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Use of Special Purpose Entities (SPE) and Variable Interest Entities (VIE) (Tables) | 3 Months Ended
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Mar. 31, 2019
Variable Interest Entity [Line Items] |
Schedule of Assets and Liabilities of Consolidated VIE's | The following table presents the carrying value and estimated fair value of the Company’s financial instruments at March 31, 2019 and December 31, 2018, respectively (dollar amounts in thousands):
|  |  | March 31, 2019 |  | December 31, 2018
| Fair Value Hierarchy Level |  | Carrying Value |  | Estimated Fair Value |  | Carrying Value |  | Estimated Fair Value
Financial Assets: |  |  |  |  |  |  |  |  |
Cash and cash equivalents | Level 1 |  | $ | 65,359 |  |  | $ | 65,359 |  |  | $ | 103,724 |  |  | $ | 103,724 |
Investment securities available for sale | Level 2 or 3 |  | 1,583,965 |  |  | 1,583,965 |  |  | 1,512,252 |  |  | 1,512,252 |
Distressed and other residential mortgage loans, at fair value | Level 3 |  | 875,566 |  |  | 875,566 |  |  | 737,523 |  |  | 737,523 |
Distressed and other residential mortgage loans, net | Level 3 |  | 262,193 |  |  | 264,476 |  |  | 285,261 |  |  | 289,376 |
Investments in unconsolidated entities | Level 3 |  | 92,364 |  |  | 92,961 |  |  | 73,466 |  |  | 73,833 |
Preferred equity and mezzanine loan investments | Level 3 |  | 175,128 |  |  | 177,602 |  |  | 165,555 |  |  | 167,739 |
Multi-family loans held in securitization trusts | Level 3 |  | 14,328,336 |  |  | 14,328,336 |  |  | 11,679,847 |  |  | 11,679,847 |
Derivative assets | Level 2 |  | 14,873 |  |  | 14,873 |  |  | 10,263 |  |  | 10,263 |
Mortgage loans held for sale, net (1) | Level 3 |  | 2,960 |  |  | 3,134 |  |  | 3,414 |  |  | 3,584 |
Mortgage loans held for investment (1) | Level 3 |  | 1,580 |  |  | 1,580 |  |  | 1,580 |  |  | 1,580 |
Financial Liabilities: |  |  |  |  |  |  |  |  |
Repurchase agreements | Level 2 |  | 2,273,005 |  |  | 2,273,005 |  |  | 2,131,505 |  |  | 2,131,505 |
Residential collateralized debt obligations | Level 3 |  | 49,247 |  |  | 47,004 |  |  | 53,040 |  |  | 50,031 |
Multi-family collateralized debt obligations | Level 3 |  | 13,547,195 |  |  | 13,547,195 |  |  | 11,022,248 |  |  | 11,022,248 |
Securitized debt | Level 3 |  | — |  |  | — |  |  | 42,335 |  |  | 45,030 |
Subordinated debentures | Level 3 |  | 45,000 |  |  | 45,011 |  |  | 45,000 |  |  | 44,897 |
Convertible notes | Level 2 |  | 131,301 |  |  | 136,693 |  |  | 130,762 |  |  | 135,689 |
(1) | Included in receivables and other assets in the accompanying condensed consolidated balance sheets.
