Fair Value (Tables)

9 Months Ended

Sep. 30, 2022

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):

	September 30, 2022						December 31, 2021
	Principal /		Carrying		Estimated		Principal /		Carrying		Estimated
	Notional Amount		Value		Fair Value		Notional Amount		Value		Fair Value
Financial assets:
Loans and investments, net	$	14,989,643	$	14,791,426	$	14,993,875	$	12,158,995	$	11,981,048	$	12,181,194
Loans held-for-sale, net		552,306		543,876		554,044		1,077,239		1,093,609		1,117,085
Capitalized mortgage servicing rights, net		n/a		403,886		530,859		n/a		422,734		477,323
Securities held-to-maturity, net		236,712		157,818		150,027		210,728		140,484		149,911
Derivative financial instruments		187,082		4,206		4,206		280,654		1,665		1,665
Financial liabilities:
Credit and repurchase facilities	$	4,642,911	$	4,633,132	$	4,622,672	$	4,493,699	$	4,481,579	$	4,484,107
Collateralized loan obligations		8,009,329		7,971,996		7,800,210		5,924,705		5,892,810		5,914,453
Senior unsecured notes		1,295,750		1,283,527		1,165,125		1,295,750		1,280,545		1,301,708
Convertible senior unsecured notes, net		353,608		346,040		327,244		264,000		259,385		294,690
Junior subordinated notes		154,336		142,933		103,402		154,336		142,382		101,698
Derivative financial instruments		464,506		23,239		23,239		301,816		1,482		1,482

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 September 30, 2022 (in thousands):

					Fair Value Measurements Using Fair
	Carrying				Value Hierarchy
	Value		Fair Value		Level 1		Level 2		Level 3
Financial assets:
Derivative financial instruments	$	4,206	$	4,206	$	—	$	2,652	$	1,554
Financial liabilities:
Derivative financial instruments	$	23,239	$	23,239	$	—	$	23,239	$	—

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 September 30, 2022 (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)	$	61,745	$	61,745	$	—	$	—	$	61,745
Loans held-for-sale (2)		123,705		123,705		—		123,705		—
	$	185,450	$	185,450	$	—	$	123,705	$	61,745

(1) We had an allowance for credit losses of $85.4 million relating to seven impaired loans with an aggregate carrying value, before loan loss reserves, of $147.1 million at September 30, 2022.

(2) We recorded an impairment loss of $12.2 million related to 12 loans held-for-sale with an aggregate carrying value, before unrealized impairment losses, of $135.9 million.

Schedule of quantitative information about Level 3 fair value measurements

Quantitative information about Level 3 fair value measurements at September 30, 2022 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	11.25	%
Retail		11,745	Discounted cash flows	Capitalization rate	9.25	%
				Revenue growth rate	3.00	%
Derivative financial instruments:
Rate lock commitments		1,554	Discounted cash flows	W/A discount rate	13.24	%

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				Fair Value Measurements Using
	Significant Unobservable Inputs				Significant Unobservable Inputs
	Three Months Ended September 30,				Nine Months Ended September 30,
	2022		2021		2022		2021
Derivative assets and liabilities, net
Beginning balance	$	1,035	$	124	$	295	$	1,967
Settlements		(16,554)		(23,412)		(47,491)		(81,486)
Realized gains recorded in earnings		15,519		23,288		47,196		79,519
Unrealized gains recorded in earnings		1,554		707		1,554		707
Ending balance	$	1,554	$	707	$	1,554	$	707

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		Impairemnt		Total Fair Value
September 30, 2022	Principal Amount		Servicing Rights		Movement Effect		Loss		Adjustment
Rate lock commitments	$	117,575	$	1,554	$	(2,434)	$	—	$	(880)
Forward sale commitments		534,013		—		2,434		—		2,434
Loans held-for-sale, net (1)		552,306		7,411		—		(12,163)		(4,752)
Total			$	8,965	$	—	$	(12,163)	$	(3,198)

(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 September 30, 2022 (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	$	14,791,426	$	14,993,875	$	—	$	—	$	14,993,875
Loans held-for-sale, net		543,876		554,044		—		546,633		7,411
Capitalized mortgage servicing rights, net		403,886		530,859		—		—		530,859
Securities held-to-maturity, net		157,818		150,027		—		—		150,027
Financial liabilities:
Credit and repurchase facilities	$	4,633,132	$	4,622,672	$	—	$	511,513	$	4,111,159
Collateralized loan obligations		7,971,996		7,800,210		—		—		7,800,210
Senior unsecured notes		1,283,527		1,165,125		1,165,125		—		—
Convertible senior unsecured notes, net		346,040		327,244		—		327,244		—
Junior subordinated notes		142,933		103,402		—		—		103,402