14,254,674 |  |  | $ | 14,468,418 |
Loans held-for-sale, net | 368,330 |  |  | 364,320 |  |  | 374,534 |  |  | 368,066 |  |  | 354,070 |  |  | 362,054 |
Capitalized mortgage servicing rights, net | n/a |  | 392,203 |  |  | 538,078 |  |  | n/a |  | 401,471 |  |  | 530,913 |
Securities held-to-maturity, net | 231,577 |  |  | 155,172 |  |  | 126,608 |  |  | 234,255 |  |  | 156,547 |  |  | 144,571 |
Derivative financial instruments | 130,778 |  |  | 3,341 |  |  | 3,341 |  |  | 111,950 |  |  | 1,505 |  |  | 1,505 |
Financial liabilities: |  |  |  |  |  |  |  |  |  |  |
Credit and repurchase facilities | $ | 3,398,451 |  |  | $ | 3,391,441 |  |  | $ | 3,382,933 |  |  | $ | 3,856,009 |  |  | $ | 3,841,814 |  |  | $ | 3,828,192 |
Securitized debt | 7,029,202 |  |  | 7,004,634 |  |  | 6,899,147 |  |  | 7,886,066 |  |  | 7,849,270 |  |  | 7,560,541 |
Senior unsecured notes | 1,345,000 |  |  | 1,332,926 |  |  | 1,211,633 |  |  | 1,399,600 |  |  | 1,385,994 |  |  | 1,262,560 |
Convertible senior unsecured notes | 287,500 |  |  | 282,428 |  |  | 290,019 |  |  | 287,500 |  |  | 280,356 |  |  | 287,834 |
Junior subordinated notes | 154,336 |  |  | 143,695 |  |  | 105,821 |  |  | 154,336 |  |  | 143,128 |  |  | 103,977 |
Derivative financial instruments | 431,678 |  |  | 8,161 |  |  | 8,161 |  |  | 273,973 |  |  | 4,897 |  |  | 4,897 |
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis | The fair values of these financial assets and liabilities are determined using the following input levels at September 30, 2023 (in thousands):
| Carrying Value |  | Fair Value |  | Fair Value Measurements Using Fair Value Hierarchy
|  |  | Level 1 |  | Level 2 |  | Level 3
Financial assets: |  |  |  |  |  |  |  |  |
Derivative financial instruments | $ | 3,341 |  |  | $ | 3,341 |  |  | $ | — |  |  | $ | 2,379 |  |  | $ | 962 |
Financial liabilities: |  |  |  |  |  |  |  |  |
Derivative financial instruments | $ | 8,161 |  |  | $ | 8,161 |  |  | $ | — |  |  | $ | 8,161 |  |  | $ | — |
Fair Value Measurements, Nonrecurring | The fair values of these financial and non-financial assets, if applicable, are determined using the following input levels at September 30, 2023 (in thousands):
| Net Carrying Value |  | Fair Value |  | Fair Value Measurements Using Fair Value Hierarchy
|  |  | Level 1 |  | Level 2 |  | Level 3
Financial assets: |  |  |  |  |  |  |  |  |
Impaired loans, net |  |  |  |  |  |  |  |  |
Loans held-for-investment (1) | $ | 169,171 |  |  | $ | 169,171 |  |  | $ | — |  |  | $ | — |  |  | $ | 169,171 |
Loans held-for-sale (2) | 17,169 |  |  | 17,169 |  |  | — |  |  | 17,169 |  |  | — |
| $ | 186,340 |  |  | $ | 186,340 |  |  | $ | — |  |  | $ | 17,169 |  |  | $ | 169,171 |
________________________ (1)We had an allowance for credit losses of $111.1 million relating to thirteen impaired loans with an aggregate carrying value, before loan loss reserves, of $280.3 million at September 30, 2023. (2)We had unrealized impairment losses of $2.9 million related to six held-for-sale loans with an aggregate carrying value, before unrealized impairment losses, of $20.1 million.
