XML 46 R34.htm IDEA: XBRL DOCUMENT

LOANS (Tables)

3 Months Ended

Mar. 31, 2021

SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract]

The following table presents the activity of the Company’s loan investments, including loans held for sale and excluding loans transferred or pledged to securitization vehicles, for the three months ended March 31, 2021:


	Residential		Commercial		Corporate Debt		Total
	(dollars in thousands)
Beginning balance January 1, 2021	$	345,810	$	498,081	$	2,239,930	$	3,083,821

Purchases / originations	467,307		114,467		71,493		653,267
Sales and transfers (1)	(267,551)		(536,829)		(45,776)		(850,156)



Principal payments	(10,281)		(63,959)		(201,247)		(275,487)
Gains / (losses) (2)	(5,164)		(12,199)		6,186		(11,177)
(Amortization) / accretion	(1,253)		439		3,889		3,075

Ending balance March 31, 2021	$	528,868	$	—	$	2,074,475	$	2,603,343

(1) Includes securitizations, syndications, transfers to securitization vehicles and commercial loan transfers to assets of disposal group held for sale. Includes transfer of residential loans to securitization vehicles with a carrying value of $257.1 million during the three months ended March 31, 2021.
(2) Includes loan loss allowances.

Fair Value and Unpaid Principal of Residential Mortgage Loan Portfolio

The following table presents the fair value and the unpaid principal balances of the residential mortgage loan portfolio, including loans transferred or pledged to securitization vehicles, at March 31, 2021 and December 31, 2020:


	March 31, 2021		December 31, 2020
	(dollars in thousands)
Fair value	$	3,699,672	$	3,595,061
Unpaid principal balance	$	3,557,855	$	3,482,865

Summary of Comprehensive Income (Loss)

The following table provides information regarding the line items and amounts recognized in the Consolidated Statements of Comprehensive Income (Loss) for the three months ended March 31, 2021 and 2020 for these investments:


	For the Three Months Ended
	March 31, 2021		March 31, 2020
	(dollars in thousands)
Interest income	$	37,109	$	47,557
Net gains (losses) on disposal of investments and other	(5,220)		(12,000)
Net unrealized gains (losses) on instruments measured at fair value through earnings	22,455		(192,763)
Total included in net income (loss)	$	54,344	$	(157,206)

Geographic Concentrations Based on Unpaid Principal Balances

The following table provides the geographic concentrations based on the unpaid principal balances at March 31, 2021 and December 31, 2020 for the residential mortgage loans, including loans transferred or pledged to securitization vehicles:

Geographic Concentrations of Residential Mortgage Loans

March 31, 2021

December 31, 2020

Property location

% of Balance

Property location

% of Balance

California

51.0%

California

48.9%

New York

14.0%

New York

14.0%

Florida

6.0%

Florida

6.0%

All other (none individually greater than 5%)

29.0%

All other (none individually greater than 5%)

31.1%

Total

100.0%

The geographic concentrations of credit risk exceeding 5% of the total loan unpaid principal balances related to the Company’s VIEs, excluding the multifamily securitization, OBX Trusts and credit facility VIEs, at March 31, 2021 are as follows:

Securitized Loans at Fair Value Geographic Concentration of Credit Risk


Residential Trusts
	Property Location	Principal Balance		% of Balance

	California	$	16,549	45.9	%
	Illinois	4,799		13.3	%
	Texas	4,365		12.1	%
	Massachusetts	2,247		6.2	%
	Other (1)	8,074		22.5	%



	Total	$	36,034	100.0	%

(1) No individual state greater than 5%.

Residential Mortgage Loans

The following table provides additional data on the Company’s residential mortgage loans, including loans transferred or pledged to securitization vehicles, at March 31, 2021 and December 31, 2020:


	March 31, 2021		December 31, 2020
	Portfolio Range	Portfolio Weighted Average	Portfolio Range	Portfolio Weighted Average
	(dollars in thousands)
Unpaid principal balance	$1 - $3,448	$485	$1 - $3,448	$473
Interest rate	0.50% - 9.24%	4.85%	0.50% - 9.24%	4.89%
Maturity	7/1/2029 - 4/1/2061	12/11/2048	7/1/2029 - 1/1/2061	4/17/2046
FICO score at loan origination	505 - 829	754	505 - 829	755
Loan-to-value ratio at loan origination	8% - 104%	67%	8% - 104%	67%

Schedule of Commercial Mortgage Loans Held for Sale and Investment

The sector attributes of the Company’s commercial real estate investments held for sale at March 31, 2021 and held for investment at December 31, 2020 were as follows:


	Sector Dispersion
	March 31, 2021				December 31, 2020
	Carrying Value		% of Loan Portfolio		Carrying Value		% of Loan Portfolio
	(dollars in thousands)
Office	$	577,893	41.8	%	$	650,034	47.4	%
Retail	249,917		18.1	%	256,493		18.7	%
Multifamily	217,131		15.7	%	250,095		18.2	%
Hotel	130,578		9.4	%	115,536		8.4	%
Industrial	114,152		8.2	%	60,097		4.4	%
Other	75,306		5.4	%	20,302		1.5	%
Healthcare	19,145		1.4	%	19,873		1.4	%
Total	$	1,384,122	100.0	%	$	1,372,430	100.0	%

