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Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 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 June 30, 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
	June 30, 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	—				630,196				—				630,196				—				715,314				—				715,314
CMBS	—				288,112				—				288,112				—				267,777				—				267,777
ABS	—				42,500				—				42,500				—				49,214				—				49,214
Residential loans, at fair value:
Residential loans	—				—				1,442,685				1,442,685				—				—				1,429,754				1,429,754
Consolidated SLST	—				—				1,274,850				1,274,850				—				—				1,328,886				1,328,886
Residential loans held in securitization trusts	—				—				40,693				40,693				—				—				—				—
Investments in unconsolidated entities	—				—				214,289				214,289				—				—				83,882				83,882
Preferred equity and mezzanine loan investments	—				—				180,850				180,850				—				—				—				—
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	$	—			$	960,808			$	3,153,367			$	4,114,175			$	—			$	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	—				—				1,088,233				1,088,233				—				—				1,052,829				1,052,829
Total	$	—			$	—			$	1,088,233			$	1,088,233			$	—			$	—			$	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 six months ended June 30, 2020 and 2019, respectively (amounts in thousands):

Level 3 Assets:

	Six Months Ended June 30, 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	(55,144		)		(15,279		)		(1,730		)		4,606				4,866				41,795				(20,886		)
Transfers in (1)	164,279				—				46,572				107,477				182,465				—				500,793
Transfers out (2) (3)	(3,953		)		—				(349		)		—				—				(237,297		)		(241,599		)
Contributions	—				—				—				22,106				8,440				—				30,546
Paydowns/Distributions	(155,135		)		(38,757		)		(3,800		)		(3,782		)		(14,921		)		(239,796		)		(456,191		)
Recovery of charge-off	—				—				—				—				—				35				35
Sales (3)	(93,755		)		—				—				—				—				(17,381,483		)		(17,475,238		)
Purchases	156,639				—				—				—				—				—				156,639
Balance at the end of period	$	1,442,685			$	1,274,850			$	40,693			$	214,289			$	180,850			$	—			$	3,153,367

⁽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 six months ended June 30, 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).

	Six Months Ended June 30, 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	25,359				5,753				574,231				17,734				623,077
Included in other comprehensive income (loss)	—				—				—				(13,665		)		(13,665		)
Transfers in	—				—				—				—				—
Transfers out	(182		)		—				—				—				(182		)
Contributions	—				50,000				—				—				50,000
Paydowns/Distributions	(61,275		)		(639		)		(106,363		)		—				(168,277		)
Sales	(19,814		)		—				—				(56,769		)		(76,583		)
Purchases (1)	380,343				—				2,426,210				—				2,806,553
Balance at the end of period	$	1,061,954			$	88,108			$	14,573,925			$	—			$	15,723,987

⁽¹⁾ 

During the six months ended June 30, 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 six months ended June 30, 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 six months ended June 30, 2020 and 2019, respectively (amounts in thousands):

Level 3 Liabilities:

	Six Months Ended June 30, 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				52,420				87,438
Paydowns	(147,376		)		(39,242		)		(186,618		)
Sales (1)	(16,612,093		)		22,226				(16,589,867		)
Transfers out	—				—				—
Balance at the end of period	$	—			$	1,088,233			$	1,088,233

⁽¹⁾  During the six months ended June 30, 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 six months ended June 30, 2020 (see Note 4).

	Six Months Ended June 30, 2019
	Multi-Family CDOs
Balance at beginning of period	$	11,022,248
Total losses (realized/unrealized)
Included in earnings	531,930
Purchases (1)	2,324,639
Paydowns	(106,091		)
Balance at the end of period	$	13,772,726

⁽¹⁾ 

During the six months ended June 30, 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 six months ended June 30, 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):

June 30, 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)		$1,334,944		Discounted cash flow		Lifetime CPR		10.2%		—	-	74.2%
						Lifetime CDR		3.0%		—	-	45.0%
						Loss severity		17.1%		—	-	100.0%
						Yield		5.5%		2.3%	-	33.9%
		$148,434		Liquidation model		Annual home price appreciation		—		(1.3)%	-	1.4%
						Liquidation timeline (months)		27		8	-	57
						Property value		$470,204		$12,430	-	$2,734,000
						Yield		7.5%		7.5%	-	15.0%
Residential loans held in Consolidated SLST (2)		$1,274,850				Liability price		N/A
Total		$2,758,228
Investments in unconsolidated entities (1)		$129,100		Discounted cash flow		Discount rate		12.4%		12.0%	-	13.5%
						Months to assumed redemption		44		20	-	57
						Loss severity		—
Preferred equity and mezzanine loan investments (1)		$180,850		Discounted cash flow		Discount rate		12.3%		11.5%	-	16.0%
						Months to assumed redemption		46		7	-	188
						Loss severity		—
Liabilities
Residential collateralized debt obligations, at fair value
SLST CDOs (2) (3)		$1,088,233		Discounted cash flow		Yield		2.7%		1.4%	-	12.6%
						Collateral prepayment rate		5.6%		3.4%	-	6.1%
						Collateral default rate		2.0%		—	-	3.6%
						Loss severity		21.7%		—	-	24.0%

⁽¹⁾  Weighted average amounts are calculated based on the weighted average fair value of the assets.

⁽²⁾ 

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 June 30, 2020, the fair value of securities we owned in Consolidated SLST was $185.3 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 and six months ended June 30, 2020 and 2019 for our Level 3 assets and liabilities held as of June 30, 2020 and 2019, respectively (dollar amounts in thousands):

	Three Months Ended June 30,								Six Months Ended June 30,
	2020				2019				2020				2019
Assets
Residential loans, at fair value
Residential loans (1)	$	39,991			$	10,329			$	(36,303	)		$	19,666
Consolidated SLST (1)	75,052				—				(13,049		)		—
Residential loans held in securitization trusts (1)	59				—				(1,641		)		—
Investments in unconsolidated entities (2)	(1,108		)		1,698				(5,130		)		5,359
Preferred equity and mezzanine loan investments (1)	(127		)		—				(5,686		)		—
Multi-family loans held in securitization trusts, at fair value (1)	—				330,105				—				604,788
Liabilities
Multi-family collateralized debt obligations, at fair value (1)	—				(324,898		)		—				(590,171		)
Residential collateralized debt obligations, at fair value (1)	(70,956		)		—				(48,990		)		—

⁽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 and six months ended June 30, 2019, respectively, on the Company’s condensed consolidated statements of operations (dollar amounts in thousands):

	Three Months Ended June 30, 2019			Six Months Ended June 30, 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, 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.

f.

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

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Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes 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 liability.

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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
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