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Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2020

Fair Value Disclosures [Abstract]

Schedule of Financial Instruments Measured at Fair Value on a Recurring Basis

The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of March 31, 2020 and December 31, 2019, respectively, on the Company’s condensed consolidated balance sheets (dollar amounts in thousands):

	Measured at Fair Value on a Recurring Basis at
	March 31, 2020																December 31, 2019
	Level 1				Level 2				Level 3				Total				Level 1				Level 2				Level 3				Total
Assets carried at fair value
Investment securities available for sale, at fair value:
Agency RMBS	$	—			$	—			$	—			$	—			$	—			$	922,877			$	—			$	922,877
Agency CMBS	—				—				—				—				—				50,958				—				50,958
Non-Agency RMBS	—				576,108				—				576,108				—				715,314				—				715,314
CMBS	—				268,856				—				268,856				—				267,777				—				267,777
ABS	—				42,344				—				42,344				—				49,214				—				49,214
Residential loans, at fair value:
Residential loans	—				—				1,515,347				1,515,347				—				—				1,429,754				1,429,754
Consolidated SLST	—				—				1,218,299				1,218,299				—				—				1,328,886				1,328,886
Residential loans held in securitization trusts	—				—				42,984				42,984				—				—				—				—
Investments in unconsolidated entities	—				—				211,965				211,965				—				—				83,882				83,882
Preferred equity and mezzanine loan investments	—				—				179,292				179,292				—				—				—				—
Multi-family loans held in securitization trusts, at fair value	—				—				—				—				—				—				17,816,746				17,816,746
Derivative assets:
Interest rate swaps (1)	—				—				—				—				—				15,878				—				15,878
Total	$	—			$	887,308			$	3,167,887			$	4,055,195			$	—			$	2,022,018			$	20,659,268			$	22,681,286
Liabilities carried at fair value
Multi-family collateralized debt obligations, at fair value	$	—			$	—			$	—			$	—			$	—			$	—			$	16,724,451			$	16,724,451
Residential collateralized debt obligations, at fair value	—				—				1,034,992				1,034,992				—				—				1,052,829				1,052,829
Total	$	—			$	—			$	1,034,992			$	1,034,992			$	—			$	—			$	17,777,280			$	17,777,280

⁽¹⁾ 

All of the Company's interest rate swaps were cleared through a central clearing house. The Company exchanged variation margin for swaps based upon daily changes in fair value. Included derivative liabilities of $29.0 million netted against a variation margin of $44.8 million at December 31, 2019.

Schedule of Changes in Valuation of Level 3 Assets

The following tables detail changes in valuation for the Level 3 assets for the three months ended March 31, 2020 and 2019, respectively (amounts in thousands):

Level 3 Assets:

	Three Months Ended March 31, 2020
	Residential loans				Consolidated SLST				Residential loans held in securitization trusts				Investments in unconsolidated entities				Preferred equity and mezzanine loan investments				Multi-family loans held in securitization trusts				Total
Balance at beginning of period	$	1,429,754			$	1,328,886			$	—			$	83,882			$	—			$	17,816,746			$	20,659,268
Total (losses)/gains (realized/unrealized)
Included in earnings	(94,418		)		(89,087		)		(1,739		)		494				(209		)		41,795				(143,164		)
Transfers in (1)	164,035				—				46,572				107,477				182,465				—				500,549
Transfers out (2) (3)	(3,166		)		—				(349		)		—				—				(237,297		)		(240,812		)
Contributions	—				—				—				22,106				8,440				—				30,546
Paydowns/Distributions	(84,719		)		(21,500		)		(1,500		)		(1,994		)		(11,404		)		(239,796		)		(360,913		)
Recovery of charge-off	—				—				—				—				—				35				35
Sales (3)	(49,960		)		—				—				—				—				(17,381,483		)		(17,431,443		)
Purchases	153,821				—				—				—				—				—				153,821
Balance at the end of period	$	1,515,347			$	1,218,299			$	42,984			$	211,965			$	179,292			$	—			$	3,167,887

⁽¹⁾  As of January 1, 2020, the Company has elected to account for all residential loans, residential loans held in securitization trusts, investments in unconsolidated entities and preferred equity and mezzanine loan investments using the fair value option (see Note 2).