Schedule of Securitized Debt Collateralized | The geographic concentrations of credit risk exceeding 5% of the total preferred equity and mezzanine loan investment amounts as of March 31, 2019 and December 31, 2018 are as follows:
| March 31, 2019 |  | December 31, 2018
Georgia | 14.6 | % |  | 15.3 | %
Texas | 11.9 | % |  | 16.6 | %
Alabama | 11.1 | % |  | 8.6 | %
Florida | 10.8 | % |  | 11.3 | %
Tennessee | 10.2 | % |  | 6.8 | %
South Carolina | 9.1 | % |  | 9.5 | %
Virginia | 8.6 | % |  | 9.1 | %
P referred equity and mezzanine loan investments consist of the following as of March 31, 2019 and December 31, 2018 (dollar amounts in thousands):
| March 31, 2019 |  | December 31, 2018
Investment amount | $ | 176,486 |  |  | $ | 166,789 |
Deferred loan fees, net | (1,358 | ) |  | (1,234 | )
Total | $ | 175,128 |  |  | $ | 165,555 |
The following table summarizes the Company’s securitized debt collateralized by multi-family CMBS or distressed residential mortgage loans as of December 31, 2018 (dollar amounts in thousands):
| Multi-family CMBS Re-securitization (1) |  | Distressed Residential Mortgage Loan Securitization
Principal Amount at December 31, 2018 | $ | 33,177 |  |  | $ | 12,381 |
Carrying Value at December 31, 2018 (2) | $ | 30,121 |  |  | $ | 12,214 |
Pass-through rate of notes issued | 5.35 | % |  | 4.00 | %
(1) | The Company engaged in the re-securitization transaction primarily for the purpose of obtaining non-recourse financing on a portion of its multi-family CMBS portfolio. As a result of engaging in this transaction, the Company remained economically exposed to the first loss position on the underlying multi-family CMBS transferred to the Consolidated VIE.
(2) | Presented net of unamortized deferred costs of $0.2 million related to the issuance of the securitized debt, which include underwriting, rating agency, legal, accounting and other fees.
Schedule of Contractual Maturities of Financing VIE's | The following table presents contractual maturity information about the Financing VIEs’ securitized debt as of December 31, 2018 (dollar amounts in thousands):
Scheduled Maturity (principal amount) | December 31, 2018
Within 24 months | $ | 12,381 |
Over 24 months to 36 months | — |
Over 36 months | 33,177 |
Total | 45,558 |
Discount | (2,983 | )
Debt issuance cost | (240 | )
Carrying value | $ | 42,335 |
As of March 31, 2019, maturities for debt on the Company's condensed consolidated balance sheet are as follows (dollar amounts in thousands):
Year Ending December 31, | Total
2019 | $ | 3,986 |
2020 | — |
2021 | — |
2022 | 138,000 |
2023 | — |
Thereafter | 45,000 |
| $ | 186,986 |
Schedule of Classification and Carrying Value of Unconsolidated VIEs [Table Text Block] | he following table presents the classification and carrying value of unconsolidated VIEs as of December 31, 2018 (dollar amounts in thousands):
| December 31, 2018
| Investment securities, available for sale, at fair value, held in securitization trusts |  | Receivables and other assets |  | Preferred equity and mezzanine loan investments |  | Investments in unconsolidated entities |  | Total
Multi-family CMBS | $ | 52,700 |  |  | $ | 72 |  |  | $ | — |  |  | $ | — |  |  | $ | 52,772 |
Preferred equity investments in multi-family properties | — |  |  | — |  |  | 154,629 |  |  | 40,472 |  |  | 195,101 |
Mezzanine loans on multi-family properties | — |  |  | — |  |  | 10,926 |  |  | — |  |  | 10,926 |
Equity investments in entities that invest in residential properties | — |  |  | — |  |  | — |  |  | 10,954 |  |  | 10,954 |
Total assets | $ | 52,700 |  |  | $ | 72 |  |  | $ | 165,555 |  |  | $ | 51,426 |  |  | $ | 269,753 |
The following table presents the classification and carrying value of unconsolidated VIEs as of March 31, 2019 (dollar amounts in thousands):
| March 31, 2019
| Preferred equity and mezzanine loan investments |  | Investments in unconsolidated entities |  | Total
Preferred equity investments in multi-family properties | $ | 164,533 |  |  | $ | 55,789 |  |  | $ | 220,322 |
Mezzanine loans on multi-family properties | 10,595 |  |  | — |  |  | 10,595 |
Equity investments in entities that invest in residential properties | — |  |  | 11,185 |  |  | 11,185 |
Total assets | $ | 175,128 |  |  | $ | 66,974 |  |  | $ | 242,102 |
Financing VIE |
Variable Interest Entity [Line Items] |
Schedule of Assets and Liabilities of Consolidated VIE's | The following table presents a summary of the assets and liabilities of the Residential CDOs, the Consolidated K-Series, and KRVI of as of March 31, 2019. Intercompany balances have been eliminated for purposes of this presentation.
