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Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2016

Fair Value Disclosures [Abstract]

Schedule of fair values and carrying values of assets and liabilities and the fair value level(s) associated with them

The following tables present the Company’s fair value hierarchies for financial assets and liabilities, including the balances associated with the consolidated CLOs, measured on a recurring basis:

	As of September 30, 2016
	Quoted prices in  active markets Level 1				Other significant  observable inputs  Level 2				Significant unobservable inputs Level 3				Fair value
Assets:
Trading assets:
Equity securities	$	44,669			$	—			$	—			$	44,669
CLO	—				—				1,660				1,660
Total trading securities	44,669				—				1,660				46,329
Derivative assets:
Interest rate lock commitments	—				—				5,560				5,560
TBA – mortgage backed securities	—				153				—				153
Credit derivatives	—				12,106				—				12,106
Total derivative assets	—				12,259				5,560				17,819
Total trading assets (included in other assets)	44,669				12,259				7,220				64,148
Available for sale securities:
Equity securities	792				—				48				840
U.S. Treasury securities and U.S. government agencies	—				7,802				—				7,802
Obligations of state and political subdivisions	—				58,071				—				58,071
Obligations of foreign governments	—				1,310				—				1,310
Certificates of deposit	893				—				—				893
Asset backed securities	—				1,513				—				1,513
Corporate bonds	—				66,766				—				66,766
Total available for sale securities	1,685				135,462				48				137,195
Investments in loans, at fair value:

	As of September 30, 2016
	Quoted prices in  active markets Level 1				Other significant  observable inputs  Level 2				Significant unobservable inputs Level 3				Fair value
Corporate loans	—				20,950				131,047				151,997
Mortgage loans held for sale	—				166,503				—				166,503
Non-performing loans	—				—				52,024				52,024
Other loans receivable	—				126				1,284				1,410
Total investments in loans, at fair value	—				187,579				184,355				371,934
Total financial instruments attributable to Non-CLOs included in consolidated assets	46,354				335,300				191,623				573,277
Financial instruments included in assets of consolidated CLOs:
Investments in loans, at fair value	—				241,125				693,697				934,822
Total financial instruments included in assets of consolidated CLOs	—				241,125				693,697				934,822
Total	$	46,354			$	576,425			$	885,320			$	1,508,099
Liabilities:
Trading liabilities:
U.S. Treasury securities	$	—			$	—			$	—			$	—
Total trading securities	—				—				—				—
Derivative liabilities:
Interest rate swaps	—				3,116				—				3,116
TBA-mortgage backed securities	—				855				—				855
Total derivative liabilities	—				3,971				—				3,971
Total trading liabilities (included in other liabilities)	—				3,971				—				3,971
Contingent consideration payable	—				—				575				575
Preferred notes payable	—				—				1,284				1,284
Total financial instruments attributable to Non-CLOs included in consolidated liabilities	—				3,971				1,859				5,830
Financial instruments included in liabilities of consolidated CLOs:
Notes payable of CLOs	—				—				927,982				927,982
Total financial instruments included in liabilities of consolidated CLOs	—				—				927,982				927,982
Total	$	—			$	3,971			$	929,841			$	933,812

	As of December 31, 2015
	Quoted prices in  active markets Level 1				Other significant  observable inputs  Level 2				Significant unobservable inputs Level 3				Fair value
Assets:
Trading assets:
Equity securities	$	3,786			$	—			$	8,941			$	12,727
Tax exempt securities	—				1,732				8,314				10,046
CLO	—				—				1,768				1,768

