Fair Value (Tables)

3 Months Ended

Mar. 31, 2018

Fair Value

Summary 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, 2018						December 31, 2017
	Principal / Notional Amount		Carrying Value		Estimated Fair Value		Principal / Notional Amount		Carrying Value		Estimated Fair Value
Financial assets:
Loans and investments, net	$	2,776,422	$	2,702,097	$	2,774,333	$	2,652,538	$	2,579,127	$	2,652,520
Loans held-for-sale, net	281,761		286,325		292,153		292,249		297,443		302,883
Capitalized mortgage servicing rights, net	n/a		255,732		299,392		n/a		252,608		286,073
Securities held-to-maturity, net	52,673		36,764		37,273		40,566		27,837		28,439
Derivative financial instuments	292,411		2,763		2,763		77,984		684		684
Financial liabilities:
Credit and repurchase facilities	$	629,724	$	626,063	$	628,510	$	530,938	$	528,573	$	529,992
Collateralized loan obligations	1,436,274		1,419,838		1,438,567		1,436,274		1,418,422		1,436,871
Debt fund	70,000		68,176		70,139		70,000		68,084		70,000
Senior unsecured notes	197,860		196,090		198,995		97,860		95,280		99,582
Convertible senior unsecured notes, net	243,750		232,577		254,727		243,750		231,287		254,335
Junior subordinated notes	154,336		139,760		94,638		154,336		139,590		94,215
Related party financing	—		—		—		50,000		50,000		49,682
Derivative financial instruments	57,850		300		300		291,421		1,306		1,306

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 were determined using the following input levels as of March 31, 2018 (in thousands):

					Fair Value Measurements Using Fair Value Hierarchy
	Carrying Value		Fair Value		Level 1		Level 2		Level 3
Financial assets:
Derivative financial instruments	$	2,763	$	2,763	$	—	$	2,046	$	717
Financial liabilities:
Derivative financial instruments	$	300	$	300	$	—	$	300	$	—

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 were determined using the following input levels as of March 31, 2018 (in thousands):

					Fair Value Measurements Using Fair Value Hierarchy
	Net Carrying Value		Fair Value		Level 1		Level 2		Level 3
Financial assets:
Impaired loans, net (1 )	$	100,798	$	100,798	$	—	$	—	$	100,798

(1) We had an allowance for loan losses of $63.1 million relating to five loans with an aggregate carrying value, before loan loss reserves, of $163.9 million at March 31, 2018.

Schedule of quantitative information about Level 3 fair value measurements

Quantitative information about Level 3 fair value measurements at March 31, 2018 were as follows ($ in thousands):

			Valuation
	Fair Value		Techniques	Significant Unobservable Inputs
Financial assets:
Impaired loans:
				Discount rate	15.00	%
Land	$	70,965	Discounted cash flows	Capitalization rate	7.25	%
				Revenue growth rate	3.00	%
				Discount rate	9.00	%
Hotel	29,050		Discounted cash flows	Capitalization rate	7.00	%
				Revenue growth rate	6.50	%
				Discount rate	11.00	%
Office	783		Discounted cash flows	Capitalization rate	9.00	%
				Revenue growth rate	2.50	%
Derivative financial instruments:
Rate lock commitments	717		Discounted cash flows	W/A discount rate	10.19	%

Schedule of roll forward of Level 3 derivative instruments

A roll-forward of Level 3 derivative instruments were as follows (in thousands):

	Fair Value Measurements Using Significant Unobservable Inputs
	Three Months Ended March 31,
	2018			2017
Derivative assets and liabilities, net
Balance at beginning of period	$	276		$	2,816
Settlements	(19,193		)	(19,649		)
Realized gains recorded in earnings	18,917			16,833
Unrealized gains recorded in earnings	717			381
Balance at end of period	$	717		$	381

Schedule of components of fair value and other relevant information

The following table presents 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 (in thousands):

March 31, 2018	Notional/ Principal Amount		Fair Value of Servicing Rights		Interest Rate Movement Effect			Total Fair Value Adjustment
Rate lock commitments	$	34,250	$	717	$	(278	)	$	439
Forward sale commitments	316,011		—		278			278
Loans held-for-sale, net (1)	281,761		5,200		—			5,200
Total			$	5,917	$	—		$	5,917

(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 was determined using the following input levels as of March 31, 2018 (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	$	2,702,097	$	2,774,333	$	—	$	—	$	2,774,333
Loans held-for-sale, net	286,325		292,153		—		286,953		5,200
Capitalized mortgage servicing rights, net	255,732		299,392		—		—		299,392
Securities held-to-maturity, net	36,764		37,273		—		—		37,273
Financial liabilities:
Credit and repurchase facilities	$	626,063	$	628,510	$	—	$	281,338	$	347,172
Collateralized loan obligations	1,419,838		1,438,567		—		—		1,438,567
Debt fund	68,176		70,139		—		—		70,139
Senior unsecured notes	196,090		198,995		98,995		100,000		—
Convertible senior unsecured notes, net	232,577		254,727		—		254,727		—
Junior subordinated notes	139,760		94,638		—		—		94,638