| Financing VIE |  | Other VIEs |  |
| Residential Mortgage Loan Securitization |  | Multi-family CMBS |  | Other |  | Total
Cash and cash equivalents | $ | — |  |  | $ | — |  |  | $ | 712 |  |  | $ | 712 |
Residential mortgage loans held in securitization trusts, net | 52,869 |  |  | — |  |  | — |  |  | 52,869 |
Multi-family loans held in securitization trusts, at fair value | — |  |  | 14,328,336 |  |  | — |  |  | 14,328,336 |
Receivables and other assets | 1,203 |  |  | 47,186 |  |  | 20,225 |  |  | 68,614 |
Total assets | $ | 54,072 |  |  | $ | 14,375,522 |  |  | $ | 20,937 |  |  | $ | 14,450,531 |
Residential collateralized debt obligations | $ | 49,247 |  |  | $ | — |  |  | $ | — |  |  | $ | 49,247 |
Multi-family collateralized debt obligations, at fair value | — |  |  | 13,547,195 |  |  | — |  |  | 13,547,195 |
Mortgages and notes payable in consolidated variable interest entities | — |  |  | — |  |  | 3,986 |  |  | 3,986 |
Accrued expenses and other liabilities | 24 |  |  | 46,154 |  |  | 439 |  |  | 46,617 |
Total liabilities | $ | 49,271 |  |  | $ | 13,593,349 |  |  | $ | 4,425 |  |  | $ | 13,647,045 |
The following table presents the Consolidated K-Series, the Financing VIEs, KRVI, and The Clusters as of December 31, 2018.
| Financing VIEs |  | Other VIEs |  |
| Multi-family CMBS Re- securitization (1) |  | Distressed Residential Mortgage Loan Securitization (2) |  | Residential Mortgage Loan Securitization |  | Multi- family CMBS (3) |  | Other |  | Total
Cash and cash equivalents | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 708 |  |  | $ | 708 |
Investment securities available for sale, at fair value held in securitization trusts | 52,700 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 52,700 |
Residential mortgage loans held in securitization trusts, net | — |  |  | — |  |  | 56,795 |  |  | — |  |  | — |  |  | 56,795 |
Distressed residential mortgage loans held in securitization trusts, net | — |  |  | 88,096 |  |  | — |  |  | — |  |  | — |  |  | 88,096 |
Multi-family loans held in securitization trusts, at fair value | 1,107,071 |  |  | — |  |  | — |  |  | 10,572,776 |  |  | — |  |  | 11,679,847 |
Real estate held for sale in consolidated variable interest entities | — |  |  | — |  |  | — |  |  | — |  |  | 29,704 |  |  | 29,704 |
Receivables and other assets | 4,243 |  |  | 10,287 |  |  | 1,061 |  |  | 37,679 |  |  | 23,254 |  |  | 76,524 |
Total assets | $ | 1,164,014 |  |  | $ | 98,383 |  |  | $ | 57,856 |  |  | $ | 10,610,455 |  |  | $ | 53,666 |  |  | $ | 11,984,374 |
Residential collateralized debt obligations | $ | — |  |  | $ | — |  |  | $ | 53,040 |  |  | $ | — |  |  | $ | — |  |  | $ | 53,040 |
Multi-family collateralized debt obligations, at fair value | 1,036,604 |  |  | — |  |  | — |  |  | 9,985,644 |  |  | — |  |  | 11,022,248 |
Securitized debt | 30,121 |  |  | 12,214 |  |  | — |  |  | — |  |  | — |  |  | 42,335 |
Mortgages and notes payable in consolidated variable interest entities | — |  |  | — |  |  | — |  |  | — |  |  | 31,227 |  |  | 31,227 |
Accrued expenses and other liabilities | 4,228 |  |  | 444 |  |  | 26 |  |  | 37,022 |  |  | 1,166 |  |  | 42,886 |
Total liabilities | $ | 1,070,953 |  |  | $ | 12,658 |  |  | $ | 53,066 |  |  | $ | 10,022,666 |  |  | $ | 32,393 |  |  | $ | 11,191,736 |
(1) | The Company classified the multi-family CMBS issued by two securitizations included in the Consolidated K-Series and held by this Financing VIE as available for sale securities as the purpose is not to trade these securities. The Financing VIE consolidated one securitization included in the Consolidated K-Series that issued certain of the multi-family CMBS owned by the Company, including its assets, liabilities, income and expenses, in its financial statements, as based on a number of factors, the Company determined that it was the primary beneficiary and has a controlling financial interest in this particular K-Series securitization (see Note 6).