⁽²⁾  Transfers out of Level 3 assets include the transfer of residential loans to real estate owned.

⁽³⁾  During the three months ended March 31, 2020, the Company sold first loss PO securities included in the Consolidated K-Series and, as a result, de-consolidated multi-family loans held in securitization trusts and transferred its remaining securities owned in the Consolidated K-Series to investment securities available for sale (see Notes 2 and 6).

	Three Months Ended March 31, 2019
	Residential loans				Investments in unconsolidated entities				Multi-family loans held in securitization trusts				CMBS held in securitization trusts				Total
Balance at beginning of period	$	737,523			$	32,994			$	11,679,847			$	52,700			$	12,503,064
Total gains/(losses) (realized/unrealized)
Included in earnings	9,945				3,892				259,764				17,734				291,335
Included in other comprehensive income (loss)	—				—				—				(13,665		)		(13,665		)
Transfers in	—				—				—				—				—
Transfers out	(182		)		—				—				—				(182		)
Contributions	—				—				—				—				—
Paydowns/Distributions	(24,930		)		(311		)		(37,485		)		—				(62,726		)
Sales	(6,448		)		—				—				(56,769		)		(63,217		)
Purchases (1)	159,658				—				2,426,210				—				2,585,868
Balance at the end of period	$	875,566			$	36,575			$	14,328,336			$	—			$	15,240,477

⁽¹⁾ 

During the three months ended March 31, 2019, the Company purchased first loss PO securities and certain IOs and mezzanine CMBS securities issued from securitizations that it determined to consolidate and included in the Consolidated K-Series. As a result, the Company consolidated assets of these securitizations in the amount of $2.4 billion during the three months ended March 31, 2019 (see Notes 2 and 6).

Schedule of Changes in Valuation of Level 3 Liabilities

The following tables detail changes in valuation for the Level 3 liabilities for the three months ended March 31, 2020 and 2019, respectively (amounts in thousands):

Level 3 Liabilities:

	Three Months Ended March 31, 2020
	Multi-Family CDOs				SLST CDOs				Total
Balance at beginning of period	$	16,724,451			$	1,052,829			$	17,777,280
Total losses/(gains) (realized/unrealized)
Included in earnings	35,018				(18,855		)		16,163
Paydowns	(147,376		)		(21,208		)		(168,584		)
Sales (1)	(16,612,093		)		22,226				(16,589,867		)
Transfers out	—				—				—
Balance at the end of period	$	—			$	1,034,992			$	1,034,992

⁽¹⁾  During the three months ended March 31, 2020, the Company sold first loss PO securities included in the Consolidated K-Series and, as a result, de-consolidated the Multi-Family CDOs (see Notes 2 and 6). Also includes the Company's net sales of senior securities issued by Consolidated SLST during the three months ended March 31, 2020 (see Note 4).

	Three Months Ended March 31, 2019
	Multi-Family CDOs
Balance at beginning of period	$	11,022,248
Total losses (realized/unrealized)
Included in earnings	237,789
Purchases (1)	2,324,639
Paydowns	(37,481		)
Balance at the end of period	$	13,547,195

⁽¹⁾ 

During the three months ended March 31, 2019, the Company purchased first loss PO securities and certain IOs and mezzanine CMBS securities issued from securitizations that it determined to consolidate and included in the Consolidated K-Series. As a result, the Company consolidated liabilities of these securitizations in the amount of $2.3 billion during the three months ended March 31, 2019 (see Notes 2 and 6).

