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Use of Special Purpose Entities (SPE) and Variable Interest Entities (VIE) (Tables) | 9 Months Ended
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Sep. 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 as of September 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 | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 4,305 |  |  | $ | 4,305 |
Investment securities available for sale, at fair value | — |  |  | 131,836 |  |  | — |  |  | — |  |  | 131,836 |
Residential loans, at fair value | 355,486 |  |  | — |  |  | 1,290,005 |  |  | — |  |  | 1,645,491 |
Receivables and other assets | 12,568 |  |  | 50,635 |  |  | 4,162 |  |  | 3,660 |  |  | 71,025 |
Total assets | $ | 368,054 |  |  | $ | 182,471 |  |  | $ | 1,294,167 |  |  | $ | 7,965 |  |  | $ | 1,852,657 |
Residential collateralized debt obligations | $ | 268,820 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 268,820 |
Residential collateralized debt obligations, at fair value | — |  |  | — |  |  | 1,077,980 |  |  | — |  |  | 1,077,980 |
Securitized debt | — |  |  | 88,791 |  |  | — |  |  | — |  |  | 88,791 |
Accrued expenses and other liabilities | 1,211 |  |  | 396 |  |  | 3,664 |  |  | 74 |  |  | 5,345 |
Total liabilities | $ | 270,031 |  |  | $ | 89,187 |  |  | $ | 1,081,644 |  |  | $ | 74 |  |  | $ | 1,440,936 |
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). Intercompany balances have been eliminated for purposes of this presentation.
|  | 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 September 30, 2020 and December 31, 2019, respectively (dollar amounts in thousands):
|  |  | September 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 |  | $ | 649,822 |  |  | $ | 649,822 |  |  | $ | 118,763 |  |  | $ | 118,763 |
Investment securities available for sale, at fair value | Level 2 |  | 603,697 |  |  | 603,697 |  |  | 2,006,140 |  |  | 2,006,140 |
Residential loans, at fair value |  |  |  |  |  |  |  |  |
Residential loans | Level 3 |  | 1,177,298 |  |  | 1,177,298 |  |  | 1,429,754 |  |  | 1,429,754 |
Consolidated SLST | Level 3 |  | 1,290,005 |  |  | 1,290,005 |  |  | 1,328,886 |  |  | 1,328,886 |
Residential loans held in securitization trusts | Level 3 |  | 355,486 |  |  | 355,486 |  |  | — |  |  | — |
Residential loans, net | Level 3 |  | — |  |  | — |  |  | 202,756 |  |  | 208,471 |
Investments in unconsolidated entities | Level 3 |  | 218,706 |  |  | 218,706 |  |  | 189,965 |  |  | 191,359 |
Preferred equity and mezzanine loan investments | Level 3 |  | 183,154 |  |  | 183,154 |  |  | 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 |  | 672,519 |  |  | 672,519 |  |  | 3,105,416 |  |  | 3,105,416 |
Securitized debt | Level 2 |  | 88,791 |  |  | 90,096 |  |  | — |  |  | — |
Residential collateralized debt obligations | Level 3 |  | 268,820 |  |  | 269,749 |  |  | 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 |  | 1,077,980 |  |  | 1,077,980 |  |  | 1,052,829 |  |  | 1,052,829 |
Subordinated debentures | Level 3 |  | 45,000 |  |  | 32,548 |  |  | 45,000 |  |  | 41,592 |
Convertible notes | Level 2 |  | 134,720 |  |  | 135,457 |  |  | 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.
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 September 30, 2020 (dollar amounts in thousands):
| Principal Amount |  | Carrying Value (1) |  | Pass-through Rate of Notes Issued (2)
Non-Agency RMBS re-securitization | $ | 89,916 |  |  | $ | 88,791 |  |  | 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 September 30, 2020 (dollar amounts in thousands):
Scheduled Maturity (principal amount) |  | September 30, 2020
Over 36 months |  | $ | 89,916 |
Debt issuance cost |  | (1,125) |
Carrying value |  | $ | 88,791 |
Schedule of Classification and Carrying Value of Unconsolidated VIEs | The following tables present the classification and carrying value of unconsolidated VIEs as of September 30, 2020 and December 31, 2019, respectively (dollar amounts in thousands):
| September 30, 2020
| Investment securities available for sale, at fair value |  |  |  | Preferred equity and mezzanine loan investments |  | Investments in unconsolidated entities |  | Total
ABS | $ | 45,007 |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | 45,007 |
Preferred equity investments in multi-family properties | — |  |  |  |  | 178,286 |  |  | 145,250 |  |  | 323,536 |
Mezzanine loans on multi-family properties | — |  |  |  |  | 4,868 |  |  | — |  |  | 4,868 |
Equity investments in entities that invest in residential properties and loans | — |  |  |  |  | — |  |  | 73,456 |  |  | 73,456 |
Total assets | $ | 45,007 |  |  |  |  | $ | 183,154 |  |  | $ | 218,706 |  |  | $ | 446,867 |
| 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 |

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