(2) | The Company engaged in this transaction for the purpose of financing certain distressed residential mortgage loans acquired by the Company. The distressed residential mortgage loans serving as collateral for the financing are comprised of re-performing and, to a lesser extent, non-performing and other delinquent mortgage loans secured by first liens on one- to four- family properties. Balances as of December 31, 2018 are related to a securitization transaction that closed in April 2016 that involved the issuance of $177.5 million of Class A Notes representing the beneficial ownership in a pool of performing and re-performing seasoned mortgage loans. The Company holds 5% of the Class A Notes issued as part of the securitization transaction, which were eliminated in consolidation.
(3) | Eight of the securitizations included in the Consolidated K-Series were not held in a Financing VIE as of December 31, 2018.

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- Definition Tabular disclosure of the significant judgments and assumptions made in determining whether a variable interest (as defined) held by the entity requires the variable interest entity (VIE) (as defined) to be consolidated and (or) disclose information about its involvement with the VIE, individually or in aggregate (as applicable); the nature of restrictions, if any, on the consolidated VIE's assets and on the settlement of its liabilities reported by an entity in its statement of financial position, including the carrying amounts of such assets and liabilities; the nature of, and changes in, the risks associated with involvement in the VIE; how involvement with the VIE affects the entity's financial position, financial performance, and cash flows; the lack of recourse if creditors (or beneficial interest holders) of the consolidated VIE have no recourse to the general credit of the primary beneficiary (if applicable); the terms of arrangements, giving consideration to both explicit arrangements and implicit variable interests, if any, that could require the entity to provide financial support to the VIE, including events or circumstances that could expose the entity to a loss; the methodology used by the entity for determining whether or not it is the primary beneficiary of the variable interest entity; the significant factors considered and judgments made in determining that the power to direct the activities of a VIE that most significantly impact the VIE's economic performance are shared (as defined); the carrying amounts and classification of assets and liabilities of the VIE included in the statement of financial position; the entity's maximum exposure to loss, if any, as a result of its involvement with the VIE, including how the maximum exposure is determined and significant sources of the entity's exposure to the VIE; a comparison of the carrying amounts of the assets and liabilities and the entity's maximum exposure to loss; information about any liquidity arrangements, guarantees, and (or) other commitments by third parties that may affect the fair value or risk of the entity's variable interest in the VIE; whether or not the entity has provided financial support or other support (explicitly or implicitly) to the VIE that it was not previously contractually required to provide or whether the entity intends to provide that support, including the type and amount of the support and the primary reasons for providing the support; and supplemental information the entity determines necessary to provide. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 5A -URI http://asc.fasb.org/extlink&oid=108788376&loc=SL6759159-111685 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 6 -URI http://asc.fasb.org/extlink&oid=108788376&loc=d3e5747-111685 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 9 -URI http://asc.fasb.org/extlink&oid=108788376&loc=SL6228884-111685 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=108788376&loc=d3e5710-111685 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 810 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=108788376&loc=d3e5728-111685 + Details
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