Schedule of Quantitative Information Regarding Significant and Unobservable Inputs used in Valuation of Level 3 Assets and Liabilities

The following table discloses quantitative information regarding the significant unobservable inputs used in the valuation of our Level 3 assets and liabilities measured at fair value (dollar amounts in thousands, except input values):

March 31, 2020		Fair Value		Valuation Technique		Unobservable Input		Weighted Average		Range
Assets
Residential loans, at fair value:
Residential loans and residential loans held in securitization trusts		$1,390,197		Discounted cash flow		Lifetime CPR		9.6%		—	-	55.3%
						Lifetime CDR		1.5%		—	-	23.0%
						Loss severity		16.4%		—	-	100.0%
						Yield		6.1%		2.8%	-	17.0%
		$168,134		Liquidation model		Annual home price appreciation		0.2%		—	-	5.6%
						Liquidation timeline (months)		28		1	-	57
						Property value		$482,658		$2,500	-	$3,400,000
						Yield		7.5%		7.5%	-	15.0%
Residential loans held in Consolidated SLST (1)		$1,218,299				Liability price		N/A
Total		$2,776,630
Investments in unconsolidated entities		$126,865		Discounted cash flow		Discount rate		12.4%		12.0%	-	13.5%
						Months to assumed redemption		46		21	-	59
						Loss severity		—
Preferred equity and mezzanine loan investments		$179,292		Discounted cash flow		Discount rate		12.2%		11.5%	-	13.5%
						Months to assumed redemption		48		10	-	189
						Loss severity		—
Liabilities
Residential collateralized debt obligations, at fair value
SLST CDOs (1)		$1,034,992		Discounted cash flow		Yield		4.0%		2.7%	-	14.9%
						Collateral prepayment rate		5.7%		3.8%	-	6.2%
						Collateral default rate		2.0%		—	-	2.7%
						Loss severity		22.2%		0.1%	-	24.4%

⁽¹⁾ 

In accordance with the practical expedient in ASC 810, the Company determines the fair value of the residential loans held in Consolidated SLST based on the fair value of SLST CDOs, including securities we own, as the fair value of these instruments is more observable. At March 31, 2020, the fair value of securities we owned in Consolidated SLST was $182.8 million.

Schedule of Changes in Unrealized Gains (Losses) Included in Earnings for Level 3 Assets and Liabilities

The following table details the changes in unrealized gains (losses) included in earnings for the three months ended March 31, 2020 and 2019 for our Level 3 assets and liabilities held as of March 31, 2020 and 2019, respectively (dollar amounts in thousands):

	Three Months Ended March 31,
	2020				2019
Assets
Residential loans, at fair value
Residential loans (1)	$	(76,295	)		$	9,337
Consolidated SLST (1)	(88,100		)		—
Residential loans held in securitization trusts (1)	(1,700		)		—
Investments in unconsolidated entities (2)	(4,023		)		3,661
Preferred equity and mezzanine loan investments (1)	(5,559		)		—
Multi-family loans held in securitization trusts, at fair value (1)	—				274,683
Liabilities
Multi-family collateralized debt obligations, at fair value (1)	—				(265,273		)
Residential collateralized debt obligations, at fair value (1)	21,966				—

⁽¹⁾  Presented in unrealized gains (losses), net on the Company's condensed consolidated statements of operations.

⁽²⁾  Presented in other income on the Company's condensed consolidated statements of operations.

Schedule of Assets Measured at Fair Value on a Non-recurring Basis

The following table presents assets measured at fair value on a non-recurring basis as of December 31, 2019, on the Company's condensed consolidated balance sheets (dollar amounts in thousands):

		December 31, 2019
		Level 1			Level 2			Level 3				Total
Residential loans held in securitization trusts – impaired loans, net		—			—			$	5,256			$	5,256

Schedule of Gains (Losses) Incurred for Assets Measured at Fair Value on a Non-recurring Basis

The following table presents gains (losses) incurred for assets measured at fair value on a non-recurring basis for the three months ended March 31, 2019, on the Company’s condensed consolidated statements of operations (dollar amounts in thousands):

	Three Months Ended March 31, 2019
Residential loans held in securitization trusts – impaired loans, net	$	(38	)

Schedule of Carrying Value and Estimated Fair Value of Financial Instruments

The following table presents a summary of the assets and liabilities of the Company's residential loan securitizations, Consolidated SLST and KRVI of as of March 31, 2020 (dollar amounts in thousands). Intercompany balances have been eliminated for purposes of this presentation.