Fair Value Measurement Inputs and Valuation Techniques | Quantitative information about Level 3 fair value measurements at September 30, 2023 is as follows ($ in thousands):
| Fair Value |  | Valuation Techniques |  | Significant Unobservable Inputs
Financial assets: |  |  |  |  |  |  |
Impaired loans: |  |  |  |  |  |  |
Multifamily | $ | 70,246 |  |  | Discounted cash flows |  | Capitalization rate |  | 6.53 | %
Land | 50,000 |  |  | Discounted cash flows |  | Discount rate |  | 21.50 | %
|  |  |  |  | Revenue growth rate |  | 3.00 | %
|  |  |  |  | Discount rate |  | 7.50 | %
Office | 37,074 |  |  | Discounted cash flows |  | Capitalization rate |  | 5.25 | %
|  |  |  |  | Revenue growth rate |  | 3.00 | %
|  |  |  |  | Discount rate |  | 11.25 | %
Retail | 11,851 |  |  | Discounted cash flows |  | Capitalization rate |  | 9.25 | %
|  |  |  |  | Revenue growth rate |  | 3.00 | %
Derivative financial instruments: |  |  |  |  |  |  |
Rate lock commitments | 962 |  |  | Discounted cash flows |  | W/A discount rate |  | 12.27 | %
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 September 30, |  | Nine Months Ended September 30,
| 2023 |  | 2022 |  | 2023 |  | 2022
Derivative assets and liabilities, net |  |  |  |  |  |  |
Beginning balance | $ | 757 |  |  | $ | 1,035 |  |  | $ | 354 |  |  | $ | 295 |
Settlements | (13,369) |  |  | (16,554) |  |  | (46,123) |  |  | (47,491) |
Realized gains recorded in earnings | 12,612 |  |  | 15,519 |  |  | 45,769 |  |  | 47,196 |
Unrealized gains recorded in earnings | 962 |  |  | 1,554 |  |  | 962 |  |  | 1,554 |
Ending balance | $ | 962 |  |  | $ | 1,554 |  |  | $ | 962 |  |  | $ | 1,554 |
Schedule of Components of Fair 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):
September 30, 2023 |  | Notional/ Principal Amount |  | Fair Value of Servicing Rights |  | Interest Rate Movement Effect |  | Unrealized Impairment Loss |  | Total Fair Value Adjustment
Rate lock commitments |  | $ | 107,093 |  |  | $ | 962 |  |  | $ | (2,339) |  |  | $ | — |  |  | $ | (1,377) |
Forward sale commitments |  | 455,363 |  |  | — |  |  | 2,339 |  |  | — |  |  | 2,339 |
Loans held-for-sale, net (1) |  | 368,330 |  |  | 4,302 |  |  | — |  |  | (2,891) |  |  | 1,411 |
Total |  |  |  | $ | 5,264 |  |  | $ | — |  |  | $ | (2,891) |  |  | $ | 2,373 |
________________________ (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.
Fair Value Measurements, Recurring and Nonrecurring | The fair value of these assets and liabilities are determined using the following input levels at September 30, 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 | $ | 12,892,796 |  |  | $ | 12,911,172 |  |  | $ | — |  |  | $ | — |  |  | $ | 12,911,172 |
Loans held-for-sale, net | 364,320 |  |  | 374,534 |  |  | — |  |  | 370,232 |  |  | 4,302 |
Capitalized mortgage servicing rights, net | 392,203 |  |  | 538,078 |  |  | — |  |  | — |  |  | 538,078 |
Securities held-to-maturity, net | 155,172 |  |  | 126,608 |  |  | — |  |  | — |  |  | 126,608 |
Financial liabilities: |  |  |  |  |  |  |  |  |
Credit and repurchase facilities | $ | 3,391,441 |  |  | $ | 3,382,933 |  |  | $ | — |  |  | $ | 354,586 |  |  | $ | 3,028,347 |
Securitized debt | 7,004,634 |  |  | 6,899,147 |  |  | — |  |  | — |  |  | 6,899,147 |
Senior unsecured notes | 1,332,926 |  |  | 1,211,633 |  |  | 1,211,633 |  |  | — |  |  | — |
Convertible senior unsecured notes | 282,428 |  |  | 290,019 |  |  | — |  |  | 290,019 |  |  | — |
Junior subordinated notes | 143,695 |  |  | 105,821 |  |  | — |  |  | — |  |  | 105,821 |

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