Commercial real estate investments held for sale at March 31, 2021 and held for investment at December 31, 2020 were comprised of the following:


	March 31, 2021						December 31, 2020
	Outstanding Principal		Carrying Value (1)		Percentage of Loan Portfolio (2)		Outstanding Principal		Carrying Value (1)		Percentage of Loan Portfolio (2)
	(dollars in thousands)
Senior mortgages	$	432,736	$	409,166	28.6	%	$	387,124	$	373,925	25.7	%
Senior securitized mortgages (3)	906,440		861,996		60.0	%	938,859		874,349		62.3	%
Mezzanine loans	171,639		112,960		11.4	%	181,261		124,156		12.0	%

Total	$	1,510,815	$	1,384,122	100.0	%	$	1,507,244	$	1,372,430	100.0	%

(1) Carrying value includes unamortized origination fees of $5.4 million and $4.9 million at March 31, 2021 and December 31, 2020, respectively.

(2) Based on outstanding principal.

(3) Represents assets of consolidated VIEs.

The following tables represent a rollforward of the activity for the Company’s commercial real estate investments held for sale at March 31, 2021 and held for investment at December 31, 2020:


March 31, 2021
	Senior Mortgages		Senior Securitized Mortgages (1)		Mezzanine Loans		Total
	(dollars in thousands)
Beginning balance (January 1, 2021) (2)	$	373,925	$	874,349	$	124,156	$	1,372,430

Originations & advances (principal)	115,569		69		301		115,939
Principal payments	(54,037)		(48,409)		(9,922)		(112,368)


Transfers (3)	(36,195)		(26,639)		(58,491)		(121,325)
Net (increase) decrease in origination fees	(1,403)		—		—		(1,403)

Amortization of net origination fees	396		477		43		916
Allowance for loan losses
Beginning allowance	(10,911)		(62,149)		(56,873)		(129,933)


Current period (allowance) reversal	10,911		62,149		56,873		129,933

Ending allowance	—		—		—		—
Net carrying value (March 31, 2021)	$	409,166	$	861,996	$	112,960	$	1,384,122


December 31, 2020
	Senior Mortgages		Senior Securitized Mortgages (1)		Mezzanine Loans		Total
	(dollars in thousands)
Beginning balance (January 1, 2020) (2)	$	499,690	$	936,378	$	182,726	$	1,618,794
Originations & advances (principal)	206,090		—		12,374		218,464
Principal payments	(77,344)		(144,308)		(78)		(221,730)
Principal write off	—		—		(7,000)		(7,000)


Transfers (3)	(245,120)		142,621		(7,100)		(109,599)
Net (increase) decrease in origination fees	(1,055)		(653)		(80)		(1,788)
Realized gain	204		—		—		204
Amortization of net origination fees	2,371		2,460		187		5,018
Allowance for loan losses
Beginning allowance, prior to CECL adoption	—		—		(12,703)		(12,703)
Impact of adopting CECL	(2,263)		(4,166)		(1,336)		(7,765)
Current period (allowance) reversal	(8,648)		(57,983)		(66,521)		(133,152)

Write offs	—		—		23,687		23,687
Ending allowance	(10,911)		(62,149)		(56,873)		(129,933)

Net carrying value (December 31, 2020)	$	373,925	$	874,349	$	124,156	$	1,372,430

(1) Represents assets of consolidated VIEs.
(2) Excludes loan loss allowances.
(3) Includes transfers to securitization vehicles.

Summary of Internal Risk Rating for Corporate Debt

The Company’s internal risk rating rubric for corporate debt has nine categories as depicted below:


Risk Rating - Corporate Debt			Description
1-5 / Performing			Meets all present contractual obligations.
6 / Performing - Closely Monitored			Meets all present contractual obligations but exhibits a defined weakness in either leverage or liquidity, but not both. Loans at this rating will require closer monitoring, but where we expect no loss of interest or principal.
7 / Substandard			A loan that has a defined weakness in either leverage and/or liquidity, and which may require substantial changes to strengthen the asset. Loans at this rating level have a higher probability of loss, although no determination of the amount or timing of a loss is yet possible.
8 / Doubtful			A loan that has missed a scheduled principal or interest payment or is otherwise deemed a non-earning account. The probability of loss is increasingly certain due to significant performance issues.
9 / Loss			Considered uncollectible.