	Financing VIE				Other VIEs
	Residential Loan Securitizations				Consolidated SLST				Other				Total
Cash and cash equivalents	$	—			$	—			$	4			$	4
Residential loans, at fair value	42,984				1,218,299				—				1,261,283
Receivables and other assets	3,337				3,772				14,859				21,968
Total assets	$	46,321			$	1,222,071			$	14,863			$	1,283,255
Residential collateralized debt obligations	$	38,959			$	—			$	—			$	38,959
Residential collateralized debt obligations, at fair value	—				1,034,992				—				1,034,992
Accrued expenses and other liabilities	6				2,646				75				2,727
Total liabilities	$	38,965			$	1,037,638			$	75			$	1,076,678

The following table presents a summary of the assets and liabilities of the Company's residential loan securitizations, the Consolidated K-Series, Consolidated SLST and KRVI as of December 31, 2019 (dollar amounts in thousands):

		Financing VIE				Other VIEs
		Residential Loan Securitizations				Consolidated K-Series				Consolidated SLST				Other				Total
Cash and cash equivalents		$	—			$	—			$	—			$	107			$	107
Residential loans held in securitization trusts, net		44,030				—				—				—				44,030
Residential loans, at fair value		—				—				1,328,886				—				1,328,886
Multi-family loans held in securitization trusts, at fair value		—				17,816,746				—				—				17,816,746
Receivables and other assets		1,328				59,417				5,244				14,626				80,615
Total assets		$	45,358			$	17,876,163			$	1,334,130			$	14,733			$	19,270,384
Residential collateralized debt obligations		$	40,429			$	—			$	—			$	—			$	40,429
Residential collateralized debt obligations, at fair value		—				—				1,052,829				—				1,052,829
Multi-family collateralized debt obligations, at fair value		—				16,724,451				—				—				16,724,451
Accrued expenses and other liabilities		14				57,873				2,643				75				60,605
Total liabilities		$	40,443			$	16,782,324			$	1,055,472			$	75			$	17,878,314

The following table presents the carrying value and estimated fair value of the Company’s financial instruments at March 31, 2020 and December 31, 2019, respectively (dollar amounts in thousands):

			March 31, 2020								December 31, 2019
	Fair Value Hierarchy Level		Carrying Value				Estimated Fair Value				Carrying Value				Estimated Fair Value
Financial Assets:
Cash and cash equivalents	Level 1		$	172,513			$	172,513			$	118,763			$	118,763
Cash margin (1)	Level 1		169,484				169,484				—				—
Receivable for securities sold	Level 1		213,585				213,585				—				—
Investment securities available for sale, at fair value	Level 2		887,308				887,308				2,006,140				2,006,140
Residential loans, at fair value
Residential loans	Level 3		1,515,347				1,515,347				1,429,754				1,429,754
Consolidated SLST	Level 3		1,218,299				1,218,299				1,328,886				1,328,886
Residential loans held in securitization trusts	Level 3		42,984				42,984				—				—
Residential loans, net	Level 3		—				—				202,756				208,471
Investments in unconsolidated entities	Level 3		211,965				211,965				189,965				191,359
Preferred equity and mezzanine loan investments	Level 3		179,292				179,292				180,045				182,465
Multi-family loans held in securitization trusts, at fair value	Level 3		—				—				17,816,746				17,816,746
Derivative assets	Level 2		—				—				15,878				15,878
Loans held for sale, net (1)	Level 3		—				—				2,406				2,482
Financial Liabilities:
Repurchase agreements	Level 2		1,428,124				1,428,124				3,105,416				3,105,416
Residential collateralized debt obligations	Level 3		38,959				35,029				40,429				38,888
Multi-family collateralized debt obligations, at fair value	Level 3		—				—				16,724,451				16,724,451
Residential collateralized debt obligations, at fair value	Level 3		1,034,992				1,034,992				1,052,829				1,052,829
Subordinated debentures	Level 3		45,000				12,451				45,000				41,592
Convertible notes	Level 2		133,534				76,794				132,955				140,865

⁽¹⁾  Included in receivables and other assets in the accompanying condensed consolidated balance sheets.

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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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-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
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-Paragraph 2
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