	As of December 31, 2015
	Quoted prices in  active markets Level 1				Other significant  observable inputs  Level 2				Significant unobservable inputs Level 3				Fair value
Total trading securities	3,786				1,732				19,023				24,541
Derivative assets:
Interest rate lock commitments	—				—				3,384				3,384
TBA - mortgage backed securities	—				179				—				179
Forward delivery contracts	—				—				11				11
Credit derivatives	—				11,945				—				11,945
Total derivative assets	—				12,124				3,395				15,519
Total trading assets (included in other assets)	3,786				13,856				22,418				40,060
Available for sale securities:
Equity securities	6,060				—				48				6,108
U.S. Treasury securities and U.S. government agencies	—				53,136				—				53,136
Obligations of state and political subdivisions	—				52,335				—				52,335
Obligations of foreign governments	—				2,864				—				2,864
Certificates of deposit	893				—				—				893
Asset backed securities	—				1,529				—				1,529
Corporate bonds	—				67,838				—				67,838
Total available for sale securities	6,953				177,702				48				184,703
Investments in loans, at fair value
Corporate loans	—				55,956				177,905				233,861
Mortgage loans held for sale	—				120,836				—				120,836
Non-performing loans	—				—				38,289				38,289
Other loans receivable	—				125				1,284				1,409
Total investments in loans, at fair value	—				176,917				217,478				394,395
Total financial instruments attributable to Non-CLOs included in consolidated assets	10,739				368,475				239,944				619,158
Financial instruments included in assets of consolidated CLOs:
Investments in loans, at fair value	—				159,892				520,892				680,784
Total financial instruments included in assets of consolidated CLOs	—				159,892				520,892				680,784
Total	$	10,739			$	528,367			$	760,836			$	1,299,942
Liabilities:
Trading liabilities:
U.S. Treasury securities	$	—			$	19,679			$	—			$	19,679
Total trading securities	—				19,679				—				19,679
Derivative liabilities:
Interest rate swaps	—				2,310				—				2,310
Forward delivery contracts	—				8				—				8
TBA-mortgage backed securities	—				150				—				150
Foreign currency forward contracts	—				5				—				5
Total derivative liabilities	—				2,473				—				2,473
Total trading liabilities (included in other liabilities)	—				22,152				—				22,152

	As of December 31, 2015
	Quoted prices in  active markets Level 1				Other significant  observable inputs  Level 2				Significant unobservable inputs Level 3				Fair value
Contingent consideration payable	—				—				936				936
Preferred notes payable	—				—				1,562				1,562
Total financial instruments attributable to Non-CLOs included in consolidated liabilities	—				22,152				2,498				24,650
Financial instruments included in liabilities of consolidated CLOs:
Notes payable of CLOs	—				—				683,827				683,827
Total financial instruments included in liabilities of consolidated CLOs	—				—				683,827				683,827
Total	$	—			$	22,152			$	686,325			$	708,477

Schedule of additional information about assets that are measured at fair value on a recurring basis for which the company utilized Level 3 inputs to determine fair value

The following table represents additional information about assets that are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value for the following periods:

	Nine Months Ended September 30,
	2016								2015
	Non-CLO assets				CLO assets				Non-CLO assets				CLO assets				Assets held for sale
Balance at January 1,	$	239,944			$	520,892			$	11,577			$	576,811			$	3,771,458
Net realized gains (losses)	17,185				534				11,469				698				—
Net unrealized gains (losses)	7,623				15,067				677				(4,306		)		—
Purchases	38,053				77,373				37,234				13,625				141,292
Sales	(55,786		)		(78,206		)		(1,437		)		(63,214		)		(3,967,798		)
Issuances	1,400				1,436				2				550				—
Transfer into Level 3 (1)	86,170				118,718				71,547				136,806				—
Transfer adjustments (out of) Level 3 (1)	(28,572		)		(66,215		)		(12,354		)		(152,636		)		—
Adoption of ASU 2015-02	—				—				—				(328,411		)		—
Attributable to policyowner	—				—				—				—				55,048
Conversion to real estate owned and mortgage held for sale	(10,296		)		—				(817		)		—				—
Warehouse transfer to CLO	(104,098		)		104,098				—				—				—
Balance at September 30,	$	191,623			$	693,697			$	117,898			$	179,923			$	—
Changes in unrealized gains (losses) included in earnings related to assets still held at period end	$	2,123			$	10,372			$	162			$	(1,020	)		$	—

(1) All transfers are deemed to occur at end of period. Transfers between Level 2 and 3 were a result of subjecting third-party pricing on both CLO and Non-CLO assets to various liquidity, depth, bid-ask spread and benchmarking criteria as well as assessing the availability of observable inputs affecting their fair valuation.

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]

The following table represents additional information about liabilities that are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value for the following periods:

	Nine Months Ended September 30,
	2016								2015
	Non-CLO Liabilities				CLO Liabilities				Non-CLO Liabilities				CLO Liabilities
Balance at January 1,	$	2,498			$	683,827			$	2,802			$	1,785,207
Net unrealized gains (losses)	(262		)		23,169				—				19,681
Purchases	—				—				—				—
Sales	—				—				—				—
Issuances	—				222,303				—				(41,272		)
Settlements	(377		)		—				—				—
Dispositions	—				(1,317		)		—				(31,155		)
Adoption of ASU 2015-02	—				—				—				(1,032,913		)
Balance at September 30,	$	1,859			$	927,982			$	2,802			$	699,548
Changes in unrealized (losses) gains included in earnings related to liabilities still held at period end	$	(262	)		$	23,169			$	—			$	7,248

Schedule of quantitative information of Level 3 significant unobservable inputs used in fair valuation of assets

The following is quantitative information about Level 3 significant unobservable inputs used in fair valuation. Disclosure of this information is not required in circumstances where a valuation (unadjusted) is obtained from a third-party pricing service and the information regarding the unobservable inputs is not readily available to the Company.