Schedule of Industry and Rate Attributes of The Portfolio

The industry and rate attributes of the portfolio at March 31, 2021 and December 31, 2020 are as follows:


	Industry Dispersion
	March 31, 2021			December 31, 2020
		Total (1)		Total (1)
	(dollars in thousands)




Computer Programming, Data Processing & Other Computer Related Services		$	375,103	$	483,142
Management & Public Relations Services		291,581		300,869
Industrial Inorganic Chemicals		156,782		156,391


Public Warehousing & Storage		120,473		132,397

Metal Cans & Shipping Containers		115,907		115,670
Surgical, Medical & Dental Instruments & Supplies		82,831		83,161
Electronic Components & Accessories		78,257		78,129
Engineering, Architectural, and Surveying		77,156		77,308

Offices & Clinics of Doctors of Medicine		74,481		104,781
Miscellaneous Health & Allied Services, not elsewhere classified		70,295		77,163
Insurance Agents, Brokers and Service		65,624		67,193
Research, Development & Testing Services		62,218		62,008
Miscellaneous Food Preparations		59,009		58,857
Telephone Communications		58,694		58,450
Miscellaneous Equipment Rental & Leasing		49,641		49,587
Electric Work		40,390		41,128
Petroleum and Petroleum Products		33,836		33,890
Medical & Dental Laboratories		30,763		30,711
Schools & Educational Services, not elsewhere classified		29,183		29,040

Home Health Care Services		28,669		28,587
Metal Forgings & Stampings		27,689		27,523
Legal Services		26,358		26,399
Grocery Stores		22,906		22,895
Coating, Engraving and Allied Services		19,500		19,484
Miscellaneous Business Services		14,996		12,980
Chemicals & Allied Products		14,667		14,686
Mailing, Reproduction, Commercial Art and Photography and Stenographic		12,917		12,733
Drugs		12,622		12,942
Machinery, Equipment & Supplies		11,839		12,096

Offices and Clinics of Other Health Practitioners		10,088		9,730








Total		$	2,074,475	$	2,239,930

(1) All middle market lending positions are floating rate.

Aggregate Positions by Respective Place in the Capital Structure of the Borrowers

The table below reflects the Company’s aggregate positions by their respective place in the capital structure of the borrowers at March 31, 2021 and December 31, 2020.


	March 31, 2021		December 31, 2020
	(dollars in thousands)
First lien loans	$	1,431,882	$	1,489,125
Second lien loans	642,593		750,805



Total	$	2,074,475	$	2,239,930

Schedule of Corporate Loans Held for Investment

The following tables represent a rollforward of the activity for the Company’s corporate debt investments held for investment at March 31, 2021 and December 31, 2020:


March 31, 2021
	First Lien		Second Lien		Total
	(dollars in thousands)
Beginning balance (January 1, 2021) (1)	$	1,489,125	$	750,805	$	2,239,930

Originations & advances	56,939		14,554		71,493
Sales (2)	(21,328)		(24,448)		(45,776)
Principal payments	(96,247)		(105,000)		(201,247)
Amortization & accretion of (premium) discounts	1,708		2,181		3,889



Allowance for loan losses
Beginning allowance	(18,767)		(20,785)		(39,552)

Current period (allowance) reversal	1,685		4,501		6,186

Ending allowance	(17,082)		(16,284)		(33,366)

Net carrying value (March 31, 2021)	$	1,431,882	$	642,593	$	2,074,475

(1) Excludes loan loss allowances.

(2) Includes syndications.


December 31, 2020
	First Lien		Second Lien		Total
	(dollars in thousands)
Beginning balance (January 1, 2020) (1)	$	1,403,503	$	748,710	$	2,152,213
Originations & advances	834,211		227,433		1,061,644
Sales (2)	(273,887)		(79,203)		(353,090)
Principal payments	(444,759)		(132,000)		(576,759)
Amortization & accretion of (premium) discounts	8,374		3,832		12,206
Loan restructuring	(19,550)		2,818		(16,732)


Allowance for loan losses
Beginning allowance, prior to CECL adoption	(7,363)		—		(7,363)
Impact of adopting CECL	(10,787)		(18,866)		(29,653)
Current period (allowance) reversal	(12,510)		(1,919)		(14,429)
Write offs	11,893		—		11,893
Ending allowance	(18,767)		(20,785)		(39,552)

Net carrying value (December 31, 2020)	$	1,489,125	$	750,805	$	2,239,930

Debt Securities, Held-to-maturity, Amortized Costs Basis by Risk Rating and Vintage

The following table provides the amortized cost basis of corporate debt held for investment as of March 31, 2021 by vintage year and internal risk rating.


Amortized Cost Basis by Risk Rating and Vintage (1)
Risk Rating	Vintage
	Total		2021		2020		2019		2018		2017		2016		2015
(dollars in thousands)
1-5 / Performing	$	1,618,878	$	44,236	$	478,783	$	309,602	$	415,939	$	289,450	$	46,394	$	34,474
6 / Performing - Closely Monitored	374,004		2,931		26,358		21,567		259,057		64,091		—		—
7 / Substandard	81,593		—		11,839		26,173		43,581		—		—		—
8 / Doubtful	—		—		—		—		—		—		—		—
9 / Loss	—		—		—		—		—		—		—		—
Total	$	2,074,475	$	47,167	$	516,980	$	357,342	$	718,577	$	353,541	$	46,394	$	34,474

(1) The amortized cost basis excludes accrued interest and includes deferred fees on unfunded loans. As of March 31, 2021, the Company had $8.8 million of accrued interest receivable on corporate loans which is reported in Principal and interest receivable in the Consolidated Statements of Financial Condition and $1.1 million of deferred loan fees on unfunded loans, which is reported in Loans, net in the Consolidated Statements of Financial Condition.