Use of Special Purpose Entities (SPE) and Variable Interest Entities (VIE) (Tables)

6 Months Ended

Jun. 30, 2020

Organization, Consolidation and Presentation of Financial Statements [Abstract]

Schedule of Assets and Liabilities of Consolidated VIE's

The following table presents a summary of the assets and liabilities of the Company's residential loan securitizations, non-Agency RMBS re-securitization, Consolidated SLST and KRVI of as of June 30, 2020 (dollar amounts in thousands). Intercompany balances have been eliminated for purposes of this presentation.



	Financing VIEs				Other VIEs
	Residential Loan Securitizations		Non-Agency RMBS Re-Securitization		Consolidated SLST		KRVI		Total
Cash and cash equivalents	$	—	$	—	$	—	$	2,320	$	2,320
Investment securities available for sale, at fair value	—		177,133		—		—		177,133
Residential loans, at fair value	40,693		—		1,274,850		—		1,315,543
Receivables and other assets	3,475		28,447		4,241		10,794		46,957
Total assets	$	44,168	$	205,580	$	1,279,091	$	13,114	$	1,541,953

Residential collateralized debt obligations	$	36,699	$	—	$	—	$	—	$	36,699
Residential collateralized debt obligations, at fair value	—		—		1,088,233		—		1,088,233
Securitized debt	—		108,999		—		—		108,999
Accrued expenses and other liabilities	6		454		3,908		74		4,442
Total liabilities	$	36,705	$	109,453	$	1,092,141	$	74	$	1,238,373

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		KRVI		Total
Cash and cash equivalents	$	—	$	—	$	—	$	107	$	107
Residential loans, 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 June 30, 2020 and December 31, 2019, respectively (dollar amounts in thousands):



		June 30, 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	$	371,697	$	371,697	$	118,763	$	118,763
Investment securities available for sale, at fair value	Level 2	960,808		960,808		2,006,140		2,006,140
Residential loans, at fair value
Residential loans	Level 3	1,442,685		1,442,685		1,429,754		1,429,754
Consolidated SLST	Level 3	1,274,850		1,274,850		1,328,886		1,328,886
Residential loans held in securitization trusts	Level 3	40,693		40,693		—		—
Residential loans, net	Level 3	—		—		202,756		208,471
Investments in unconsolidated entities	Level 3	214,289		214,289		189,965		191,359
Preferred equity and mezzanine loan investments	Level 3	180,850		180,850		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	963,127		963,127		3,105,416		3,105,416
Securitized debt	Level 2	108,999		111,169		—		—
Residential collateralized debt obligations	Level 3	36,699		34,914		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	1,088,233		1,088,233		1,052,829		1,052,829
Subordinated debentures	Level 3	45,000		30,335		45,000		41,592
Convertible notes	Level 2	134,117		125,862		132,955		140,865

In addition to the methodology to determine the fair value of the Company’s financial assets and liabilities reported at fair value on a recurring basis and non-recurring basis, as previously described, the following methods and assumptions were used by the Company in arriving at the fair value of the Company’s other financial instruments in the table immediately above:


a.	Cash and cash equivalents – Estimated fair value approximates the carrying value of such assets.


b.	Repurchase agreements – The fair value of these repurchase agreements approximates cost as they are short term in nature.


c.	Securitized debt - The fair value is based on discounted cash flows as well as market pricing on comparable obligations.


d.	Residential collateralized debt obligations – The fair value of these CDOs is based on discounted cash flows as well as market pricing on comparable obligations.


e.	Subordinated debentures – The fair value of these subordinated debentures is based on discounted cash flows using management’s estimate for market yields.

Convertible notes – The fair value is based on quoted prices provided by dealers who make markets in similar financial instruments.

Schedule of Securitized Debt Collateralized by Non-Agency RMBS

The following table summarizes the Company’s securitized debt collateralized by non-Agency RMBS as of June 30, 2020 (dollar amounts in thousands):



	Principal Amount		Carrying Value ⁽¹⁾		Pass-through Rate of Notes Issued ⁽²⁾
Non-Agency RMBS re-securitization	$	110,361	$	108,999	One-month LIBOR plus 5.25%


⁽¹⁾	Classified as securitized debt in the liability section of the Company’s accompanying condensed consolidated balance sheets. The securitized debt is non-recourse debt for which the Company has no obligation.

⁽²⁾

Represents the pass-through rate through the payment date in December 2021. Pass-through rate increases to one-month LIBOR plus 7.75% for payment dates in or after January 2022.

Schedule of Contractual Maturity Information

The following table presents contractual maturity information about the Company's securitized debt collateralized by non-Agency RMBS as of June 30, 2020 (dollar amounts in thousands):



Scheduled Maturity (principal amount)	June 30, 2020
Over 36 months	$	110,361
Debt issuance cost	(1,362		)
Carrying value	$	108,999

Schedule of Classification and Carrying Value of Unconsolidated VIEs

The following tables present the classification and carrying value of unconsolidated VIEs as of June 30, 2020 and December 31, 2019, respectively (dollar amounts in thousands):



	June 30, 2020
	Investment securities available for sale, at fair value		Preferred equity and mezzanine loan investments		Investments in unconsolidated entities		Total
ABS	$	42,500	$	—	$	—	$	42,500
Preferred equity investments in multi-family properties	—		175,366		129,100		304,466
Mezzanine loans on multi-family properties	—		5,484		—		5,484
Equity investments in entities that invest in residential properties and loans	—		—		68,189		68,189
Total assets	$	42,500	$	180,850	$	197,289	$	420,639



	December 31, 2019
	Investment securities available for sale, at fair value		Preferred equity and mezzanine loan investments		Investments in unconsolidated entities		Total
ABS	$	49,214	$	—	$	—	$	49,214
Preferred equity investments in multi-family properties	—		173,825		106,083		279,908
Mezzanine loans on multi-family properties	—		6,220		—		6,220
Equity investments in entities that invest in residential properties and loans	—		—		65,572		65,572
Total assets	$	49,214	$	180,045	$	171,655	$	400,914