	Fair Value as of												Actual or Range (Weighted average)
Assets (1)	September 30, 2016				December 31, 2015				Valuation Technique		Unobservable input(s)		September 30, 2016		December 31, 2015
Tax exempt security	$	—			$	121			Discounted cash flow		Short term cash flows		N/A		0.0%
Tax exempt security	—				8,193				Market yield analysis		Yield to maturity		N/A		6.50%
Interest rate lock commitments	5,560				3,384				Internal model		Pull through rate		45% - 95%		55% - 95%
Forward delivery contracts	—				11				Internal model		Pull through rate		N/A		80% - 100%
NPLs	52,024				38,289				Discounted cash flow		See table below (2)		See table below		See table below
Total	$	57,584			$	49,998

(1) Financial assets classified as Level 3 and fair valued using significant unobservable inputs classified as Level 3 have not been provided as these are not readily available to the Company (including servicing release premium for interest rate lock commitments and forward delivery contracts).

(2) Significant changes in any of these inputs in isolation could result in a significant change to the fair value measurement. A decline in the discount rate in isolation would increase the fair value. A decrease in the housing pricing index in isolation would decrease the fair value. Individual loan characteristics, such as location and value of underlying collateral, affect the loan resolution timeline. An increase in the loan resolution timeline in isolation would decrease the fair value. A decrease in the value of underlying properties in isolation would decrease the fair value.

The following table sets forth quantitative information about the significant unobservable inputs used to measure the fair value of our NPLs as of the following periods:

		As of September 30, 2016						As of December 31, 2015
Unobservable inputs		High		Low		Average(1)		High		Low		Average(1)
Discount rate		30.0%		16.0%		22.5%		30.0%		15.1%		22.0%
Loan resolution time-line (Years)		2.15		0.45		1.08		2.7		0.6		1.2
Value of underlying properties		$1,250		$32		$220		$1,375		$40		$224
Holding costs		18.8%		5.2%		9.5%		24.6%		5.5%		9.6%
Liquidation costs		25.0%		8.2%		10.6%		21.8%		7.5%		10.5%

(1) Weighted based on value of underlying properties.

Schedule of quantitative information of Level 3 significant unobservable inputs used in fair valuation of liabilities

	Fair Value as of												Actual or Range (Weighted average)
Liabilities (1)	September 30, 2016				December 31, 2015				Valuation Technique		Unobservable input(s)		September 30, 2016		December 31, 2015
Contingent consideration payable - Reliance	$	523			$	900			Internal model		Forecast EBITDA		$1,369 - $3,812		$1,326 - $3,517
											Book value growth rate		5.0%		5.0%
											Asset volatility		1.1% - 21.4%		2.4% - 20.1%
Contingent consideration payable - Luxury	52				36				Internal model		Projected cash available for distribution		$854 - $1,281		$828 - $1,281
Preferred notes payable	1,284				1,562				Internal model		Discount rate		13.96%		12.0%
Total	$	1,859			$	2,498

(1) Not included in this table are the debt obligations of consolidated CLOs, measured and leveled on the basis of the fair value of the (more observable) financial assets of the consolidated CLOs. See Note—(15) Assets and Liabilities of Consolidated CLOs.

Schedule of fair values and carrying values of financial assets and liabilities, and fair value hierarchy

The following table presents the carrying amounts and estimated fair values of financial assets and liabilities that are not recorded at fair value on a recurring or non-recurring basis and their respective levels within the fair value hierarchy:

	As of September 30, 2016										As of December 31, 2015
	Level within Fair Value Hierarchy		Fair Value				Carrying Value				Level within Fair Value Hierarchy		Fair Value				Carrying Value
Assets:
Notes receivable, net	2		$	26,353			$	27,665			2		$	20,250			$	21,696
Total Assets			$	26,353			$	27,665					$	20,250			$	21,696
Liabilities:
Debt, net	3		$	785,091			$	780,671			3		$	672,096			$	671,648
Total Liabilities			$	785,091			$	780,671					$	672,096			$	671,648

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- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

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